WATT Options History — May 2015

In May 2015, WATT traded between $4638.00 and $5226.00. ATM implied volatility averaged 76.9%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 30.7% (HV 20d: 46.3%). Max pain ranged from $4500.00 to $6000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2015-05-11: Largest IV drop — 49.5% change
  • 2015-05-08: Highest IV Rank — 59.9%
  • 2015-05-28: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4850.10$4638.00$5226.00$4974.00$4794.00
Max Pain$4575.00$4500.00$6000.00$6000.00$4500.00
ATM IV76.9%60.1%119.8%81.8%84.1%
Expected Move20.3%17.2%24.1%23.4%24.1%
HV 20d46.3%39.8%50.9%45.5%40.3%
HV 60d52.5%51.4%53.6%52.5%51.4%
IV Rank38.2%29.7%59.9%40.7%41.9%
IV Percentile36.1%7.4%82.0%51.5%57.5%
Term Structure4.7%-16.3%23.9%-8.7%-8.7%
VWIV67.9%52.5%85.1%80.7%85.1%
Skew 25d9.6%-31.3%28.6%28.6%12.2%
Skew 10d28.0%-44.2%74.3%27.5%44.6%
Call IV 25d73.1%60.5%86.8%68.8%74.4%
Put IV 25d82.7%55.5%103.0%97.3%86.6%
Bid-Ask Spread %108.2796.04118.9996.04108.91
Gamma HHI0.290.260.340.340.31
Net GEX1.7K4933.0K2.4K1.4K
Net DEX417.6K285.4K545.7K486.9K366.4K
Net VEX-2.1K-2.8K-1.3K-2.4K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.002.730.740.87
Total Volume00000
Total OI4.554554

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$4974.00$6000.0081.8%23.4%45.5%40.7%80.7%28.6%-8.7%2.4K486.9K-2.4K0.7496.04N/AN/A0032
2015-05-04$5016.00$4500.0088.1%22.9%45.7%43.9%73.7%5.9%-3.8%2.5K425.5K-2.7K2.73105.08N/AN/A0032
2015-05-05$4962.00$4500.0084.0%19.5%45.3%41.8%62.0%23.4%23.9%2.2K502.4K-2.4K0.83102.27N/AN/A0032
2015-05-06$4950.00$4500.0094.3%21.1%41.5%47.0%73.8%16.0%4.6%2.0K545.7K-2.1K0.96108.05N/AN/A0032
2015-05-07$5016.00$4500.00103.4%19.4%42.0%51.6%65.2%14.2%16.3%2.2K494.3K-2.4K0.91108.66N/AN/A0032
2015-05-08$5226.00$4500.00119.8%23.5%43.6%59.9%67.1%15.5%-10.0%3.0K425.2K-2.8K2.67107.87N/AN/A0032
2015-05-11$4884.00$4500.0060.5%19.2%48.7%29.9%62.9%-1.9%8.0%1.6K474.8K-2.4K0.02105.28N/AN/A0032
2015-05-12$4956.00$4500.0067.7%17.3%49.0%33.6%52.5%-31.3%17.9%1.8K425.2K-2.5K0.84100.15N/AN/A0032
2015-05-13$4776.00$4500.0060.7%17.4%50.2%30.0%57.0%1.9%22.1%2.5K440.6K-2.4K0.82112.29N/AN/A0032
2015-05-14$4818.00$4500.0064.0%18.4%50.2%31.7%61.8%10.4%9.4%1.5K500.3K-2.0K0.88111.47N/AN/A0032
2015-05-15$4842.00$4500.0069.5%19.9%50.3%34.5%70.0%13.0%-0.4%1.8K493.3K-2.2K0.96105.36N/AN/A0032
2015-05-18$4830.00$4500.0061.8%17.7%50.4%30.6%0.0%17.6%9.5%1.4K347.4K-1.7K0.00118.99N/AN/A0022
2015-05-19$4746.00$4500.0065.9%18.9%50.5%32.6%0.0%0.4%11.6%1.7K285.4K-2.1K0.00116.80N/AN/A0022
2015-05-20$4650.00$4500.0077.7%22.3%50.7%38.6%77.9%16.0%-2.3%1.4K332.6K-1.8K1.11114.55N/AN/A0022
2015-05-21$4704.00$4500.0066.8%19.1%50.9%33.1%63.8%-1.6%6.7%1.3K343.4K-1.9K1.11117.74N/AN/A0022
2015-05-22$4680.00$4500.0077.2%22.1%50.6%38.3%77.3%17.4%-7.2%1.3K326.5K-2.0K1.11112.87N/AN/A0022
2015-05-26$4638.00$4500.0060.1%17.2%40.2%29.7%60.1%-2.1%15.7%770415.3K-1.3K1.26111.06N/AN/A0022
2015-05-27$4722.00$4500.0067.0%19.2%39.8%33.2%67.3%15.3%5.3%1.1K361.9K-1.7K1.24103.57N/AN/A0022
2015-05-28$4818.00$4500.0084.2%24.1%40.3%41.9%64.3%21.4%-16.3%493358.6K-1.6K0.8898.50N/AN/A0022
2015-05-29$4794.00$4500.0084.1%24.1%40.3%41.9%85.1%12.2%-8.7%1.4K366.4K-1.5K0.87108.91N/AN/A0022