WATT Options History — June 2015

In June 2015, WATT traded between $4200.00 and $5652.00. ATM implied volatility averaged 78.4%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded above realized volatility by 20.2% (HV 20d: 58.2%). Max pain ranged from $4500.00 to $6000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2015-06-23: Highest Volume — 1 contracts
  • 2015-06-04: Largest IV spike — 30.3% change
  • 2015-06-04: Highest IV Rank — 49.4%
  • 2015-06-30: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4699.91$4200.00$5652.00$4740.00$4848.00
Max Pain$5454.55$4500.00$6000.00$4500.00$6000.00
ATM IV78.4%65.1%99.0%75.6%93.4%
Expected Move21.9%18.7%26.8%21.7%26.8%
HV 20d58.2%29.4%131.2%36.5%131.2%
HV 60d53.4%39.9%82.1%49.0%82.1%
IV Rank39.0%32.3%49.4%37.6%46.5%
IV Percentile42.0%12.2%75.8%34.1%75.1%
Term Structure-2.1%-17.7%24.0%8.4%-10.9%
VWIV80.8%66.3%100.8%66.3%90.1%
Skew 25d-0.8%-160.6%42.3%26.4%8.3%
Skew 10d7.8%-160.6%80.6%41.9%11.1%
Call IV 25d87.0%66.1%161.4%77.7%85.1%
Put IV 25d86.1%0.8%119.6%104.1%93.4%
Bid-Ask Spread %108.9580.67121.67116.1380.67
Gamma HHI0.450.280.740.290.45
Net GEX2.9K4996.2K1.7K4.8K
Net DEX268.7K38.2K420.2K336.2K77.5K
Net VEX-1.8K-2.9K-1.1K-1.7K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.000.980.910.11
Total Volume0.1820101
Total OI4.7274646

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$4740.00$4500.0075.6%21.7%36.5%37.6%66.3%26.4%8.4%1.7K336.2K-1.7K0.91116.13N/AN/A0022
2015-06-02$4974.00$4500.0065.1%18.7%40.6%32.3%0.0%-160.6%-10.5%499332.6K-1.6K0.00112.80N/AN/A0022
2015-06-03$4758.00$4500.0076.0%21.8%43.4%37.7%77.3%0.6%-9.8%1.9K322.9K-1.7K0.98112.28N/AN/A0022
2015-06-04$4776.00$6000.0099.0%23.5%43.4%49.4%74.3%8.6%-6.7%926258.7K-1.9K0.9893.78N/AN/A0022
2015-06-05$4758.00$6000.0087.9%20.2%43.1%43.8%84.6%42.3%6.5%2.2K325.7K-1.7K0.98115.21N/AN/A0022
2015-06-08$4752.00$6000.0089.5%21.8%39.9%44.6%80.8%5.9%-3.9%2.9K267.2K-2.0K0.57109.09N/AN/A0022
2015-06-09$4794.00$6000.0069.5%20.3%32.4%34.5%77.1%5.4%-11.7%1.8K221.7K-1.9K0.56112.44N/AN/A0022
2015-06-10$4716.00$6000.0073.7%21.1%32.3%36.6%77.7%1.0%-3.5%3.3K208.0K-2.0K0.51115.12N/AN/A0022
2015-06-11$4716.00$6000.0073.1%20.9%29.6%36.3%100.8%-1.0%12.2%3.6K244.5K-2.0K0.96117.66N/AN/A0032
2015-06-12$4698.00$6000.0066.6%19.1%29.4%33.0%75.0%3.5%-3.5%1.3K322.4K-1.2K0.46119.36N/AN/A0032
2015-06-15$4740.00$6000.0071.7%20.6%29.6%35.6%72.6%9.6%-4.6%3.7K341.7K-1.2K0.46121.67N/AN/A0032
2015-06-16$4524.00$6000.0080.4%23.0%33.7%40.0%79.8%13.8%-16.8%3.5K338.0K-1.4K0.46112.84N/AN/A0032
2015-06-17$4416.00$4500.0073.0%20.9%34.2%36.3%72.6%13.4%4.7%3.1K319.2K-1.5K0.46116.25N/AN/A0032
2015-06-18$4380.00$4500.0077.4%22.2%33.6%38.5%71.0%27.9%-5.8%3.0K371.3K-1.3K0.42114.57N/AN/A0032
2015-06-19$4206.00$4500.0072.6%20.8%35.7%36.1%74.3%9.3%-12.9%1.2K420.2K-1.2K0.40115.94N/AN/A0032
2015-06-22$4284.00$4500.0083.9%24.0%36.7%41.7%86.5%11.7%-17.7%1.3K419.0K-1.1K0.38113.10N/AN/A0022
2015-06-23$5652.00$4500.0087.0%24.9%106.4%43.3%88.7%5.8%-12.2%3.2K135.4K-1.9K0.1893.40N/AN/A1022
2015-06-24$5046.00$6000.0077.1%22.1%114.9%38.3%80.4%-25.8%6.1%6.2K38.2K-2.8K0.15105.35N/AN/A1032
2015-06-25$4842.00$6000.0075.0%21.5%115.8%37.3%92.6%-1.3%24.0%5.7K85.2K-2.9K0.1290.73N/AN/A1042
2015-06-26$4578.00$6000.0078.1%22.4%117.5%38.8%86.4%-18.0%13.7%4.5K265.6K-2.1K0.24102.79N/AN/A0042
2015-06-29$4200.00$6000.0078.8%22.6%121.2%39.2%88.1%-5.4%8.8%3.9K259.7K-2.1K0.32105.83N/AN/A0042
2015-06-30$4848.00$6000.0093.4%26.8%131.2%46.5%90.1%8.3%-10.9%4.8K77.5K-2.8K0.1180.67N/AN/A1042