WATT Options History — July 2015

In July 2015, WATT traded between $4302.00 and $5016.00. ATM implied volatility averaged 90.0%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded below realized volatility by 21.3% (HV 20d: 111.3%). Max pain ranged from $6000.00 to $6000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.23.

Notable Days

  • 2015-07-01: Highest Volume — 1 contracts
  • 2015-07-06: Largest IV spike — 27.0% change
  • 2015-07-13: Highest IV Rank — 55.9%
  • 2015-07-09: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4551.00$4302.00$5016.00$4440.00$4332.00
Max Pain$6000.00$6000.00$6000.00$6000.00$6000.00
ATM IV90.0%76.5%112.0%76.5%80.8%
Expected Move24.7%21.9%27.2%21.9%23.2%
HV 20d111.3%45.5%136.9%134.0%45.5%
HV 60d84.0%83.2%85.6%83.9%84.0%
IV Rank44.8%38.0%55.9%38.0%40.2%
IV Percentile64.4%36.1%82.3%37.2%51.2%
Term Structure-6.0%-24.6%7.7%4.4%2.1%
VWIV85.1%75.5%95.8%75.5%79.1%
Skew 25d-1.7%-24.4%30.6%-6.0%9.5%
Skew 10d1.3%-27.8%49.4%-3.8%15.2%
Call IV 25d87.2%58.0%102.0%78.0%76.0%
Put IV 25d85.5%72.0%114.3%72.0%85.5%
Bid-Ask Spread %101.6690.27112.02102.2496.37
Gamma HHI0.420.350.580.420.35
Net GEX4.4K2.1K5.8K4.6K4.0K
Net DEX251.5K175.0K313.0K257.4K249.3K
Net VEX-1.7K-2.2K-1.4K-2.2K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.150.320.150.21
Total Volume11111
Total OI66666

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$4440.00$6000.0076.5%21.9%134.0%38.0%75.5%-6.0%4.4%4.6K257.4K-2.2K0.15102.24N/AN/A1042
2015-07-02$4398.00$6000.0083.4%23.9%133.9%41.5%85.3%30.6%-1.5%4.7K269.7K-2.1K0.16105.61N/AN/A1042
2015-07-06$4302.00$6000.00105.9%25.6%134.1%52.9%82.4%0.7%-10.6%4.6K292.0K-2.0K0.1693.92N/AN/A1042
2015-07-07$4380.00$6000.0097.3%27.1%134.3%48.5%86.3%-3.3%-10.3%4.7K269.8K-2.0K0.16100.17N/AN/A1042
2015-07-08$4374.00$6000.0098.5%25.5%134.3%49.1%89.2%2.1%-18.7%4.5K289.3K-1.9K0.2799.82N/AN/A1042
2015-07-09$4458.00$6000.0086.9%27.2%134.4%43.3%88.2%-24.4%-15.5%4.2K264.9K-1.9K0.28106.55N/AN/A1042
2015-07-10$4686.00$6000.00105.9%24.8%135.7%52.9%88.2%-11.0%-2.7%3.8K313.0K-1.6K0.3290.27N/AN/A1042
2015-07-13$4800.00$6000.00112.0%23.2%136.0%55.9%80.6%-9.0%-6.3%3.5K270.6K-1.6K0.27104.02N/AN/A1042
2015-07-14$5016.00$6000.00100.6%24.9%136.8%50.1%87.3%5.5%-9.4%5.3K190.7K-1.7K0.26107.51N/AN/A1042
2015-07-15$4824.00$6000.0087.5%25.1%136.5%43.6%87.1%-6.9%-3.2%3.2K213.9K-1.8K0.26109.46N/AN/A1042
2015-07-16$4746.00$6000.0089.2%25.6%136.3%44.4%88.3%-7.0%3.0%2.1K226.3K-1.7K0.23112.02N/AN/A1042
2015-07-17$4836.00$6000.0083.5%23.9%136.3%41.5%87.3%-2.8%7.7%5.8K202.4K-1.6K0.2391.69N/AN/A1042
2015-07-20$4794.00$6000.0084.9%24.3%135.4%42.2%86.6%-16.1%-3.9%5.7K175.0K-1.6K0.20105.46N/AN/A1042
2015-07-21$4548.00$6000.0083.2%23.9%136.9%41.4%86.2%-15.5%-2.5%4.9K212.3K-1.5K0.20108.29N/AN/A1042
2015-07-22$4566.00$6000.0076.6%22.0%91.0%38.0%77.2%-0.7%-11.5%4.9K227.4K-1.5K0.2294.73N/AN/A1042
2015-07-23$4458.00$6000.0083.1%23.8%82.8%41.3%82.0%19.7%-6.9%4.5K232.7K-1.5K0.2492.04N/AN/A1042
2015-07-24$4350.00$6000.0089.7%25.7%82.1%44.7%82.3%-21.3%-24.6%4.2K262.1K-1.6K0.2497.61N/AN/A1042
2015-07-27$4452.00$6000.0078.8%22.6%80.4%39.2%80.6%-0.7%0.1%3.9K300.8K-1.4K0.24111.47N/AN/A1042
2015-07-28$4530.00$6000.0093.6%26.8%74.0%46.6%95.8%0.4%-6.8%4.3K274.4K-1.4K0.24107.85N/AN/A1042
2015-07-29$4524.00$6000.0090.3%25.9%52.5%45.0%89.8%9.0%-9.8%4.2K283.4K-1.4K0.24101.48N/AN/A1042
2015-07-30$4308.00$6000.0091.4%26.2%45.5%45.5%86.3%11.0%-4.5%4.2K256.2K-1.4K0.2397.99N/AN/A1042
2015-07-31$4332.00$6000.0080.8%23.2%45.5%40.2%79.1%9.5%2.1%4.0K249.3K-1.4K0.2196.37N/AN/A1042