WATT Options History — August 2015

In August 2015, WATT traded between $3540.00 and $4338.00. 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 33.9% (HV 20d: 44.4%). Max pain ranged from $4500.00 to $6000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2015-08-12: Highest Volume — 2 contracts
  • 2015-08-11: Largest IV drop — 34.4% change
  • 2015-08-10: Highest IV Rank — 51.5%
  • 2015-08-07: Largest Expected Move — 27.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4105.71$3540.00$4338.00$4164.00$4338.00
Max Pain$4714.29$4500.00$6000.00$6000.00$4500.00
ATM IV78.4%66.4%103.3%93.6%69.6%
Expected Move21.9%19.0%27.1%26.8%20.0%
HV 20d44.4%34.7%60.3%47.0%59.6%
HV 60d84.0%82.8%87.6%84.3%87.6%
IV Rank39.0%32.9%51.5%46.6%34.9%
IV Percentile42.1%13.1%85.3%77.8%21.4%
Term Structure1.8%-15.4%32.8%-8.6%-7.2%
VWIV79.4%65.7%106.4%88.8%67.4%
Skew 25d3.1%-29.5%15.4%-5.1%11.0%
Skew 10d13.6%-41.8%50.3%-6.9%11.1%
Call IV 25d81.2%65.2%112.4%91.5%83.7%
Put IV 25d84.3%70.4%95.7%86.4%94.7%
Bid-Ask Spread %112.20101.47135.77114.98112.36
Gamma HHI0.520.340.670.360.64
Net GEX4.9K1.6K7.5K3.5K7.5K
Net DEX178.8K-206.0K424.6K289.5K-206.0K
Net VEX-1.2K-1.4K-455-1.3K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.000.990.000.45
Total Volume0.7620200
Total OI5.0482762

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$4164.00$6000.0093.6%26.8%47.0%46.6%0.0%-5.1%-8.6%3.5K289.5K-1.3K0.00114.98N/AN/A0042
2015-08-04$4200.00$6000.0074.3%21.3%46.6%36.9%88.8%-21.2%1.4%3.2K300.9K-1.2K0.20104.25N/AN/A1042
2015-08-05$4176.00$6000.0084.0%24.1%46.6%41.8%89.3%5.8%-3.2%3.6K303.4K-1.2K0.21107.88N/AN/A1042
2015-08-06$4278.00$4500.0099.6%23.1%47.0%49.7%80.7%4.0%0.2%3.9K265.2K-1.3K0.20101.47N/AN/A1042
2015-08-07$4140.00$4500.0091.9%27.1%43.9%45.8%94.4%15.3%-12.5%4.1K245.4K-1.3K0.20105.38N/AN/A1042
2015-08-10$4278.00$4500.00103.3%21.6%44.8%51.5%75.1%10.5%3.5%4.4K240.4K-1.2K0.21112.78N/AN/A1042
2015-08-11$4200.00$4500.0067.8%19.3%40.9%33.6%67.1%5.9%10.1%3.2K350.6K-1.0K0.00103.47N/AN/A1042
2015-08-12$4152.00$4500.0072.9%20.9%39.3%36.2%73.4%7.8%2.8%6.8K248.2K-1.4K0.19105.88N/AN/A2042
2015-08-13$4230.00$4500.0070.1%20.1%40.3%34.8%70.6%3.9%0.7%6.7K293.6K-1.4K0.20106.26N/AN/A2042
2015-08-14$4200.00$4500.0067.4%19.3%39.2%33.4%69.7%4.9%5.6%6.7K272.3K-1.4K0.20116.51N/AN/A2042
2015-08-17$4230.00$4500.0067.6%19.4%39.5%33.5%67.6%6.7%10.9%7.0K266.8K-1.4K0.21114.33N/AN/A2042
2015-08-18$4206.00$4500.0078.3%22.5%35.5%38.9%78.1%9.8%-3.3%6.6K263.9K-1.4K0.19115.60N/AN/A2052
2015-08-19$4212.00$4500.0074.8%21.4%35.4%37.1%75.1%8.1%1.8%7.5K193.9K-1.4K0.08135.77N/AN/A0052
2015-08-20$4194.00$4500.0067.5%19.3%34.7%33.4%66.0%15.4%7.1%6.2K423.7K-1.1K0.61115.64N/AN/A0052
2015-08-21$4032.00$4500.0066.4%19.0%36.2%32.9%65.7%9.9%14.1%5.7K424.6K-1.1K0.99113.66N/AN/A0052
2015-08-24$3672.00$4500.0087.3%25.0%46.8%43.4%79.0%-28.8%-15.4%3.1K-77.1K-7740.63112.88N/AN/A0020
2015-08-25$3540.00$4500.0076.9%22.0%46.6%38.2%102.0%-29.5%-9.8%1.6K23.0K-4550.59113.75N/AN/A0020
2015-08-26$3690.00$4500.0085.1%24.4%50.3%42.4%92.2%10.8%-7.1%3.4K-44.1K-8050.59114.67N/AN/A0020
2015-08-27$3888.00$4500.0079.7%22.9%52.7%40.0%106.4%8.7%32.8%3.7K-148.1K-1.0K0.63114.63N/AN/A0020
2015-08-28$4200.00$4500.0068.0%19.5%60.3%34.0%80.5%11.3%14.3%5.6K-175.6K-1.0K0.50114.10N/AN/A0020
2015-08-31$4338.00$4500.0069.6%20.0%59.6%34.9%67.4%11.0%-7.2%7.5K-206.0K-1.0K0.45112.36N/AN/A0020