WATT Options History — September 2015

In September 2015, WATT traded between $3732.00 and $4464.00. ATM implied volatility averaged 77.6%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded above realized volatility by 18.7% (HV 20d: 58.9%). Max pain ranged from $4500.00 to $4500.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.62.

Notable Days

2015-09-28: Highest Volume — 2 contracts
2015-09-09: Largest IV drop — 43.1% change
2015-09-08: Highest IV Rank — 53.0%
2015-09-16: Largest Expected Move — 25.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4063.20	$3732.00	$4464.00	$4272.00	$4116.00
Max Pain	$4500.00	$4500.00	$4500.00	$4500.00	$4500.00
ATM IV	77.6%	58.4%	105.2%	87.0%	76.4%
Expected Move	21.2%	16.7%	25.3%	24.9%	21.9%
HV 20d	58.9%	52.5%	66.6%	59.9%	56.4%
HV 60d	74.5%	52.0%	87.8%	87.6%	53.8%
IV Rank	39.0%	29.1%	53.0%	43.7%	38.7%
IV Percentile	42.3%	4.4%	92.5%	71.0%	38.1%
Term Structure	2.5%	-25.7%	36.1%	-14.2%	36.1%
VWIV	69.0%	52.7%	85.5%	82.1%	56.5%
Skew 25d	27.9%	-8.3%	53.0%	16.4%	38.8%
Skew 10d	50.3%	5.8%	84.1%	31.8%	10.2%
Call IV 25d	70.9%	52.0%	111.6%	95.4%	86.6%
Put IV 25d	98.8%	73.1%	125.5%	111.8%	125.5%
Bid-Ask Spread %	111.30	87.14	121.77	117.15	118.13
Gamma HHI	0.48	0.28	0.73	0.60	0.50
Net GEX	4.2K	1.0K	6.7K	6.5K	6.7K
Net DEX	-199.1K	-428.9K	-11.6K	-239.7K	-428.9K
Net VEX	-1.6K	-3.0K	-985	-1.2K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.00	1.29	0.42	0.26
Total Volume	0.45	0	2	0	1
Total OI	2.95	2	4	2	4

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2015-09-01	$4272.00	$4500.00	87.0%	24.9%	59.9%	43.7%	82.1%	16.4%	-14.2%	6.5K	-239.7K	-1.2K	0.42	117.15	N/A	N/A	0	2	0
2015-09-02	$4176.00	$4500.00	84.9%	24.3%	60.5%	42.6%	84.3%	17.6%	-18.3%	6.5K	-253.2K	-1.3K	0.42	113.10	N/A	N/A	0	2	0
2015-09-03	$4080.00	$0.00	99.2%	18.2%	60.3%	49.9%	54.8%	10.6%	0.6%	5.5K	-234.2K	-1.2K	0.83	116.23	N/A	N/A	0	2	0
2015-09-04	$4098.00	$4500.00	91.0%	23.0%	59.2%	45.7%	81.4%	38.6%	-3.4%	5.5K	-200.0K	-1.2K	0.83	109.53	N/A	N/A	0	2	0
2015-09-08	$4128.00	$4500.00	105.2%	23.0%	58.0%	53.0%	0.0%	26.7%	4.2%	5.4K	-227.2K	-1.3K	0.00	107.68	N/A	N/A	0	2	0
2015-09-09	$4068.00	$4500.00	59.9%	17.2%	57.9%	29.9%	52.7%	53.0%	22.2%	6.1K	-200.0K	-1.2K	1.29	98.03	N/A	N/A	0	2	0
2015-09-10	$4044.00	$4500.00	64.7%	18.5%	57.8%	32.3%	57.8%	41.7%	3.2%	6.0K	-130.9K	-1.2K	1.28	102.16	N/A	N/A	0	2	1
2015-09-11	$3924.00	$4500.00	75.7%	21.7%	58.1%	38.0%	72.0%	5.8%	-9.9%	1.4K	-48.9K	-1.1K	0.79	115.97	N/A	N/A	0	2	1
2015-09-14	$3810.00	$4500.00	74.7%	21.4%	58.9%	37.4%	67.4%	40.3%	13.5%	1.5K	-56.7K	-1.1K	1.10	110.24	N/A	N/A	0	2	1
2015-09-15	$3732.00	$4500.00	80.5%	23.1%	58.9%	40.4%	0.0%	18.7%	-21.4%	1.3K	-11.6K	-985	0.00	117.37	N/A	N/A	0	2	1
2015-09-16	$3738.00	$4500.00	88.3%	25.3%	59.0%	44.4%	59.7%	25.6%	-25.7%	1.0K	-33.0K	-1.1K	1.16	118.71	N/A	N/A	0	2	1
2015-09-17	$3834.00	$4500.00	71.7%	20.6%	60.0%	35.9%	85.5%	32.0%	23.0%	1.5K	-45.0K	-1.1K	1.16	121.77	N/A	N/A	0	2	1
2015-09-18	$4140.00	$4500.00	67.5%	19.3%	66.6%	33.8%	64.2%	41.1%	5.6%	1.8K	-64.9K	-1.1K	0.51	113.12	N/A	N/A	1	2	1
2015-09-21	$4218.00	$4500.00	58.4%	16.7%	65.3%	29.1%	54.3%	33.9%	11.2%	2.7K	-168.8K	-1.4K	0.46	110.83	N/A	N/A	1	2	1
2015-09-23	$4464.00	$4500.00	77.3%	22.2%	57.4%	39.1%	74.2%	24.5%	1.5%	2.9K	-199.2K	-1.6K	0.29	113.19	N/A	N/A	1	2	1
2015-09-24	$4380.00	$4500.00	68.3%	19.6%	55.8%	34.5%	68.4%	-8.3%	14.6%	5.8K	-424.7K	-2.8K	0.29	87.14	N/A	N/A	1	3	1
2015-09-25	$4212.00	$4500.00	71.0%	20.3%	57.2%	35.9%	72.8%	45.0%	-4.0%	5.5K	-367.1K	-2.6K	0.29	115.93	N/A	N/A	1	3	1
2015-09-28	$3966.00	$4500.00	76.3%	21.9%	59.2%	38.6%	77.3%	33.9%	0.3%	4.6K	-322.3K	-2.6K	0.23	109.69	N/A	N/A	2	3	1
2015-09-29	$3864.00	$4500.00	74.2%	21.3%	52.5%	37.5%	77.1%	22.8%	10.9%	6.2K	-325.6K	-2.5K	0.26	109.99	N/A	N/A	1	3	1
2015-09-30	$4116.00	$4500.00	76.4%	21.9%	56.4%	38.7%	56.5%	38.8%	36.1%	6.7K	-428.9K	-3.0K	0.26	118.13	N/A	N/A	1	3	1