WATT Options History — October 2015

In October 2015, WATT traded between $3954.00 and $4614.00. ATM implied volatility averaged 77.0%, 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 22.1% (HV 20d: 54.8%). Max pain ranged from $4500.00 to $4500.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2015-10-01: Highest Volume — 1 contracts
  • 2015-10-12: Largest IV spike — 33.3% change
  • 2015-10-12: Highest IV Rank — 48.7%
  • 2015-10-09: Largest Expected Move — 27.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4160.73$3954.00$4614.00$4008.00$4392.00
Max Pain$4500.00$4500.00$4500.00$4500.00$4500.00
ATM IV77.0%66.6%96.0%68.1%66.6%
Expected Move21.9%19.1%27.1%19.5%19.1%
HV 20d54.8%43.9%60.9%56.9%49.3%
HV 60d53.3%51.7%56.1%53.9%56.1%
IV Rank39.0%33.7%48.7%34.4%33.7%
IV Percentile42.1%12.3%86.5%17.5%12.3%
Term Structure-1.7%-20.6%24.1%22.5%2.1%
VWIV81.0%62.3%101.7%62.3%73.3%
Skew 25d14.1%-13.2%43.1%19.4%12.0%
Skew 10d41.9%-12.7%81.6%55.0%16.8%
Call IV 25d71.5%56.7%93.9%62.6%83.0%
Put IV 25d85.6%63.0%113.9%82.0%95.0%
Bid-Ask Spread %101.9081.19118.64118.6491.66
Gamma HHI0.520.450.600.510.53
Net GEX8.5K6.1K16.6K6.9K13.4K
Net DEX-444.3K-676.7K-354.6K-412.5K-649.6K
Net VEX-3.2K-3.8K-3.0K-3.0K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.261.160.260.98
Total Volume0.6820110
Total OI4.7734545

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$4008.00$4500.0068.1%19.5%56.9%34.4%62.3%19.4%22.5%6.9K-412.5K-3.0K0.26118.64N/AN/A1031
2015-10-02$4260.00$4500.0079.8%22.9%60.7%40.5%79.0%36.5%10.1%7.5K-461.2K-3.0K0.3081.19N/AN/A1031
2015-10-05$4314.00$4500.0069.4%21.6%60.1%35.1%75.6%19.5%1.2%8.5K-505.2K-3.0K0.3894.52N/AN/A0031
2015-10-06$4206.00$4500.0074.5%20.7%60.9%37.7%72.3%7.6%0.1%7.9K-477.8K-3.0K0.9296.08N/AN/A0031
2015-10-07$4182.00$4500.0079.8%20.4%60.9%40.4%74.5%38.1%-6.7%8.2K-441.8K-3.0K1.16100.61N/AN/A0031
2015-10-08$4188.00$4500.0068.2%21.2%60.7%34.4%73.6%2.6%-2.1%7.7K-411.3K-3.2K0.94101.80N/AN/A0041
2015-10-09$4158.00$4500.0072.0%27.1%60.7%36.4%89.6%16.1%-20.6%7.5K-407.5K-3.2K0.94107.37N/AN/A0041
2015-10-12$4080.00$4500.0096.0%23.8%60.0%48.7%85.3%29.0%-6.9%7.3K-366.7K-3.2K0.6899.82N/AN/A1041
2015-10-13$4098.00$4500.0090.8%20.3%58.9%46.1%78.7%43.1%-0.4%8.1K-382.7K-3.4K0.68100.15N/AN/A1041
2015-10-14$4020.00$4500.0074.8%21.4%58.8%37.8%71.3%-4.3%-15.2%7.8K-362.3K-3.3K0.71100.03N/AN/A1041
2015-10-15$4170.00$4500.0076.2%21.8%59.9%38.6%85.7%17.5%-11.2%8.2K-359.3K-3.2K0.60102.63N/AN/A1041
2015-10-16$4182.00$4500.0073.0%20.9%59.5%36.9%78.3%10.0%11.8%8.2K-407.0K-3.2K0.63100.91N/AN/A1041
2015-10-19$4092.00$4500.0074.6%21.4%53.6%37.8%89.9%13.3%24.1%7.9K-423.1K-3.2K0.6591.35N/AN/A1041
2015-10-20$4086.00$4500.0072.3%20.7%53.1%36.6%87.5%5.0%-9.9%8.4K-418.0K-3.1K0.67107.81N/AN/A1041
2015-10-21$3954.00$4500.0072.9%20.9%49.4%36.9%92.7%12.3%2.6%8.0K-354.6K-3.0K0.73113.07N/AN/A1041
2015-10-22$3960.00$4500.0074.2%21.3%49.2%37.6%75.6%-10.4%-1.4%6.8K-379.7K-3.1K0.83104.58N/AN/A1041
2015-10-23$4038.00$4500.0079.5%22.8%48.2%40.3%75.7%-13.2%-1.3%6.1K-475.6K-3.2K0.56110.33N/AN/A1041
2015-10-26$4140.00$4500.0081.6%23.4%43.9%41.3%91.6%5.1%-9.5%9.2K-426.4K-3.1K0.67106.31N/AN/A1041
2015-10-27$4026.00$4500.0083.0%23.8%44.1%42.1%101.7%8.2%-8.4%7.4K-422.7K-3.1K0.87113.33N/AN/A1041
2015-10-28$4368.00$4500.0082.3%23.6%47.8%41.7%85.9%31.6%-5.5%9.7K-552.9K-3.3K0.4996.16N/AN/A1041
2015-10-29$4614.00$4500.0083.3%23.9%49.8%42.2%81.5%11.1%-13.1%16.6K-676.7K-3.6K0.98103.34N/AN/A0041
2015-10-30$4392.00$4500.0066.6%19.1%49.3%33.7%73.3%12.0%2.1%13.4K-649.6K-3.8K0.9891.66N/AN/A0041