WATT Options History — November 2015

In November 2015, WATT traded between $4140.00 and $5304.00. ATM implied volatility averaged 79.3%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded above realized volatility by 2.1% (HV 20d: 77.3%). Max pain ranged from $3000.00 to $4500.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.48.

Notable Days

2015-11-13: Highest Volume — 2 contracts
2015-11-10: Largest IV drop — 28.5% change
2015-11-09: Highest IV Rank — 51.5%
2015-11-02: Largest Expected Move — 26.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4570.74	$4140.00	$5304.00	$4398.00	$4986.00
Max Pain	$4263.16	$3000.00	$4500.00	$4500.00	$4500.00
ATM IV	79.3%	67.8%	101.4%	91.2%	80.0%
Expected Move	21.9%	18.3%	26.1%	26.1%	22.9%
HV 20d	77.3%	49.2%	88.9%	49.2%	88.0%
HV 60d	64.1%	55.9%	69.7%	55.9%	66.2%
IV Rank	42.1%	35.7%	51.5%	46.3%	46.0%
IV Percentile	49.6%	15.5%	92.9%	82.1%	59.1%
Term Structure	0.3%	-20.5%	19.9%	-20.5%	-4.6%
VWIV	79.4%	56.4%	110.9%	110.9%	56.4%
Skew 25d	7.6%	-37.9%	54.1%	43.8%	5.9%
Skew 10d	22.3%	-35.3%	74.0%	74.0%	21.6%
Call IV 25d	92.7%	67.6%	128.6%	67.6%	81.7%
Put IV 25d	100.3%	73.9%	181.3%	111.4%	87.6%
Bid-Ask Spread %	99.89	72.87	122.53	98.36	115.81
Gamma HHI	0.51	0.46	0.60	0.51	0.46
Net GEX	15.8K	11.8K	20.5K	12.2K	18.3K
Net DEX	-858.8K	-1.3M	-633.0K	-653.6K	-1.1M
Net VEX	-4.2K	-4.9K	-3.1K	-3.7K	-4.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.00	15.00	1.11	0.11
Total Volume	0.789	0	2	0	0
Total OI	6.053	5	7	5	6

Daily Data (19 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	Put Vol	Call OI	Put OI
2015-11-02	$4398.00	$4500.00	91.2%	26.1%	49.2%	46.3%	110.9%	43.8%	-20.5%	12.2K	-653.6K	-3.7K	1.11	98.36	N/A	N/A	0	0	4	1
2015-11-04	$4746.00	$4500.00	71.1%	20.4%	54.8%	35.9%	0.0%	54.1%	-12.3%	11.8K	-870.7K	-3.1K	1.07	78.11	N/A	N/A	0	0	4	1
2015-11-05	$4728.00	$3000.00	74.1%	20.7%	54.8%	37.5%	85.9%	-15.1%	7.1%	17.9K	-794.9K	-3.7K	1.08	110.05	N/A	N/A	0	0	4	1
2015-11-06	$4926.00	$3000.00	91.4%	20.6%	56.1%	46.4%	0.0%	42.8%	15.7%	20.1K	-890.1K	-3.6K	0.01	111.64	N/A	N/A	0	0	4	1
2015-11-09	$5304.00	$3000.00	101.4%	22.7%	60.4%	51.5%	75.2%	-21.7%	-6.0%	16.6K	-1.3M	-4.5K	0.04	89.67	N/A	N/A	0	0	5	1
2015-11-10	$4830.00	$4500.00	72.5%	18.3%	70.5%	36.7%	83.3%	-37.9%	3.8%	20.5K	-1.1M	-4.2K	0.77	98.43	N/A	N/A	1	0	5	1
2015-11-11	$4938.00	$4500.00	83.9%	24.1%	70.6%	42.5%	81.1%	12.7%	-10.4%	14.6K	-1.1M	-4.0K	0.77	72.87	N/A	N/A	1	0	5	1
2015-11-12	$4296.00	$4500.00	73.0%	20.9%	87.8%	37.0%	91.7%	-13.5%	7.8%	16.7K	-700.4K	-3.8K	0.73	77.55	N/A	N/A	1	0	5	1
2015-11-13	$4242.00	$4500.00	74.0%	21.2%	87.1%	37.5%	71.3%	43.6%	12.2%	14.9K	-716.4K	-4.1K	0.79	115.91	N/A	N/A	1	1	5	1
2015-11-16	$4140.00	$4500.00	76.5%	21.9%	87.5%	38.7%	0.0%	-4.4%	-3.8%	15.1K	-633.0K	-3.9K	0.00	91.08	N/A	N/A	0	0	6	1
2015-11-17	$4296.00	$4500.00	88.5%	25.4%	88.1%	44.9%	84.6%	6.9%	-4.8%	17.2K	-721.5K	-4.1K	0.62	104.55	N/A	N/A	1	1	6	1
2015-11-18	$4308.00	$4500.00	70.6%	20.2%	88.1%	35.7%	71.2%	0.0%	3.3%	18.3K	-781.5K	-4.4K	0.77	110.79	N/A	N/A	1	1	6	1
2015-11-19	$4242.00	$4500.00	86.2%	24.7%	87.4%	49.6%	76.8%	8.7%	-2.0%	13.0K	-701.6K	-4.5K	0.83	106.03	N/A	N/A	1	1	6	1
2015-11-20	$4254.00	$4500.00	79.6%	22.8%	87.4%	45.8%	77.5%	7.5%	6.7%	12.5K	-677.8K	-4.4K	0.91	114.33	N/A	N/A	1	1	6	1
2015-11-23	$4392.00	$4500.00	75.0%	21.5%	87.8%	43.0%	0.0%	17.6%	-4.8%	13.9K	-758.8K	-4.4K	15.00	100.90	N/A	N/A	0	0	5	1
2015-11-24	$4470.00	$4500.00	71.8%	20.6%	87.6%	41.2%	72.2%	-8.6%	2.7%	14.0K	-820.4K	-4.6K	0.00	98.31	N/A	N/A	0	0	5	1
2015-11-25	$4746.00	$4500.00	67.8%	19.4%	88.9%	38.9%	57.2%	13.1%	19.9%	16.7K	-938.7K	-4.6K	1.72	80.94	N/A	N/A	0	1	5	1
2015-11-27	$4602.00	$4500.00	78.3%	22.4%	85.5%	45.0%	95.4%	-11.1%	-3.4%	15.4K	-1.0M	-4.9K	1.85	122.53	N/A	N/A	0	1	5	1
2015-11-30	$4986.00	$4500.00	80.0%	22.9%	88.0%	46.0%	56.4%	5.9%	-4.6%	18.3K	-1.1M	-4.8K	0.11	115.81	N/A	N/A	0	0	5	1