WATT Options History — December 2015

In December 2015, WATT traded between $4284.00 and $4950.00. ATM implied volatility averaged 77.8%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded above realized volatility by 11.4% (HV 20d: 66.5%). 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 12 of 22 days. Put/call ratio averaged 2.81.

Notable Days

  • 2015-12-18: Highest Volume — 2 contracts
  • 2015-12-29: Largest IV spike — 57.3% change
  • 2015-12-16: Highest IV Rank — 79.4%
  • 2015-12-16: Largest Expected Move — 28.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4599.00$4284.00$4950.00$4866.00$4860.00
Max Pain$4500.00$4500.00$4500.00$4500.00$4500.00
ATM IV77.8%58.3%99.3%75.7%81.5%
Expected Move22.1%16.7%28.5%21.7%23.4%
HV 20d66.5%48.8%88.2%86.5%48.8%
HV 60d66.8%63.6%68.2%66.2%63.7%
IV Rank53.4%3.2%79.4%43.5%37.0%
IV Percentile48.3%0.4%94.8%40.5%65.5%
Term Structure3.2%-16.7%32.1%13.4%-16.7%
VWIV79.5%67.4%99.8%83.7%77.7%
Skew 25d10.3%-8.1%28.4%20.1%27.0%
Skew 10d24.8%-7.6%56.4%18.2%21.0%
Call IV 25d77.2%57.0%97.8%63.5%57.0%
Put IV 25d87.4%75.9%102.8%83.6%84.0%
Bid-Ask Spread %99.3171.36119.99115.28106.51
Gamma HHI0.500.460.550.470.52
Net GEX14.9K11.2K20.6K16.0K20.6K
Net DEX-902.3K-1.1M-710.3K-1.1M-1.0M
Net VEX-4.5K-4.9K-4.1K-4.9K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.810.006.670.001.55
Total Volume0.7270200
Total OI66666

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$4866.00$4500.0075.7%21.7%86.5%43.5%0.0%20.1%13.4%16.0K-1.1M-4.9K0.00115.28N/AN/A0051
2015-12-02$4656.00$4500.0081.2%23.3%88.2%46.7%83.7%5.1%5.8%15.2K-1.0M-4.8K1.83111.71N/AN/A0151
2015-12-03$4374.00$4500.0076.7%23.0%86.6%61.1%79.2%-8.1%-7.0%11.2K-961.5K-4.3K2.1799.86N/AN/A0151
2015-12-04$4350.00$4500.0078.1%22.8%86.6%62.3%76.9%-0.6%-1.2%12.8K-751.2K-4.5K2.35109.23N/AN/A0151
2015-12-07$4476.00$4500.0091.5%23.6%85.9%73.1%0.0%16.1%-3.7%14.5K-785.9K-4.5K0.00102.36N/AN/A0051
2015-12-08$4404.00$4500.0092.9%22.4%80.7%74.2%73.8%9.9%3.1%13.4K-800.1K-4.6K3.3783.14N/AN/A0151
2015-12-09$4296.00$4500.0080.7%23.1%74.7%64.4%78.3%8.1%-0.5%13.3K-710.3K-4.4K3.40108.01N/AN/A0151
2015-12-10$4284.00$4500.0079.5%22.8%73.9%63.4%78.2%12.5%4.2%12.6K-733.0K-4.5K3.70106.12N/AN/A0151
2015-12-11$4326.00$4500.0074.3%21.3%55.2%59.1%73.9%9.3%9.7%12.6K-733.9K-4.4K4.05104.19N/AN/A0151
2015-12-14$4320.00$4500.0079.3%22.7%54.9%63.2%85.8%21.0%-7.0%12.3K-801.3K-4.3K4.36119.99N/AN/A0151
2015-12-15$4356.00$4500.0075.7%21.7%54.2%60.3%71.2%12.4%1.9%13.3K-736.5K-4.3K3.8199.12N/AN/A0151
2015-12-16$4530.00$4500.0099.3%28.5%54.4%79.4%99.8%17.4%-13.7%15.8K-855.7K-4.4K3.9793.45N/AN/A0151
2015-12-17$4506.00$4500.0071.0%20.3%54.4%56.5%71.5%19.6%9.5%14.4K-895.0K-4.5K3.9098.70N/AN/A0151
2015-12-18$4950.00$4500.0063.4%18.2%62.9%50.4%67.4%28.4%22.6%12.7K-1.1M-4.8K1.3187.84N/AN/A1151
2015-12-21$4800.00$4500.0076.6%22.0%64.4%61.1%78.0%18.5%-2.6%15.1K-950.4K-4.5K1.4171.36N/AN/A0051
2015-12-22$4734.00$4500.0071.6%20.5%64.0%57.0%76.4%3.9%10.5%13.9K-934.8K-4.6K4.6283.93N/AN/A0051
2015-12-23$4800.00$4500.0060.6%17.4%63.9%48.0%0.0%8.0%9.2%18.1K-1.0M-4.2K2.73103.58N/AN/A0051
2015-12-24$4800.00$4500.0072.3%20.7%60.3%23.6%91.8%2.3%20.4%16.9K-901.3K-4.4K6.6792.11N/AN/A0151
2015-12-28$4842.00$4500.0058.3%16.7%59.2%3.2%71.6%-1.6%32.1%17.6K-1.0M-4.5K2.75107.72N/AN/A0151
2015-12-29$4860.00$4500.0091.7%26.3%51.7%52.0%96.7%-1.4%-11.5%18.0K-981.1K-4.3K1.4974.44N/AN/A0151
2015-12-30$4788.00$4500.0080.7%23.1%51.2%35.8%77.7%-1.9%-8.1%17.5K-945.6K-4.2K2.37106.18N/AN/A0051
2015-12-31$4860.00$4500.0081.5%23.4%48.8%37.0%0.0%27.0%-16.7%20.6K-1.0M-4.1K1.55106.51N/AN/A0051