WATT Options History — January 2016

In January 2016, WATT traded between $2310.00 and $4980.00. ATM implied volatility averaged 113.1%, placing in the 75.7% IV rank vs the trailing year. The 30-day expected move averaged 29.0%. IV traded above realized volatility by 13.3% (HV 20d: 99.9%). 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 8 of 19 days. Put/call ratio averaged 0.69.

Notable Days

2016-01-05: Highest Volume — 2 contracts
2016-01-19: Largest IV spike — 41.5% change
2016-01-11: Highest IV Rank — 100.0%
2016-01-20: Largest Expected Move — 37.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3468.00	$2310.00	$4980.00	$4980.00	$3744.00
Max Pain	$3789.47	$3000.00	$4500.00	$4500.00	$3000.00
ATM IV	113.1%	88.0%	134.4%	124.6%	116.0%
Expected Move	29.0%	20.3%	37.1%	23.7%	33.2%
HV 20d	99.9%	43.0%	176.8%	43.0%	176.8%
HV 60d	85.2%	63.6%	116.0%	63.6%	116.0%
IV Rank	75.7%	40.8%	100.0%	99.9%	76.5%
IV Percentile	95.4%	77.0%	100.0%	99.6%	96.0%
Term Structure	-0.4%	-18.8%	21.5%	-7.9%	14.2%
VWIV	104.9%	73.6%	137.4%	77.0%	128.0%
Skew 25d	12.4%	-24.6%	74.1%	24.6%	10.8%
Skew 10d	18.6%	-39.2%	102.7%	79.2%	7.0%
Call IV 25d	99.3%	70.7%	141.3%	78.6%	108.5%
Put IV 25d	111.7%	71.1%	177.8%	103.2%	119.3%
Bid-Ask Spread %	80.08	52.62	100.98	90.76	90.33
Gamma HHI	0.43	0.35	0.53	0.51	0.36
Net GEX	11.0K	5.1K	22.4K	22.4K	13.9K
Net DEX	-459.9K	-1.1M	33.6K	-1.1M	-1.0M
Net VEX	-3.5K	-5.0K	-2.2K	-4.2K	-5.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.06	1.69	0.52	0.06
Total Volume	0.895	0	2	1	1
Total OI	7.632	6	9	6	9

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
2016-01-04	$4980.00	$4500.00	124.6%	23.7%	43.0%	99.9%	77.0%	24.6%	-7.9%	22.4K	-1.1M	-4.2K	0.52	90.76	N/A	N/A	1	0	5	1
2016-01-05	$4668.00	$4500.00	94.6%	23.3%	49.7%	56.2%	73.6%	0.4%	-4.6%	16.9K	-998.8K	-4.7K	0.91	85.99	N/A	N/A	1	1	5	1
2016-01-06	$4602.00	$4500.00	96.2%	22.6%	49.2%	58.4%	76.5%	6.1%	-3.4%	16.5K	-943.8K	-4.7K	1.69	88.35	N/A	N/A	0	0	6	1
2016-01-07	$4554.00	$4500.00	101.6%	25.1%	49.0%	66.3%	85.7%	-11.6%	-5.2%	16.1K	-830.8K	-4.6K	0.76	97.32	N/A	N/A	0	0	6	1
2016-01-08	$4020.00	$4500.00	105.6%	20.3%	66.0%	72.1%	76.8%	-5.0%	0.3%	13.9K	-631.3K	-4.3K	0.75	76.01	N/A	N/A	0	0	6	1
2016-01-11	$3834.00	$4500.00	125.9%	22.0%	67.8%	100.0%	78.4%	33.7%	-7.3%	12.6K	-392.7K	-3.8K	0.81	63.54	N/A	N/A	0	0	6	1
2016-01-12	$3684.00	$4500.00	134.4%	22.2%	68.6%	100.0%	88.0%	-9.2%	6.4%	12.3K	-314.1K	-3.5K	0.76	60.12	N/A	N/A	1	0	6	1
2016-01-13	$3258.00	$4500.00	91.5%	26.2%	79.7%	45.2%	85.7%	12.9%	16.0%	6.2K	-26.3K	-2.4K	1.32	62.40	N/A	N/A	0	0	6	2
2016-01-14	$2970.00	$4500.00	100.6%	28.8%	83.9%	56.9%	99.6%	2.4%	2.2%	5.1K	33.6K	-2.2K	1.46	56.95	N/A	N/A	0	0	6	2
2016-01-15	$2958.00	$4500.00	88.0%	25.2%	81.3%	40.8%	89.7%	15.8%	21.5%	6.1K	-521	-2.4K	0.25	100.98	N/A	N/A	2	0	6	2
2016-01-19	$2310.00	$3000.00	124.5%	35.7%	113.8%	87.4%	136.3%	62.3%	-18.8%	6.3K	-203.9K	-2.4K	0.26	82.29	N/A	N/A	1	0	7	1
2016-01-20	$2790.00	$3000.00	129.3%	37.1%	131.5%	93.5%	131.6%	74.1%	-12.4%	7.3K	-260.0K	-2.9K	0.29	83.28	N/A	N/A	1	0	7	1
2016-01-21	$3054.00	$3000.00	126.7%	36.3%	138.1%	90.2%	128.5%	-10.1%	-6.2%	10.3K	-470.1K	-3.6K	0.44	83.90	N/A	N/A	1	0	7	1
2016-01-22	$3024.00	$3000.00	115.6%	33.1%	138.2%	76.0%	120.8%	15.3%	5.6%	9.7K	-365.4K	-3.3K	0.48	82.60	N/A	N/A	1	0	7	1
2016-01-25	$2832.00	$3000.00	120.5%	34.5%	138.3%	82.2%	125.4%	-24.6%	-10.7%	8.4K	-331.4K	-3.2K	0.49	52.62	N/A	N/A	1	0	7	1
2016-01-26	$2970.00	$3000.00	124.4%	35.7%	140.5%	87.3%	128.8%	21.2%	-10.9%	8.8K	-294.0K	-3.0K	0.45	84.78	N/A	N/A	1	0	7	1
2016-01-27	$2790.00	$3000.00	107.2%	30.7%	140.6%	65.3%	125.9%	12.8%	20.7%	8.4K	-289.2K	-3.0K	0.86	94.28	N/A	N/A	1	1	7	1
2016-01-28	$2850.00	$3000.00	122.4%	35.1%	141.2%	84.7%	137.4%	4.1%	-6.4%	8.2K	-275.4K	-3.1K	0.51	84.92	N/A	N/A	1	1	7	2
2016-01-29	$3744.00	$3000.00	116.0%	33.2%	176.8%	76.5%	128.0%	10.8%	14.2%	13.9K	-1.0M	-5.0K	0.06	90.33	N/A	N/A	1	0	7	2