WATT Options History — February 2016

In February 2016, WATT traded between $3006.00 and $4500.00. ATM implied volatility averaged 135.2%, placing in the 76.4% IV rank vs the trailing year. The 30-day expected move averaged 38.9%. IV traded below realized volatility by 21.5% (HV 20d: 156.7%). Max pain ranged from $3000.00 to $4500.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2016-02-03: Highest Volume — 2 contracts
  • 2016-02-29: Largest IV spike — 27.5% change
  • 2016-02-02: Highest IV Rank — 100.0%
  • 2016-02-09: Largest Expected Move — 43.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3759.90$3006.00$4500.00$3666.00$4494.00
Max Pain$3150.00$3000.00$4500.00$3000.00$4500.00
ATM IV135.2%97.8%167.1%120.0%124.6%
Expected Move38.9%28.0%43.5%34.4%35.7%
HV 20d156.7%101.7%178.0%176.6%101.7%
HV 60d116.6%111.9%121.4%116.1%120.2%
IV Rank76.4%37.6%100.0%81.7%61.8%
IV Percentile96.0%81.3%100.0%96.4%92.9%
Term Structure-14.2%-46.2%20.0%-30.8%-8.8%
VWIV134.4%102.9%157.0%110.0%126.5%
Skew 25d3.4%-14.0%14.4%-5.7%5.8%
Skew 10d0.1%-30.5%34.5%-4.1%-6.9%
Call IV 25d119.6%96.9%138.7%123.6%114.8%
Put IV 25d123.0%103.4%140.7%117.9%120.6%
Bid-Ask Spread %79.2857.30107.81107.8178.87
Gamma HHI0.420.350.620.360.42
Net GEX11.6K4.7K18.9K9.1K18.6K
Net DEX-940.6K-1.5M-390.4K-715.1K-1.5M
Net VEX-4.6K-5.9K-3.5K-3.7K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.392.471.531.40
Total Volume1.30211
Total OI9.671299

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$3666.00$3000.00120.0%34.4%176.6%81.7%110.0%-5.7%-30.8%9.1K-715.1K-3.7K1.53107.81N/AN/A0172
2016-02-02$3462.00$3000.00146.1%41.9%176.6%100.0%142.3%9.0%-46.2%12.2K-660.6K-3.9K1.5199.03N/AN/A0172
2016-02-03$3450.00$3000.00145.7%41.8%175.8%99.6%141.2%3.7%-15.1%11.9K-639.7K-3.8K1.4297.48N/AN/A1172
2016-02-04$3678.00$3000.00121.1%38.0%178.0%72.2%124.6%-4.1%-24.6%8.9K-770.6K-3.9K0.9881.72N/AN/A1172
2016-02-05$3618.00$3000.00124.5%40.4%178.0%76.1%129.4%13.2%-30.5%15.6K-859.7K-4.4K2.4776.36N/AN/A0172
2016-02-08$3246.00$3000.00154.6%43.0%176.7%100.0%147.7%0.2%-26.9%6.1K-603.2K-3.9K0.5282.57N/AN/A1073
2016-02-09$3150.00$3000.00167.1%43.5%176.4%100.0%156.7%4.3%-26.2%6.1K-471.2K-4.0K0.5178.34N/AN/A1083
2016-02-10$3120.00$3000.00144.0%41.3%176.0%79.2%152.6%-5.1%-12.3%4.7K-470.1K-4.0K0.5176.77N/AN/A1083
2016-02-11$3018.00$3000.00141.0%40.4%171.1%76.5%157.0%-0.2%-14.2%5.3K-390.4K-3.9K0.6565.54N/AN/A1083
2016-02-12$3006.00$3000.00149.6%42.9%167.8%84.3%146.8%2.8%-11.8%4.9K-401.7K-3.9K0.6078.01N/AN/A1083
2016-02-16$3324.00$3000.00134.2%38.5%171.5%70.4%0.0%6.2%-2.5%7.6K-603.4K-3.5K0.9268.33N/AN/A0083
2016-02-17$3780.00$3000.00148.9%42.7%148.3%83.6%130.0%-0.6%-1.6%13.1K-995.5K-4.4K0.4965.41N/AN/A1183
2016-02-18$4080.00$3000.00138.3%39.7%136.7%74.1%140.5%11.3%-8.1%11.2K-1.1M-4.7K0.3970.05N/AN/A1083
2016-02-19$4284.00$3000.00138.5%39.7%134.6%74.3%137.5%1.6%-15.4%13.7K-1.4M-5.2K0.6057.30N/AN/A1193
2016-02-22$4470.00$3000.00119.0%34.1%134.5%56.7%120.6%11.4%8.6%15.0K-1.5M-5.6K0.8864.71N/AN/A1161
2016-02-23$4062.00$3000.00143.2%41.0%137.4%78.5%136.4%-14.0%-19.6%13.9K-1.3M-5.4K1.7773.93N/AN/A0161
2016-02-24$4500.00$3000.00128.8%36.9%140.3%65.5%128.3%6.1%-18.3%17.5K-1.5M-5.5K0.8487.39N/AN/A1171
2016-02-25$4362.00$3000.00117.4%33.7%138.3%55.3%123.0%8.7%-0.6%17.2K-1.4M-5.8K0.8990.42N/AN/A1171
2016-02-26$4428.00$4500.0097.8%28.0%138.3%37.6%102.9%14.4%20.0%18.9K-1.5M-5.9K1.3085.57N/AN/A0172
2016-02-29$4494.00$4500.00124.6%35.7%101.7%61.8%126.5%5.8%-8.8%18.6K-1.5M-5.7K1.4078.87N/AN/A0172