WATT Options History — March 2016

In March 2016, WATT traded between $4050.00 and $6588.00. ATM implied volatility averaged 117.1%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 32.1%. IV traded above realized volatility by 23.2% (HV 20d: 93.9%). Max pain ranged from $4500.00 to $6000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.82.

Notable Days

  • 2016-03-16: Highest Volume — 6 contracts
  • 2016-03-04: Largest IV spike — 24.7% change
  • 2016-03-07: Highest IV Rank — 100.0%
  • 2016-03-02: Largest Expected Move — 39.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5007.55$4050.00$6588.00$4428.00$6060.00
Max Pain$5386.36$4500.00$6000.00$4500.00$6000.00
ATM IV117.1%84.9%169.3%132.6%92.0%
Expected Move32.1%24.4%39.6%38.0%26.4%
HV 20d93.9%80.2%107.2%101.5%90.8%
HV 60d123.7%119.6%129.1%119.9%129.1%
IV Rank54.1%25.5%100.0%69.0%30.4%
IV Percentile84.3%58.7%100.0%94.8%69.0%
Term Structure9.0%-25.4%39.2%-21.2%18.5%
VWIV108.0%91.5%139.3%122.2%101.7%
Skew 25d9.2%-7.9%32.8%32.8%-7.9%
Skew 10d17.1%-17.5%50.7%29.5%0.5%
Call IV 25d115.0%94.1%151.4%95.0%102.3%
Put IV 25d124.1%94.4%149.6%127.7%94.4%
Bid-Ask Spread %73.0556.2488.8188.8175.18
Gamma HHI0.440.280.540.400.54
Net GEX21.8K9.2K40.3K17.3K39.9K
Net DEX-2.3M-5.0M-760.1K-1.4M-3.9M
Net VEX-8.8K-13.2K-5.2K-5.7K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.275.031.830.83
Total Volume2.1821612
Total OI13919919

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$4428.00$4500.00132.6%38.0%101.5%69.0%122.2%32.8%-21.2%17.3K-1.4M-5.7K1.8388.81N/AN/A0172
2016-03-02$4170.00$4500.00138.1%39.6%101.8%73.9%139.3%10.5%-25.4%16.6K-1.3M-5.6K1.8486.68N/AN/A0172
2016-03-03$4188.00$6000.00117.3%32.4%101.7%55.2%99.2%7.7%11.5%17.6K-1.3M-5.5K2.1682.01N/AN/A0172
2016-03-04$4242.00$6000.00146.2%32.9%99.6%81.2%104.1%5.0%3.8%16.4K-1.3M-5.7K3.5774.71N/AN/A0172
2016-03-07$4290.00$6000.00169.3%35.7%99.3%100.0%95.0%-1.1%-0.7%14.5K-1.2M-5.9K4.3683.04N/AN/A0172
2016-03-08$4218.00$4500.00148.2%34.0%89.8%81.4%95.9%23.9%-0.5%15.5K-1.2M-5.7K5.0377.87N/AN/A0172
2016-03-09$4176.00$6000.00126.6%36.3%88.8%62.3%107.2%9.4%-10.4%14.4K-1.2M-5.7K4.2169.94N/AN/A0172
2016-03-10$4068.00$6000.00117.8%33.8%89.6%54.5%116.4%4.7%13.8%13.6K-1.1M-5.5K3.0062.19N/AN/A0172
2016-03-11$4050.00$6000.00103.8%29.7%88.2%42.1%96.1%23.7%17.1%13.4K-760.1K-5.2K3.1487.42N/AN/A0173
2016-03-14$4890.00$4500.00120.7%34.6%107.2%57.1%118.0%6.9%-9.4%15.3K-1.9M-5.8K1.8577.66N/AN/A1273
2016-03-15$4806.00$4500.00128.6%36.9%104.2%64.1%117.9%-0.2%7.6%9.2K-1.7M-7.2K0.2756.24N/AN/A2184
2016-03-16$5232.00$4500.00111.6%32.0%99.1%49.1%112.4%-1.1%39.2%14.9K-2.6M-8.7K0.6061.81N/AN/A4294
2016-03-17$5274.00$4500.00123.4%35.4%96.5%59.5%119.6%-6.6%21.9%19.7K-3.2M-11.2K1.1260.44N/AN/A11115
2016-03-18$5508.00$4500.00111.4%31.9%96.3%48.9%115.9%11.5%24.9%25.3K-3.4M-11.7K1.0964.15N/AN/A11125
2016-03-21$5400.00$4500.00113.2%32.5%96.3%50.5%110.0%3.7%8.4%26.4K-2.7M-11.4K1.0165.04N/AN/A22114
2016-03-22$5442.00$6000.0099.3%28.5%87.9%38.2%106.4%24.3%33.1%24.1K-2.7M-12.3K1.3477.15N/AN/A11115
2016-03-23$5544.00$6000.0092.8%26.6%81.6%32.5%91.5%11.0%18.1%24.3K-2.7M-12.3K0.7367.35N/AN/A21125
2016-03-24$5634.00$6000.0091.8%26.3%80.2%31.5%100.9%1.6%18.4%29.5K-3.0M-12.4K0.4075.25N/AN/A21125
2016-03-28$5808.00$6000.0099.5%28.5%80.4%38.3%106.7%2.6%15.2%34.0K-3.3M-12.8K0.8275.22N/AN/A11125
2016-03-29$6588.00$6000.00106.3%30.5%89.8%44.4%105.3%22.8%-12.5%40.3K-5.0M-12.6K0.3358.55N/AN/A31125
2016-03-30$6150.00$6000.0084.9%24.4%94.4%25.5%93.7%16.5%26.4%38.3K-4.0M-12.2K0.5780.50N/AN/A21126
2016-03-31$6060.00$6000.0092.0%26.4%90.8%30.4%101.7%-7.9%18.5%39.9K-3.9M-13.2K0.8375.18N/AN/A11136