WATT Options History — April 2016

In April 2016, WATT traded between $5928.00 and $6888.00. ATM implied volatility averaged 98.5%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 28.6%. IV traded above realized volatility by 23.9% (HV 20d: 74.6%). Max pain ranged from $4500.00 to $6000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2016-04-18: Highest Volume — 3 contracts
  • 2016-04-25: Largest IV spike — 31.5% change
  • 2016-04-14: Highest IV Rank — 47.4%
  • 2016-04-14: Largest Expected Move — 31.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6304.57$5928.00$6888.00$6198.00$6114.00
Max Pain$4571.43$4500.00$6000.00$6000.00$4500.00
ATM IV98.5%77.8%110.9%96.9%100.6%
Expected Move28.6%22.3%31.8%27.8%28.9%
HV 20d74.6%51.9%95.2%90.7%53.1%
HV 60d108.6%83.6%128.5%128.4%84.0%
IV Rank36.2%17.6%47.4%34.8%38.2%
IV Percentile71.7%36.9%81.7%73.0%74.2%
Term Structure0.7%-16.2%41.7%11.2%-5.9%
VWIV99.6%84.7%115.6%97.0%105.8%
Skew 25d5.2%-9.8%28.6%-1.7%-9.8%
Skew 10d15.4%-20.1%42.5%10.4%-20.1%
Call IV 25d100.3%89.8%114.8%97.8%113.9%
Put IV 25d105.5%96.1%122.1%96.1%104.1%
Bid-Ask Spread %64.2744.3375.8570.3068.54
Gamma HHI0.390.300.520.490.30
Net GEX49.5K37.5K61.9K38.7K46.5K
Net DEX-4.3M-5.2M-3.3M-4.1M-3.3M
Net VEX-12.6K-13.6K-11.3K-13.2K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.131.250.720.29
Total Volume1.4760321
Total OI18.47616191918

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$6198.00$6000.0096.9%27.8%90.7%34.8%97.0%-1.7%11.2%38.7K-4.1M-13.2K0.7270.30N/AN/A11136
2016-04-04$6048.00$4500.0096.9%30.0%92.0%34.7%104.4%3.7%-12.7%42.0K-4.0M-13.4K0.8556.96N/AN/A11136
2016-04-05$5928.00$4500.00101.7%29.5%93.0%39.1%101.9%0.5%-6.1%37.5K-3.7M-13.4K0.7663.01N/AN/A10136
2016-04-06$6288.00$4500.0091.5%27.9%93.3%29.9%94.8%28.6%11.3%39.0K-4.9M-12.1K1.0659.52N/AN/A00136
2016-04-07$6084.00$4500.0096.0%27.2%94.6%34.0%97.3%-1.6%0.0%48.0K-4.2M-12.2K1.2559.20N/AN/A00136
2016-04-08$6162.00$4500.0087.5%28.6%93.2%26.3%100.8%8.1%-2.1%61.9K-4.2M-12.1K1.0062.65N/AN/A00136
2016-04-11$5928.00$4500.00104.8%29.1%95.2%41.9%99.5%4.4%-3.4%46.1K-3.7M-12.2K0.8257.50N/AN/A10136
2016-04-12$6084.00$4500.0095.0%28.5%71.3%33.1%98.0%3.4%-6.9%60.1K-3.9M-11.3K0.6347.74N/AN/A10136
2016-04-13$6180.00$4500.00107.3%30.8%70.5%44.1%115.6%10.3%-13.2%58.7K-4.1M-12.2K0.2044.33N/AN/A20136
2016-04-14$6270.00$4500.00110.9%31.8%65.1%47.4%111.3%7.3%-16.2%44.5K-4.9M-11.6K0.4969.18N/AN/A10136
2016-04-15$6450.00$4500.00106.6%30.6%65.5%43.5%107.9%3.6%-8.9%45.4K-5.0M-12.7K0.3761.15N/AN/A11136
2016-04-18$6888.00$4500.00100.6%28.8%67.4%38.1%100.0%8.0%-0.2%57.7K-5.2M-12.0K0.3569.45N/AN/A21124
2016-04-19$6528.00$4500.0099.3%28.5%70.5%36.9%100.6%2.1%-0.8%52.2K-4.7M-12.9K0.4065.51N/AN/A21134
2016-04-20$6306.00$4500.00101.5%29.1%72.2%38.9%97.4%13.0%7.4%50.0K-4.4M-13.6K0.4670.16N/AN/A11134
2016-04-21$6486.00$4500.0098.0%28.1%72.5%35.8%100.0%-4.5%9.0%53.3K-4.7M-13.0K0.4667.91N/AN/A10145
2016-04-22$6606.00$4500.0077.8%22.3%72.5%17.6%88.5%-5.4%41.7%54.2K-4.9M-13.0K0.7775.85N/AN/A10145
2016-04-25$6480.00$4500.00102.3%29.3%72.6%39.6%90.5%11.3%4.1%52.3K-4.6M-13.4K0.1371.62N/AN/A20145
2016-04-26$6588.00$4500.0094.7%27.2%57.3%32.8%92.3%5.7%10.5%53.0K-4.3M-13.0K0.2567.15N/AN/A20135
2016-04-27$6462.00$4500.00103.3%29.6%51.9%40.6%103.3%16.0%-4.4%50.9K-4.1M-13.0K0.3269.34N/AN/A20135
2016-04-28$6318.00$4500.0094.7%27.2%52.3%32.8%84.7%5.8%-0.3%48.4K-3.7M-12.7K0.3372.61N/AN/A20135
2016-04-29$6114.00$4500.00100.6%28.9%53.1%38.2%105.8%-9.8%-5.9%46.5K-3.3M-11.5K0.2968.54N/AN/A10135