WATT Options History — May 2016

In May 2016, WATT traded between $5766.00 and $6894.00. ATM implied volatility averaged 99.0%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 27.3%. IV traded above realized volatility by 30.6% (HV 20d: 68.4%). 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 16 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2016-05-19: Highest Volume — 4 contracts
  • 2016-05-11: Largest IV drop — 20.1% change
  • 2016-05-09: Highest IV Rank — 60.9%
  • 2016-05-04: Largest Expected Move — 33.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6174.29$5766.00$6894.00$6090.00$6378.00
Max Pain$5785.71$4500.00$6000.00$4500.00$6000.00
ATM IV99.0%77.3%125.8%107.9%79.9%
Expected Move27.3%22.2%33.4%30.9%22.9%
HV 20d68.4%48.0%78.4%52.4%76.5%
HV 60d79.0%75.1%85.1%83.3%75.2%
IV Rank36.7%17.1%60.9%44.7%19.5%
IV Percentile63.8%29.8%90.5%81.3%35.7%
Term Structure2.5%-19.1%12.9%-6.6%9.1%
VWIV96.8%78.2%116.6%116.6%90.0%
Skew 25d1.6%-17.2%39.0%0.3%-17.2%
Skew 10d9.4%-33.4%65.6%30.1%-33.4%
Call IV 25d99.0%82.8%117.1%117.1%92.1%
Put IV 25d100.6%74.9%124.8%117.4%74.9%
Bid-Ask Spread %67.1844.3383.2571.5863.21
Gamma HHI0.330.230.460.310.30
Net GEX52.5K28.4K69.7K46.4K64.3K
Net DEX-3.6M-5.9M-1.8M-3.4M-3.3M
Net VEX-13.9K-17.2K-11.3K-11.9K-17.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.151.740.370.64
Total Volume21413
Total OI2015241820

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$6090.00$4500.00107.9%30.9%52.4%44.7%116.6%0.3%-6.6%46.4K-3.4M-11.9K0.3771.58N/AN/A10135
2016-05-03$5964.00$4500.00109.4%31.4%52.4%46.0%109.8%5.8%0.6%45.1K-3.1M-11.6K0.2574.49N/AN/A10135
2016-05-04$6042.00$4500.00116.5%33.4%48.0%52.5%116.6%5.8%-19.1%47.3K-3.2M-11.3K0.3872.50N/AN/A10135
2016-05-05$6312.00$6000.00111.7%27.4%49.1%48.1%95.9%-0.1%1.6%55.5K-3.8M-11.3K0.3483.25N/AN/A10135
2016-05-06$6810.00$6000.00121.8%29.4%55.7%57.2%102.6%1.7%3.3%57.5K-4.9M-12.5K0.1572.52N/AN/A30135
2016-05-09$6606.00$6000.00125.8%29.7%54.9%60.9%106.7%-12.0%-4.9%60.7K-5.3M-13.8K0.2478.85N/AN/A21155
2016-05-10$6894.00$6000.00124.1%30.1%56.0%59.3%105.2%2.7%4.2%69.7K-5.9M-14.6K0.3677.00N/AN/A11165
2016-05-11$5946.00$6000.0099.2%28.5%78.1%36.9%99.9%5.8%-1.7%54.6K-3.5M-13.6K0.4669.64N/AN/A21166
2016-05-12$6084.00$6000.0094.6%27.1%78.4%32.7%92.1%5.1%10.5%58.6K-4.0M-14.3K0.4774.05N/AN/A10166
2016-05-13$5934.00$6000.00102.1%29.3%78.0%39.5%99.7%-4.5%-4.0%56.3K-3.6M-14.3K0.5378.04N/AN/A10166
2016-05-16$6066.00$6000.0097.2%27.9%74.2%35.1%95.6%1.5%0.2%58.2K-3.9M-13.7K1.0374.02N/AN/A11176
2016-05-17$6252.00$6000.0095.0%27.2%73.1%33.0%100.3%7.7%5.3%28.4K-5.4M-12.9K1.0260.52N/AN/A11176
2016-05-18$5886.00$6000.0098.2%28.2%75.2%36.0%98.9%-4.0%2.0%58.8K-3.3M-13.8K0.8878.20N/AN/A11177
2016-05-19$5766.00$6000.00100.2%28.7%74.4%37.7%99.9%-9.2%5.5%57.3K-2.6M-12.9K0.3072.61N/AN/A31177
2016-05-20$5772.00$6000.0086.3%24.7%73.9%25.2%90.5%0.7%7.4%32.4K-1.8M-13.4K0.4547.64N/AN/A21177
2016-05-23$6132.00$6000.0086.5%24.8%77.5%25.4%87.1%3.5%5.6%39.1K-2.5M-14.3K0.4044.33N/AN/A10123
2016-05-24$6090.00$6000.0083.7%24.0%77.2%22.9%84.1%0.7%5.4%43.0K-2.6M-14.7K0.4253.53N/AN/A10123
2016-05-25$6216.00$6000.0082.6%23.7%77.4%21.9%83.0%5.3%4.1%49.1K-2.9M-15.8K0.6163.15N/AN/A21134
2016-05-26$6186.00$6000.0077.3%22.2%77.0%17.1%78.2%39.0%12.9%56.9K-2.8M-17.1K1.4656.83N/AN/A11145
2016-05-27$6234.00$6000.0078.4%22.5%76.2%18.1%79.9%-4.6%9.9%62.6K-2.9M-16.8K1.7444.82N/AN/A11145
2016-05-31$6378.00$6000.0079.9%22.9%76.5%19.5%90.0%-17.2%9.1%64.3K-3.3M-17.2K0.6463.21N/AN/A21155