WATT Options History — June 2016

In June 2016, WATT traded between $6282.00 and $8220.00. ATM implied volatility averaged 98.5%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 28.3%. IV traded above realized volatility by 26.7% (HV 20d: 71.8%). Max pain ranged from $6000.00 to $7500.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2016-06-14: Highest Volume — 14 contracts
  • 2016-06-28: Largest IV drop — 18.8% change
  • 2016-06-16: Highest IV Rank — 53.6%
  • 2016-06-16: Largest Expected Move — 33.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7021.36$6282.00$8220.00$6456.00$7752.00
Max Pain$7431.82$6000.00$7500.00$6000.00$7500.00
ATM IV98.5%79.9%117.8%81.9%89.1%
Expected Move28.3%23.5%33.8%23.5%25.5%
HV 20d71.8%49.0%80.3%76.1%80.3%
HV 60d70.8%65.6%76.6%75.2%68.9%
IV Rank36.2%19.4%53.6%21.2%27.7%
IV Percentile63.4%35.3%84.1%39.7%46.0%
Term Structure3.0%-13.0%17.6%8.4%6.1%
VWIV97.9%83.3%112.3%83.3%89.4%
Skew 25d6.0%-6.1%15.8%-1.3%0.1%
Skew 10d11.0%-16.3%43.0%-16.3%-1.2%
Call IV 25d98.4%83.1%119.2%83.1%96.4%
Put IV 25d104.4%81.8%125.0%81.8%96.4%
Bid-Ask Spread %57.5219.3481.4419.3465.97
Gamma HHI0.330.250.390.320.35
Net GEX94.6K52.5K145.6K74.9K145.6K
Net DEX-5.4M-9.6M-2.6M-3.5M-8.7M
Net VEX-25.2K-31.9K-17.4K-17.4K-31.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.261.801.190.98
Total Volume5.81821424
Total OI31.72720402037

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$6456.00$6000.0081.9%23.5%76.1%21.2%83.3%-1.3%8.4%74.9K-3.5M-17.4K1.1919.34N/AN/A11155
2016-06-02$6654.00$7500.0084.9%25.1%76.6%23.9%84.5%6.5%-2.1%80.5K-4.1M-18.3K1.2868.24N/AN/A11165
2016-06-03$6810.00$7500.0079.9%25.3%75.6%19.4%86.0%0.7%7.4%86.1K-4.5M-18.5K0.6860.69N/AN/A11165
2016-06-06$6930.00$7500.0088.8%25.9%70.9%27.5%87.4%1.3%2.2%96.0K-4.8M-18.8K1.1064.17N/AN/A22175
2016-06-07$7584.00$7500.00105.3%27.3%76.5%42.4%93.1%7.7%-2.6%104.9K-6.6M-21.1K0.5561.78N/AN/A53176
2016-06-08$7686.00$7500.0098.4%28.2%75.4%36.2%97.3%6.6%3.5%125.4K-7.0M-22.5K0.7151.09N/AN/A53198
2016-06-09$7794.00$7500.00102.2%29.3%49.0%39.6%103.0%-3.1%-13.0%137.1K-8.1M-26.0K0.7947.67N/AN/A54229
2016-06-10$8220.00$7500.00108.3%31.1%50.9%45.1%112.3%-6.1%-1.7%139.3K-9.6M-29.1K0.6147.82N/AN/A642410
2016-06-13$7674.00$7500.00108.6%31.1%57.4%45.3%107.2%11.5%2.7%128.4K-7.9M-29.1K0.7152.70N/AN/A852611
2016-06-14$6858.00$7500.00107.4%30.8%72.4%44.2%109.3%4.4%6.8%55.7K-3.4M-26.8K1.4745.25N/AN/A682613
2016-06-15$6384.00$7500.00108.5%31.1%76.8%45.3%102.6%9.8%-5.3%52.5K-2.8M-25.9K1.8051.98N/AN/A352613
2016-06-16$6282.00$7500.00117.8%33.8%73.7%53.6%107.7%15.8%-5.5%53.8K-2.6M-22.8K0.7459.51N/AN/A542613
2016-06-17$6444.00$7500.00111.2%31.9%73.5%47.7%108.7%8.4%3.8%63.9K-3.8M-24.9K0.8148.81N/AN/A432713
2016-06-20$6732.00$7500.00101.4%29.1%74.7%38.8%102.2%4.9%6.1%80.8K-4.7M-26.0K0.5147.63N/AN/A21229
2016-06-21$6768.00$7500.0097.5%27.9%72.1%35.3%94.1%8.0%13.2%82.9K-4.5M-26.7K0.4355.33N/AN/A112210
2016-06-22$6660.00$7500.0095.7%27.4%72.3%33.7%92.3%10.0%11.2%83.7K-4.3M-26.4K0.2658.67N/AN/A212310
2016-06-23$6648.00$7500.00100.3%28.8%72.1%37.8%95.9%14.8%-1.1%83.6K-4.1M-25.8K0.3769.30N/AN/A212310
2016-06-24$6762.00$7500.0094.8%27.2%72.2%32.9%108.0%12.7%7.3%87.1K-4.4M-26.4K0.7181.44N/AN/A222310
2016-06-27$6642.00$7500.00106.8%30.6%72.6%43.7%106.2%0.9%-4.3%85.4K-4.4M-27.5K0.8077.12N/AN/A222411
2016-06-28$7314.00$7500.0086.8%24.9%79.6%25.7%89.2%7.3%17.6%108.9K-6.5M-29.8K0.6066.74N/AN/A422411
2016-06-29$7416.00$7500.0092.0%26.4%79.6%30.4%94.9%11.9%4.8%123.8K-7.5M-31.8K0.8464.23N/AN/A212511
2016-06-30$7752.00$7500.0089.1%25.5%80.3%27.7%89.4%0.1%6.1%145.6K-8.7M-31.9K0.9865.97N/AN/A222512