WATT Options History — July 2016

In July 2016, WATT traded between $7032.00 and $7806.00. ATM implied volatility averaged 87.5%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded above realized volatility by 25.8% (HV 20d: 61.7%). Max pain ranged from $6000.00 to $7500.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2016-07-07: Highest Volume — 4 contracts
  • 2016-07-11: Largest IV spike — 35.9% change
  • 2016-07-11: Highest IV Rank — 48.5%
  • 2016-07-07: Largest Expected Move — 29.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7340.70$7032.00$7806.00$7260.00$7506.00
Max Pain$6075.00$6000.00$7500.00$7500.00$6000.00
ATM IV87.5%76.8%112.1%86.0%76.8%
Expected Move25.5%22.0%29.9%24.7%22.0%
HV 20d61.7%40.0%84.2%84.2%40.0%
HV 60d68.5%67.2%70.0%70.0%67.2%
IV Rank26.3%16.7%48.5%25.0%16.7%
IV Percentile42.8%22.6%81.3%40.5%22.6%
Term Structure3.4%-5.4%23.8%23.8%10.9%
VWIV88.1%75.1%103.7%79.0%75.1%
Skew 25d7.5%-1.7%19.5%19.5%5.9%
Skew 10d20.3%-8.4%52.7%-8.4%5.1%
Call IV 25d88.3%76.9%102.0%83.4%76.9%
Put IV 25d95.8%82.9%106.4%102.9%82.9%
Bid-Ask Spread %49.4231.8385.4177.5985.41
Gamma HHI0.380.290.510.350.51
Net GEX126.7K91.6K172.1K127.7K150.4K
Net DEX-6.1M-8.9M-4.1M-7.4M-6.9M
Net VEX-25.7K-31.1K-22.0K-31.1K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.631.391.031.20
Total Volume2.32422
Total OI34.9530403733

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$7260.00$7500.0086.0%24.7%84.2%25.0%79.0%19.5%23.8%127.7K-7.4M-31.1K1.0377.59N/AN/A112512
2016-07-05$7374.00$6000.00105.4%29.3%84.1%42.4%99.1%6.0%-2.5%121.0K-7.0M-30.2K0.9231.83N/AN/A112512
2016-07-06$7278.00$6000.0089.5%29.1%77.7%28.1%98.5%1.9%-1.3%129.1K-6.3M-27.8K1.0948.66N/AN/A112512
2016-07-07$7266.00$6000.0087.4%29.9%77.5%26.2%103.7%-1.2%-5.2%124.6K-6.2M-27.3K1.0548.07N/AN/A222512
2016-07-08$7362.00$6000.0082.5%27.0%77.4%21.8%95.9%-1.7%7.1%143.9K-6.6M-28.3K0.7935.50N/AN/A112613
2016-07-11$7662.00$6000.00112.1%28.2%76.3%48.5%97.9%14.2%-5.4%153.4K-7.9M-29.2K0.6341.52N/AN/A212613
2016-07-12$7806.00$6000.0090.9%26.9%72.6%29.4%98.7%10.8%7.7%172.1K-8.9M-29.4K0.8537.70N/AN/A212613
2016-07-13$7464.00$6000.0093.1%26.7%61.8%31.4%101.2%12.0%1.2%155.5K-6.9M-27.5K1.1242.47N/AN/A112613
2016-07-14$7236.00$6000.0090.6%26.0%56.6%29.1%91.9%-1.0%5.8%161.0K-5.9M-27.4K0.7339.12N/AN/A112613
2016-07-15$7152.00$6000.0087.3%25.0%56.4%26.1%88.1%4.6%2.1%93.9K-4.1M-25.0K1.0636.32N/AN/A112614
2016-07-18$7176.00$6000.0091.0%26.1%56.0%29.4%87.4%11.7%-4.6%92.2K-5.0M-23.0K0.7047.47N/AN/A112010
2016-07-19$7110.00$6000.0079.9%22.9%54.3%19.4%86.7%4.8%2.4%94.5K-4.9M-23.7K1.2141.99N/AN/A112011
2016-07-20$7110.00$6000.0083.0%23.8%54.3%22.3%78.3%1.2%1.6%95.4K-4.7M-22.5K1.3952.41N/AN/A112011
2016-07-21$7032.00$6000.0082.0%23.5%54.1%21.4%83.5%7.4%2.6%91.6K-4.6M-23.7K1.2153.84N/AN/A112011
2016-07-22$7182.00$6000.0083.3%23.9%54.5%22.5%84.4%-0.3%0.8%102.7K-4.9M-22.6K1.2046.93N/AN/A112011
2016-07-25$7404.00$6000.0081.4%23.3%55.1%20.8%79.4%16.7%8.1%113.5K-5.4M-22.0K0.7353.86N/AN/A212011
2016-07-26$7506.00$6000.0082.7%23.7%54.5%21.9%78.4%16.2%6.6%128.0K-6.2M-24.0K0.7350.75N/AN/A212111
2016-07-27$7410.00$6000.0078.9%22.6%43.1%18.6%78.0%11.0%5.2%139.1K-6.1M-23.5K0.9456.26N/AN/A112211
2016-07-28$7518.00$6000.0086.0%24.7%43.2%25.0%77.3%9.8%1.6%145.3K-6.3M-23.4K1.3960.63N/AN/A112211
2016-07-29$7506.00$6000.0076.8%22.0%40.0%16.7%75.1%5.9%10.9%150.4K-6.9M-22.3K1.2085.41N/AN/A112211