WATT Options History — August 2016

In August 2016, WATT traded between $7296.00 and $10998.00. ATM implied volatility averaged 91.9%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 26.1%. IV traded above realized volatility by 41.3% (HV 20d: 50.6%). Max pain ranged from $6000.00 to $9000.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.11.

Notable Days

2016-08-29: Highest Volume — 12 contracts
2016-08-29: Largest IV spike — 25.2% change
2016-08-30: Highest IV Rank — 67.0%
2016-08-30: Largest Expected Move — 38.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8640.26	$7296.00	$10998.00	$7584.00	$10722.00
Max Pain	$7369.57	$6000.00	$9000.00	$6000.00	$9000.00
ATM IV	91.9%	80.1%	132.6%	86.1%	128.5%
Expected Move	26.1%	23.0%	38.0%	24.7%	36.8%
HV 20d	50.6%	32.2%	76.5%	32.2%	76.2%
HV 60d	61.9%	56.6%	67.9%	66.7%	66.2%
IV Rank	30.3%	19.6%	67.0%	25.1%	63.3%
IV Percentile	49.7%	30.6%	92.9%	41.7%	91.3%
Term Structure	-0.0%	-22.8%	13.1%	3.4%	-6.5%
VWIV	91.9%	80.1%	135.0%	85.0%	131.5%
Skew 25d	9.6%	2.3%	24.3%	24.3%	17.8%
Skew 10d	20.7%	-0.3%	96.4%	69.1%	19.0%
Call IV 25d	88.7%	71.6%	127.4%	77.5%	127.4%
Put IV 25d	98.3%	86.6%	145.2%	101.8%	145.2%
Bid-Ask Spread %	59.49	37.86	80.25	80.25	42.18
Gamma HHI	0.39	0.23	0.57	0.43	0.27
Net GEX	143.0K	50.7K	205.4K	143.8K	134.8K
Net DEX	-8.2M	-13.7M	-4.8M	-6.7M	-13.7M
Net VEX	-29.5K	-56.7K	-21.1K	-23.1K	-56.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.16	2.33	1.12	0.73
Total Volume	5.391	2	12	2	7
Total OI	35.435	26	48	33	48

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$7584.00	$6000.00	86.1%	24.7%	32.2%	25.1%	85.0%	24.3%	3.4%	143.8K	-6.7M	-23.1K	1.12	80.25	N/A	N/A	1	1	22	11
2016-08-02	$7464.00	$6000.00	85.1%	24.4%	32.4%	24.2%	85.0%	2.9%	-4.2%	158.6K	-6.6M	-21.4K	1.72	79.90	N/A	N/A	1	1	22	11
2016-08-03	$7332.00	$6000.00	82.8%	23.8%	32.7%	22.1%	82.5%	7.4%	6.6%	149.1K	-6.2M	-23.1K	1.79	74.88	N/A	N/A	1	1	22	11
2016-08-04	$7554.00	$7500.00	86.8%	23.5%	34.3%	25.7%	86.7%	19.8%	7.9%	163.6K	-7.1M	-22.8K	1.17	74.88	N/A	N/A	2	3	22	11
2016-08-05	$7746.00	$6000.00	84.4%	24.6%	35.1%	23.5%	86.6%	8.4%	-0.5%	157.4K	-7.1M	-23.9K	1.19	70.69	N/A	N/A	2	3	23	12
2016-08-08	$7800.00	$6000.00	98.5%	24.5%	32.2%	36.2%	86.5%	12.2%	2.7%	183.1K	-7.3M	-23.7K	1.37	66.59	N/A	N/A	2	3	23	12
2016-08-09	$7296.00	$7500.00	97.6%	26.4%	39.5%	35.4%	97.5%	5.5%	-5.0%	154.6K	-5.5M	-22.0K	1.90	69.89	N/A	N/A	2	3	23	12
2016-08-10	$7806.00	$6000.00	82.3%	23.6%	43.7%	21.6%	85.8%	18.0%	13.1%	205.4K	-7.6M	-22.4K	1.82	59.71	N/A	N/A	2	3	24	13
2016-08-11	$7752.00	$6000.00	82.0%	23.5%	42.1%	21.3%	81.5%	9.0%	7.8%	189.2K	-7.5M	-21.2K	2.33	57.76	N/A	N/A	1	3	24	13
2016-08-12	$8178.00	$7500.00	80.1%	23.0%	45.3%	19.6%	80.1%	15.0%	-3.6%	154.0K	-8.3M	-22.6K	1.52	52.67	N/A	N/A	2	3	24	13
2016-08-15	$8748.00	$7500.00	83.8%	24.0%	50.1%	23.0%	83.8%	7.7%	6.4%	192.5K	-11.0M	-23.0K	1.06	51.68	N/A	N/A	2	2	24	13
2016-08-16	$8358.00	$7500.00	84.8%	24.3%	53.5%	23.8%	89.3%	6.5%	6.6%	195.0K	-8.6M	-21.1K	0.65	61.69	N/A	N/A	6	4	21	13
2016-08-17	$8442.00	$7500.00	90.2%	25.9%	53.4%	28.7%	87.7%	10.9%	2.9%	161.3K	-7.6M	-25.1K	0.44	59.41	N/A	N/A	2	1	22	15
2016-08-18	$8658.00	$7500.00	91.8%	26.3%	53.2%	30.2%	88.3%	5.1%	5.9%	195.4K	-8.3M	-26.0K	0.16	63.70	N/A	N/A	3	0	22	15
2016-08-19	$8394.00	$7500.00	87.4%	25.0%	55.0%	26.2%	89.0%	4.6%	1.5%	50.7K	-7.3M	-26.8K	0.99	68.69	N/A	N/A	3	3	22	15
2016-08-22	$8688.00	$7500.00	86.5%	24.8%	55.2%	25.4%	87.4%	2.3%	5.1%	59.7K	-4.8M	-26.1K	0.85	46.58	N/A	N/A	3	3	15	11
2016-08-23	$9450.00	$7500.00	81.6%	23.4%	61.5%	21.0%	82.6%	13.7%	11.1%	86.1K	-6.9M	-32.1K	0.59	50.24	N/A	N/A	5	3	16	12
2016-08-24	$9894.00	$7500.00	92.7%	26.6%	61.9%	31.0%	94.8%	3.0%	-11.0%	99.6K	-9.2M	-37.5K	0.28	50.64	N/A	N/A	5	1	19	14
2016-08-25	$9618.00	$9000.00	92.5%	26.5%	63.7%	30.8%	91.4%	3.6%	-16.0%	100.9K	-8.5M	-41.0K	0.98	46.30	N/A	N/A	2	2	21	15
2016-08-26	$10026.00	$9000.00	87.2%	25.0%	64.3%	26.0%	90.6%	5.6%	-2.4%	118.4K	-9.5M	-42.9K	1.24	58.36	N/A	N/A	1	2	21	15
2016-08-29	$10998.00	$9000.00	109.2%	31.3%	70.0%	45.8%	105.8%	14.9%	-10.1%	132.0K	-13.5M	-41.7K	0.72	37.86	N/A	N/A	7	5	21	15
2016-08-30	$10218.00	$9000.00	132.6%	38.0%	76.5%	67.0%	135.0%	2.6%	-22.8%	104.7K	-10.3M	-51.2K	0.91	43.83	N/A	N/A	6	6	24	18
2016-08-31	$10722.00	$9000.00	128.5%	36.8%	76.2%	63.3%	131.5%	17.8%	-6.5%	134.8K	-13.7M	-56.7K	0.73	42.18	N/A	N/A	4	3	28	20