WATT Options History — September 2016

In September 2016, WATT traded between $8706.00 and $11712.00. ATM implied volatility averaged 90.6%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 25.1%. IV traded below realized volatility by 5.2% (HV 20d: 95.8%). Max pain ranged from $9000.00 to $10500.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2016-09-07: Highest Volume — 40 contracts
2016-09-07: Largest IV drop — 33.6% change
2016-09-06: Highest IV Rank — 97.5%
2016-09-02: Largest Expected Move — 37.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10699.71	$8706.00	$11712.00	$10956.00	$11604.00
Max Pain	$10214.29	$9000.00	$10500.00	$9000.00	$10500.00
ATM IV	90.6%	71.2%	166.5%	119.3%	74.7%
Expected Move	25.1%	20.4%	37.0%	34.2%	21.4%
HV 20d	95.8%	76.1%	105.6%	76.1%	90.2%
HV 60d	71.2%	66.1%	74.5%	66.3%	70.8%
IV Rank	29.1%	11.6%	97.5%	55.0%	14.7%
IV Percentile	37.5%	4.8%	99.2%	84.1%	11.9%
Term Structure	5.7%	-16.6%	18.8%	-9.9%	6.3%
VWIV	87.7%	69.1%	131.0%	121.3%	75.6%
Skew 25d	5.3%	-2.0%	15.2%	-0.6%	0.1%
Skew 10d	7.6%	-4.0%	24.4%	14.6%	-1.3%
Call IV 25d	87.4%	69.3%	125.4%	125.4%	78.0%
Put IV 25d	92.7%	74.4%	135.3%	124.8%	78.1%
Bid-Ask Spread %	55.70	27.83	71.75	52.14	46.60
Gamma HHI	0.26	0.21	0.41	0.28	0.24
Net GEX	169.6K	-209.2K	355.9K	164.1K	297.6K
Net DEX	-13.3M	-23.9M	6.2M	-15.2M	-19.1M
Net VEX	-76.0K	-91.6K	-57.7K	-57.7K	-79.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.31	2.06	0.32	1.62
Total Volume	11.476	3	40	12	3
Total OI	78.429	51	95	51	78

Daily Data (21 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
2016-09-01	$10956.00	$9000.00	119.3%	34.2%	76.1%	55.0%	121.3%	-0.6%	-9.9%	164.1K	-15.2M	-57.7K	0.32	52.14	N/A	N/A	9	3	30	21
2016-09-02	$11220.00	$9000.00	129.1%	37.0%	76.1%	63.8%	131.0%	10.6%	-16.6%	224.1K	-18.5M	-66.4K	0.86	44.29	N/A	N/A	6	5	35	22
2016-09-06	$11712.00	$9000.00	166.5%	34.3%	76.4%	97.5%	122.4%	8.2%	-6.4%	255.5K	-22.9M	-67.7K	0.87	27.83	N/A	N/A	13	11	38	25
2016-09-07	$10284.00	$10500.00	110.5%	29.9%	88.4%	47.0%	104.4%	6.0%	6.3%	100.0K	-11.2M	-67.5K	1.21	48.56	N/A	N/A	18	22	43	33
2016-09-08	$9150.00	$10500.00	96.1%	29.4%	98.1%	34.1%	101.0%	2.1%	0.0%	-106.4K	-37.5K	-74.1K	1.37	46.13	N/A	N/A	9	12	50	42
2016-09-09	$8706.00	$10500.00	81.3%	25.6%	100.1%	20.7%	89.5%	2.3%	6.0%	-209.2K	6.2M	-66.6K	2.06	46.99	N/A	N/A	6	13	49	44
2016-09-12	$9594.00	$10500.00	95.5%	23.9%	104.0%	33.5%	82.3%	5.3%	8.2%	-55.8K	-3.7M	-65.9K	0.70	65.23	N/A	N/A	5	3	49	40
2016-09-13	$9750.00	$10500.00	103.0%	24.8%	101.7%	40.3%	86.2%	5.8%	5.6%	-14.1K	-5.6M	-62.6K	1.25	71.75	N/A	N/A	3	4	50	41
2016-09-14	$10206.00	$10500.00	87.6%	25.1%	100.8%	26.4%	88.1%	3.1%	5.0%	61.5K	-9.1M	-67.0K	0.54	63.99	N/A	N/A	3	2	51	41
2016-09-15	$11022.00	$9000.00	80.5%	23.1%	103.5%	20.0%	82.4%	6.0%	15.6%	355.9K	-18.8M	-67.8K	0.39	47.47	N/A	N/A	10	4	50	41
2016-09-16	$11430.00	$10500.00	84.0%	24.1%	103.8%	23.2%	82.6%	1.4%	2.8%	218.5K	-23.9M	-76.0K	0.69	50.79	N/A	N/A	13	9	54	41
2016-09-19	$10806.00	$10500.00	79.6%	22.8%	105.6%	19.2%	78.2%	-2.0%	10.2%	195.7K	-13.6M	-86.3K	0.31	54.73	N/A	N/A	11	3	38	28
2016-09-20	$10974.00	$10500.00	78.0%	22.4%	105.3%	17.8%	73.6%	11.7%	17.0%	241.3K	-15.7M	-91.6K	0.59	62.15	N/A	N/A	4	2	44	30
2016-09-21	$10752.00	$10500.00	76.7%	22.0%	102.2%	16.5%	78.0%	5.4%	4.5%	241.3K	-14.3M	-87.4K	0.65	60.54	N/A	N/A	4	3	46	31
2016-09-22	$11178.00	$10500.00	73.6%	21.1%	101.9%	13.8%	73.6%	3.3%	7.8%	274.4K	-17.1M	-87.8K	0.59	62.40	N/A	N/A	4	2	46	31
2016-09-23	$11148.00	$10500.00	71.2%	20.4%	101.2%	11.6%	72.3%	9.4%	15.0%	277.5K	-16.6M	-86.3K	0.86	59.29	N/A	N/A	2	2	46	31
2016-09-26	$10974.00	$10500.00	75.8%	21.7%	100.7%	15.7%	79.6%	12.5%	15.2%	259.2K	-15.5M	-87.2K	1.11	64.23	N/A	N/A	2	2	46	31
2016-09-27	$11010.00	$10500.00	72.5%	20.8%	95.1%	12.7%	72.6%	15.2%	18.8%	266.9K	-14.9M	-87.5K	1.02	63.29	N/A	N/A	2	2	46	31
2016-09-28	$11010.00	$10500.00	71.5%	20.5%	91.1%	11.9%	69.1%	3.7%	7.0%	252.3K	-14.4M	-82.3K	0.84	64.68	N/A	N/A	2	2	45	32
2016-09-29	$11208.00	$10500.00	76.2%	21.8%	89.7%	16.1%	78.0%	1.5%	1.0%	261.9K	-16.1M	-81.3K	1.78	66.70	N/A	N/A	2	4	45	32
2016-09-30	$11604.00	$10500.00	74.7%	21.4%	90.2%	14.7%	75.6%	0.1%	6.3%	297.6K	-19.1M	-79.8K	1.62	46.60	N/A	N/A	1	2	45	33