WATT Options History — October 2016

In October 2016, WATT traded between $8112.00 and $10836.00. ATM implied volatility averaged 87.8%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 25.4%. IV traded above realized volatility by 24.5% (HV 20d: 63.2%). Max pain ranged from $9000.00 to $10500.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.99.

Notable Days

2016-10-04: Highest Volume — 11 contracts
2016-10-12: Largest IV spike — 11.9% change
2016-10-27: Highest IV Rank — 35.8%
2016-10-27: Largest Expected Move — 28.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9694.29	$8112.00	$10836.00	$10800.00	$8160.00
Max Pain	$9214.29	$9000.00	$10500.00	$10500.00	$9000.00
ATM IV	87.8%	76.4%	98.1%	84.5%	96.6%
Expected Move	25.4%	21.9%	28.1%	24.2%	27.7%
HV 20d	63.2%	53.9%	93.6%	93.6%	55.2%
HV 60d	75.2%	71.6%	78.7%	72.7%	78.3%
IV Rank	26.5%	16.3%	35.8%	23.6%	34.5%
IV Percentile	40.2%	14.7%	60.7%	35.3%	57.1%
Term Structure	-5.0%	-25.3%	16.8%	12.6%	-7.0%
VWIV	90.3%	79.9%	101.2%	88.6%	101.2%
Skew 25d	4.0%	-5.1%	13.2%	8.6%	-5.1%
Skew 10d	11.0%	-10.4%	38.6%	4.3%	-10.4%
Call IV 25d	89.9%	79.7%	104.5%	84.0%	104.5%
Put IV 25d	94.0%	86.1%	100.1%	92.6%	99.3%
Bid-Ask Spread %	56.03	27.58	63.59	50.29	51.97
Gamma HHI	0.21	0.18	0.28	0.27	0.19
Net GEX	97.9K	-733	201.0K	201.0K	82.4K
Net DEX	-4.3M	-12.3M	523.4K	-12.3M	109.3K
Net VEX	-69.1K	-86.3K	-47.1K	-83.2K	-47.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.37	2.68	2.31	0.99
Total Volume	6.905	5	11	7	6
Total OI	85.048	66	98	79	70

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
2016-10-03	$10800.00	$10500.00	84.5%	24.2%	93.6%	23.6%	88.6%	8.6%	12.6%	201.0K	-12.3M	-83.2K	2.31	50.29	N/A	N/A	2	5	45	34
2016-10-04	$10506.00	$10500.00	76.4%	21.9%	92.5%	16.3%	79.9%	6.5%	16.8%	134.0K	-7.9M	-81.2K	2.68	63.49	N/A	N/A	3	8	45	36
2016-10-05	$10836.00	$10500.00	82.5%	23.6%	80.6%	21.8%	82.4%	7.0%	4.1%	116.2K	-10.7M	-82.8K	2.41	63.59	N/A	N/A	2	5	46	40
2016-10-06	$10716.00	$9000.00	80.8%	24.1%	67.5%	20.3%	87.1%	4.1%	-5.2%	80.1K	-10.4M	-80.5K	1.92	58.76	N/A	N/A	2	5	47	40
2016-10-07	$10800.00	$9000.00	80.1%	23.9%	64.0%	19.7%	86.1%	1.7%	-5.1%	126.2K	-10.4M	-86.3K	0.45	59.24	N/A	N/A	7	3	47	40
2016-10-10	$10752.00	$9000.00	77.6%	24.4%	55.4%	17.4%	87.2%	5.8%	-5.1%	140.4K	-11.9M	-83.0K	0.96	58.41	N/A	N/A	3	3	51	40
2016-10-11	$9774.00	$9000.00	82.2%	25.2%	65.8%	21.6%	92.4%	13.2%	-6.6%	50.0K	-2.2M	-77.2K	1.79	27.58	N/A	N/A	3	6	51	40
2016-10-12	$9552.00	$9000.00	92.0%	26.4%	63.9%	30.4%	93.2%	3.9%	-1.8%	-733	-233.4K	-71.7K	0.68	52.10	N/A	N/A	4	3	52	42
2016-10-13	$10092.00	$9000.00	86.3%	24.7%	60.7%	25.2%	90.0%	6.6%	-9.0%	39.5K	-4.9M	-75.8K	0.37	62.71	N/A	N/A	5	2	52	42
2016-10-14	$9918.00	$9000.00	91.1%	26.1%	58.9%	29.5%	90.2%	2.0%	-9.6%	51.3K	-4.1M	-79.0K	0.47	59.18	N/A	N/A	5	2	53	42
2016-10-17	$9780.00	$9000.00	89.7%	25.7%	56.0%	28.3%	91.0%	9.3%	-2.2%	21.6K	-2.1M	-71.6K	0.44	61.59	N/A	N/A	5	2	55	42
2016-10-18	$9756.00	$9000.00	88.9%	25.5%	55.5%	27.6%	90.3%	0.3%	-0.5%	78.4K	-3.3M	-68.8K	0.49	59.36	N/A	N/A	3	2	56	42
2016-10-19	$9624.00	$9000.00	88.0%	25.2%	55.4%	26.8%	89.6%	6.7%	-5.9%	69.3K	-546.5K	-62.8K	0.64	56.89	N/A	N/A	3	2	56	42
2016-10-20	$9846.00	$9000.00	87.5%	25.1%	53.9%	26.3%	87.6%	3.9%	-4.5%	188.1K	-1.0M	-62.1K	0.71	56.66	N/A	N/A	3	2	55	42
2016-10-21	$9696.00	$9000.00	89.3%	25.6%	54.0%	28.0%	87.9%	4.9%	-4.0%	178.9K	-421.0K	-63.5K	1.01	56.56	N/A	N/A	4	4	56	42
2016-10-24	$9492.00	$9000.00	90.7%	26.0%	54.1%	29.2%	90.6%	-0.5%	-10.7%	145.3K	-5.0M	-61.4K	0.40	58.11	N/A	N/A	5	2	39	27
2016-10-25	$8712.00	$9000.00	93.3%	26.7%	60.7%	31.5%	94.7%	3.3%	-9.6%	116.4K	-2.7M	-59.2K	0.60	56.12	N/A	N/A	4	2	41	27
2016-10-26	$8538.00	$9000.00	89.7%	25.7%	60.6%	28.3%	92.7%	4.9%	-7.7%	94.6K	-938.3K	-54.7K	0.51	59.42	N/A	N/A	3	2	41	28
2016-10-27	$8112.00	$9000.00	98.1%	28.1%	60.9%	35.8%	92.7%	-1.6%	-18.4%	66.1K	523.4K	-47.7K	0.47	55.87	N/A	N/A	5	2	42	28
2016-10-28	$8118.00	$9000.00	97.4%	27.9%	58.3%	35.2%	100.2%	-0.6%	-25.3%	76.4K	372.2K	-50.8K	0.55	48.74	N/A	N/A	4	2	42	28
2016-10-31	$8160.00	$9000.00	96.6%	27.7%	55.2%	34.5%	101.2%	-5.1%	-7.0%	82.4K	109.3K	-47.1K	0.99	51.97	N/A	N/A	3	3	42	28