WATT Options History — November 2016

In November 2016, WATT traded between $7782.00 and $9678.00. ATM implied volatility averaged 84.1%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 23.2%. IV traded above realized volatility by 17.1% (HV 20d: 66.9%). Max pain ranged from $7500.00 to $9000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2016-11-29: Highest Volume — 10 contracts
  • 2016-11-08: Largest IV drop — 21.3% change
  • 2016-11-04: Highest IV Rank — 48.7%
  • 2016-11-01: Largest Expected Move — 30.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8753.14$7782.00$9678.00$8034.00$9492.00
Max Pain$8428.57$7500.00$9000.00$9000.00$9000.00
ATM IV84.1%69.9%112.4%105.4%80.8%
Expected Move23.2%20.0%30.2%30.2%23.2%
HV 20d66.9%52.6%77.9%54.9%69.2%
HV 60d77.3%73.5%81.1%78.3%74.0%
IV Rank23.2%10.4%48.7%42.4%20.3%
IV Percentile26.7%1.6%79.4%71.0%20.2%
Term Structure-0.1%-14.5%7.6%-10.1%-6.6%
VWIV79.2%63.5%109.7%109.7%78.7%
Skew 25d5.0%-4.5%18.1%15.2%10.0%
Skew 10d11.2%-18.3%58.2%11.9%16.6%
Call IV 25d79.5%61.3%107.4%103.6%77.0%
Put IV 25d84.5%69.1%118.8%118.8%87.0%
Bid-Ask Spread %61.4047.0777.3447.0751.33
Gamma HHI0.190.150.270.160.27
Net GEX95.7K33.3K191.8K63.2K159.2K
Net DEX-1.6M-7.2M2.6M1.1M-6.4M
Net VEX-47.7K-57.3K-37.6K-47.7K-57.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.251.950.681.53
Total Volume4.76231048
Total OI66.61943797353

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$8034.00$9000.00105.4%30.2%54.9%42.4%109.7%15.2%-10.1%63.2K1.1M-47.7K0.6847.07N/AN/A224330
2016-11-02$7812.00$9000.00104.6%30.0%52.6%41.7%103.0%3.5%-14.5%40.6K2.0M-45.5K0.9448.70N/AN/A224330
2016-11-03$8040.00$9000.00109.0%25.6%54.9%45.7%77.5%1.6%-6.9%38.7K1.8M-45.4K0.9764.72N/AN/A224330
2016-11-04$7782.00$9000.00112.4%25.7%54.7%48.7%91.1%-1.4%-4.3%40.8K2.1M-45.7K1.1858.55N/AN/A224330
2016-11-07$8952.00$9000.00104.4%23.8%77.9%41.6%78.4%9.0%2.7%122.8K-3.9M-51.1K0.7558.36N/AN/A434331
2016-11-08$9126.00$7500.0082.2%22.2%71.5%21.5%86.2%0.2%2.1%122.5K-3.7M-51.6K0.7453.40N/AN/A434432
2016-11-09$9090.00$9000.0076.7%22.0%71.1%16.6%74.1%5.3%1.2%128.0K-2.8M-50.2K1.2170.71N/AN/A224432
2016-11-10$8730.00$9000.0076.5%21.9%68.9%16.4%77.0%-2.3%7.2%88.4K-391.4K-48.6K0.6666.01N/AN/A224533
2016-11-11$8406.00$9000.0079.7%22.9%69.7%19.3%71.0%-0.9%3.6%42.4K1.3M-45.0K0.5862.62N/AN/A214533
2016-11-14$8268.00$9000.0081.3%23.3%69.7%20.7%79.8%1.6%-2.5%33.3K2.5M-43.9K0.7277.34N/AN/A214533
2016-11-15$8370.00$9000.0079.2%22.7%70.1%18.8%71.3%-4.5%7.6%50.1K2.6M-37.6K0.5874.32N/AN/A214533
2016-11-16$8748.00$9000.0079.2%22.7%72.4%18.8%77.2%4.7%3.7%67.2K18.3K-44.7K0.4457.76N/AN/A424533
2016-11-17$8628.00$9000.0078.3%22.5%71.7%18.0%79.6%-0.6%4.0%94.9K-74.0K-45.1K0.6266.38N/AN/A324534
2016-11-18$8736.00$7500.0075.5%21.6%71.9%15.4%77.4%0.3%2.0%80.5K1.5M-45.2K1.0057.78N/AN/A224633
2016-11-21$8910.00$7500.0070.6%20.2%72.2%11.0%71.9%8.2%7.1%87.2K-2.6M-42.1K0.4762.00N/AN/A312518
2016-11-22$9228.00$7500.0069.9%20.0%66.4%10.4%63.5%18.1%1.3%113.4K-3.7M-43.7K0.4362.90N/AN/A312619
2016-11-23$9678.00$7500.0070.2%20.1%67.6%10.7%65.4%10.5%2.8%142.7K-6.3M-52.0K0.2560.71N/AN/A512719
2016-11-25$9564.00$7500.0071.7%20.6%64.5%12.1%69.8%10.5%0.8%191.8K-7.2M-55.7K0.3864.85N/AN/A212919
2016-11-28$9240.00$7500.0072.8%20.9%66.3%13.0%74.5%5.1%0.3%164.2K-5.7M-51.9K0.4160.36N/AN/A213019
2016-11-29$8982.00$7500.0085.3%24.4%67.4%24.3%85.2%11.6%-4.2%137.8K-4.8M-52.4K1.9563.48N/AN/A372920
2016-11-30$9492.00$9000.0080.8%23.2%69.2%20.3%78.7%10.0%-6.6%159.2K-6.4M-57.3K1.5351.33N/AN/A353122