WATT Options History — December 2016

In December 2016, WATT traded between $9150.00 and $11562.00. ATM implied volatility averaged 74.8%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded above realized volatility by 18.9% (HV 20d: 55.9%). Max pain ranged from $9000.00 to $10500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2016-12-22: Highest Volume — 12 contracts
  • 2016-12-14: Largest IV drop — 15.9% change
  • 2016-12-13: Highest IV Rank — 27.0%
  • 2016-12-01: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10236.00$9150.00$11562.00$9150.00$10158.00
Max Pain$9714.29$9000.00$10500.00$9000.00$9000.00
ATM IV74.8%66.2%88.3%85.6%74.3%
Expected Move20.9%19.0%24.5%24.5%21.3%
HV 20d55.9%47.7%69.9%69.9%59.5%
HV 60d62.0%58.9%69.5%69.5%62.5%
IV Rank13.9%7.1%27.0%24.6%7.9%
IV Percentile10.4%1.2%40.1%32.1%7.5%
Term Structure1.5%-12.1%7.9%-12.1%5.2%
VWIV72.8%65.2%93.3%93.3%76.7%
Skew 25d4.3%-1.7%16.4%16.4%1.7%
Skew 10d9.9%-11.7%54.8%54.8%-2.8%
Call IV 25d73.0%64.1%82.4%78.0%76.8%
Put IV 25d77.4%67.8%94.3%94.3%78.4%
Bid-Ask Spread %58.6136.9775.6065.4853.61
Gamma HHI0.280.210.430.250.21
Net GEX213.9K116.8K303.1K142.3K221.3K
Net DEX-8.5M-13.4M-4.2M-4.7M-7.7M
Net VEX-58.9K-72.9K-50.9K-56.2K-67.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.311.821.540.75
Total Volume5.04831275
Total OI55.1948595459

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$9150.00$9000.0085.6%24.5%69.9%24.6%93.3%16.4%-12.1%142.3K-4.7M-56.2K1.5465.48N/AN/A343222
2016-12-02$9216.00$9000.0078.3%22.5%69.5%18.1%77.1%7.3%-3.5%146.2K-4.2M-54.7K1.5573.76N/AN/A243223
2016-12-05$9648.00$10500.0077.2%21.5%69.1%17.0%75.9%13.9%4.7%181.7K-6.0M-52.0K1.7449.75N/AN/A243223
2016-12-06$10128.00$10500.0072.0%20.7%51.9%12.3%73.5%8.7%7.9%227.6K-9.5M-59.0K1.8251.54N/AN/A243223
2016-12-07$10374.00$10500.0072.0%20.3%52.1%12.4%69.6%3.3%1.5%256.2K-11.3M-56.3K0.5250.88N/AN/A213223
2016-12-08$10272.00$10500.0079.0%20.6%52.3%18.6%74.7%7.4%2.7%247.0K-11.3M-60.3K0.7060.55N/AN/A213323
2016-12-09$10116.00$10500.0076.7%19.8%50.1%16.5%72.8%3.9%6.9%231.4K-9.9M-62.3K0.5758.55N/AN/A213423
2016-12-12$10002.00$10500.0078.1%20.9%47.7%17.9%71.8%5.4%3.8%265.8K-9.1M-51.8K0.4668.64N/AN/A213423
2016-12-13$9684.00$10500.0088.3%21.4%49.1%27.0%74.9%-1.7%-3.8%174.1K-6.9M-54.8K0.4475.60N/AN/A213323
2016-12-14$9570.00$10500.0074.3%21.3%49.6%14.4%70.4%7.1%1.2%116.8K-5.2M-50.9K0.4974.09N/AN/A213324
2016-12-15$10056.00$10500.0068.5%19.6%50.2%9.2%68.3%-0.5%1.6%303.1K-8.0M-55.5K0.6667.39N/AN/A323424
2016-12-16$10416.00$9000.0067.9%19.5%50.5%8.7%68.9%1.1%2.7%168.4K-7.1M-54.3K0.6467.39N/AN/A433424
2016-12-19$10260.00$9000.0066.2%19.0%51.2%7.1%65.2%6.8%-1.5%175.4K-5.8M-54.8K0.6370.42N/AN/A322919
2016-12-20$10230.00$9000.0066.3%19.0%51.1%7.2%65.8%2.7%-1.0%186.4K-6.0M-51.3K0.7775.50N/AN/A213020
2016-12-21$10416.00$9000.0067.6%19.4%50.3%8.4%65.8%2.7%2.1%188.0K-6.8M-55.9K0.5944.08N/AN/A213020
2016-12-22$11562.00$10500.0072.8%20.9%59.6%13.1%70.9%0.8%3.1%244.1K-13.3M-62.0K0.3136.97N/AN/A933020
2016-12-23$11370.00$9000.0072.9%20.9%59.9%13.2%68.9%0.8%1.7%275.7K-13.4M-68.4K0.8340.56N/AN/A333421
2016-12-27$11334.00$9000.0081.2%23.3%57.9%20.6%75.8%-0.5%-3.4%261.8K-13.3M-69.2K0.3744.21N/AN/A623422
2016-12-28$10734.00$9000.0075.3%21.6%60.9%8.8%72.7%5.1%7.8%254.0K-10.7M-72.9K0.5846.99N/AN/A423722
2016-12-29$10260.00$9000.0076.3%21.9%61.2%9.8%76.0%-1.6%3.3%224.5K-8.0M-67.5K1.5454.83N/AN/A123722
2016-12-30$10158.00$9000.0074.3%21.3%59.5%7.9%76.7%1.7%5.2%221.3K-7.7M-67.3K0.7553.61N/AN/A323722