WATT Options History — January 2017

In January 2017, WATT traded between $8172.00 and $11460.00. ATM implied volatility averaged 73.6%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 9.9% (HV 20d: 63.6%). Max pain ranged from $9000.00 to $10500.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.16.

Notable Days

2017-01-19: Highest Volume — 16 contracts
2017-01-06: Largest IV drop — 16.7% change
2017-01-03: Highest IV Rank — 15.1%
2017-01-03: Largest Expected Move — 23.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10132.80	$8172.00	$11460.00	$10590.00	$8688.00
Max Pain	$10275.00	$9000.00	$10500.00	$9000.00	$9000.00
ATM IV	73.6%	65.1%	81.7%	81.7%	80.7%
Expected Move	21.3%	19.7%	23.4%	23.4%	23.1%
HV 20d	63.6%	57.0%	76.6%	60.9%	76.6%
HV 60d	62.9%	59.1%	68.9%	63.1%	68.7%
IV Rank	8.0%	0.0%	15.1%	15.1%	15.0%
IV Percentile	11.0%	0.0%	27.8%	23.8%	27.8%
Term Structure	2.6%	-7.6%	10.4%	4.1%	-2.5%
VWIV	73.5%	62.5%	81.2%	81.1%	80.6%
Skew 25d	2.7%	-4.7%	8.4%	5.8%	-0.3%
Skew 10d	2.4%	-21.4%	36.3%	-4.6%	-8.5%
Call IV 25d	75.4%	67.7%	87.1%	82.2%	81.7%
Put IV 25d	78.1%	71.0%	88.0%	88.0%	81.4%
Bid-Ask Spread %	50.24	34.41	67.35	45.83	34.41
Gamma HHI	0.27	0.17	0.43	0.23	0.21
Net GEX	239.0K	54.2K	500.8K	265.4K	106.9K
Net DEX	-7.4M	-18.1M	3.1M	-10.3M	-48.6K
Net VEX	-69.5K	-85.2K	-58.8K	-68.3K	-64.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.42	2.22	0.42	1.13
Total Volume	8.45	4	16	7	9
Total OI	70.2	59	80	61	71

Daily Data (20 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
2017-01-03	$10590.00	$9000.00	81.7%	23.4%	60.9%	15.1%	81.1%	5.8%	4.1%	265.4K	-10.3M	-68.3K	0.42	45.83	N/A	N/A	5	2	38	23
2017-01-04	$10488.00	$10500.00	81.4%	23.3%	59.4%	14.7%	81.1%	0.7%	-1.5%	251.9K	-8.8M	-73.9K	0.92	54.71	N/A	N/A	4	3	41	25
2017-01-05	$10302.00	$10500.00	78.2%	23.1%	57.5%	11.6%	63.8%	1.1%	2.0%	232.0K	-7.8M	-71.0K	1.12	38.55	N/A	N/A	2	2	42	26
2017-01-06	$10434.00	$10500.00	65.1%	20.9%	57.0%	0.0%	64.0%	-0.5%	4.4%	249.9K	-8.0M	-64.2K	0.50	57.57	N/A	N/A	5	3	43	26
2017-01-09	$10236.00	$10500.00	71.4%	20.5%	57.3%	6.1%	81.2%	6.0%	6.2%	257.5K	-7.3M	-67.2K	0.96	62.76	N/A	N/A	2	2	44	26
2017-01-10	$10476.00	$10500.00	67.5%	20.6%	57.6%	2.3%	65.1%	6.2%	10.4%	258.4K	-9.2M	-66.2K	1.73	58.62	N/A	N/A	2	3	45	27
2017-01-11	$10842.00	$10500.00	68.7%	19.7%	58.5%	3.4%	62.5%	4.2%	9.2%	338.1K	-11.9M	-67.5K	1.21	58.43	N/A	N/A	4	5	45	27
2017-01-12	$11460.00	$10500.00	69.3%	19.9%	59.5%	4.0%	68.7%	1.8%	8.2%	486.4K	-18.1M	-80.7K	1.20	44.83	N/A	N/A	4	4	46	28
2017-01-13	$11406.00	$10500.00	69.5%	19.9%	59.3%	4.2%	69.5%	2.2%	1.7%	500.8K	-16.7M	-85.2K	0.85	36.08	N/A	N/A	7	6	46	29
2017-01-17	$10764.00	$10500.00	71.8%	20.6%	61.7%	6.4%	73.1%	3.7%	2.1%	271.7K	-11.2M	-78.1K	1.04	49.25	N/A	N/A	4	4	49	30
2017-01-18	$10740.00	$10500.00	71.3%	20.4%	60.6%	5.9%	80.2%	8.4%	6.8%	243.8K	-11.3M	-78.3K	1.59	53.28	N/A	N/A	5	8	49	31
2017-01-19	$11064.00	$10500.00	69.4%	19.9%	61.0%	4.1%	70.5%	0.3%	-1.2%	452.8K	-13.1M	-71.8K	1.88	67.35	N/A	N/A	6	10	48	29
2017-01-20	$11040.00	$10500.00	68.6%	19.7%	61.0%	3.3%	74.3%	6.0%	2.8%	248.9K	-15.2M	-74.5K	2.03	60.01	N/A	N/A	2	5	48	30
2017-01-23	$10626.00	$10500.00	70.8%	20.3%	62.5%	5.5%	70.1%	2.3%	-0.3%	217.0K	-5.9M	-71.0K	2.22	55.19	N/A	N/A	2	5	36	23
2017-01-24	$9156.00	$10500.00	77.4%	22.2%	71.0%	11.7%	77.2%	6.3%	-7.6%	99.0K	100.8K	-60.6K	1.22	45.92	N/A	N/A	6	7	37	24
2017-01-25	$8808.00	$10500.00	74.6%	21.4%	71.7%	9.1%	73.7%	1.3%	2.2%	70.6K	1.8M	-60.4K	0.82	45.19	N/A	N/A	5	4	39	27
2017-01-26	$8568.00	$10500.00	75.3%	21.6%	71.8%	9.8%	77.4%	-4.7%	3.8%	77.7K	1.4M	-64.0K	0.86	53.15	N/A	N/A	4	3	40	27
2017-01-27	$8172.00	$10500.00	79.1%	22.7%	71.3%	13.4%	79.7%	-2.6%	-1.2%	54.2K	3.1M	-58.8K	0.64	47.54	N/A	N/A	5	3	41	28
2017-01-30	$8796.00	$9000.00	79.3%	22.7%	76.6%	13.6%	76.1%	5.6%	3.3%	96.5K	422.5K	-63.2K	0.91	36.17	N/A	N/A	4	3	42	28
2017-01-31	$8688.00	$9000.00	80.7%	23.1%	76.6%	15.0%	80.6%	-0.3%	-2.5%	106.9K	-48.6K	-64.3K	1.13	34.41	N/A	N/A	4	5	43	28