WATT Options History — February 2017

In February 2017, WATT traded between $8814.00 and $10116.00. ATM implied volatility averaged 74.7%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 2.2% (HV 20d: 76.8%). Max pain ranged from $9000.00 to $9000.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.03.

Notable Days

2017-02-07: Highest Volume — 13 contracts
2017-02-06: Largest IV spike — 13.9% change
2017-02-14: Highest IV Rank — 11.8%
2017-02-14: Largest Expected Move — 22.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9526.11	$8814.00	$10116.00	$8814.00	$9216.00
Max Pain	$9000.00	$9000.00	$9000.00	$9000.00	$9000.00
ATM IV	74.7%	67.8%	77.4%	74.7%	74.4%
Expected Move	21.5%	20.1%	22.2%	21.4%	21.3%
HV 20d	76.8%	59.1%	84.4%	74.8%	59.1%
HV 60d	65.6%	63.4%	68.9%	68.6%	65.5%
IV Rank	9.2%	2.5%	11.8%	9.1%	8.9%
IV Percentile	15.2%	2.0%	23.4%	12.7%	15.1%
Term Structure	-1.2%	-9.4%	11.3%	4.2%	-9.4%
VWIV	75.6%	70.2%	79.9%	72.9%	74.5%
Skew 25d	3.5%	-3.2%	23.2%	2.5%	5.9%
Skew 10d	4.9%	-7.4%	26.8%	-7.4%	6.2%
Call IV 25d	76.3%	64.1%	82.6%	73.2%	76.6%
Put IV 25d	79.8%	75.5%	89.2%	75.7%	82.5%
Bid-Ask Spread %	56.67	33.09	75.90	44.03	75.90
Gamma HHI	0.24	0.18	0.36	0.24	0.20
Net GEX	132.0K	73.9K	209.5K	101.8K	119.4K
Net DEX	-2.8M	-4.7M	-348.9K	-348.9K	-3.7M
Net VEX	-82.3K	-91.1K	-64.8K	-64.8K	-90.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.34	2.22	0.97	2.22
Total Volume	7.368	4	13	11	4
Total OI	70.474	46	82	73	58

Daily Data (19 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
2017-02-01	$8814.00	$9000.00	74.7%	21.4%	74.8%	9.1%	72.9%	2.5%	4.2%	101.8K	-348.9K	-64.8K	0.97	44.03	N/A	N/A	6	5	44	29
2017-02-02	$9276.00	$9000.00	74.0%	20.8%	77.8%	8.5%	70.2%	0.3%	-0.4%	135.8K	-1.4M	-73.4K	0.34	49.93	N/A	N/A	8	3	45	31
2017-02-03	$9714.00	$9000.00	67.8%	21.1%	79.8%	2.5%	72.7%	23.2%	11.3%	149.1K	-3.5M	-77.4K	0.84	60.62	N/A	N/A	3	3	45	31
2017-02-06	$9294.00	$9000.00	77.2%	21.8%	80.9%	11.6%	76.7%	0.2%	-1.3%	125.0K	-914.1K	-75.6K	0.75	62.11	N/A	N/A	3	2	45	31
2017-02-07	$9792.00	$9000.00	72.0%	21.7%	83.3%	6.6%	76.2%	5.8%	-2.7%	204.4K	-4.5M	-78.5K	0.67	50.03	N/A	N/A	8	5	46	31
2017-02-08	$9966.00	$9000.00	74.2%	21.3%	83.1%	8.7%	76.9%	-1.3%	-3.6%	183.7K	-4.3M	-86.6K	0.90	58.92	N/A	N/A	5	5	47	33
2017-02-09	$9504.00	$9000.00	76.2%	21.8%	83.3%	10.6%	76.5%	-3.2%	-5.3%	127.7K	-1.2M	-83.6K	1.37	68.40	N/A	N/A	3	5	47	33
2017-02-10	$9960.00	$9000.00	74.8%	21.4%	82.5%	9.2%	71.6%	6.7%	-7.0%	196.1K	-4.1M	-82.5K	1.05	61.72	N/A	N/A	4	4	47	33
2017-02-13	$9720.00	$9000.00	70.3%	20.1%	82.8%	4.9%	76.8%	-2.9%	7.6%	161.3K	-2.2M	-86.6K	1.52	58.44	N/A	N/A	3	4	48	33
2017-02-14	$9900.00	$9000.00	77.4%	22.2%	81.1%	11.8%	74.5%	1.2%	-3.6%	165.3K	-3.7M	-81.9K	1.98	49.75	N/A	N/A	2	4	48	33
2017-02-15	$10116.00	$9000.00	73.9%	21.2%	81.6%	8.4%	73.9%	3.5%	-0.8%	209.5K	-4.7M	-86.9K	1.05	40.74	N/A	N/A	4	4	48	33
2017-02-16	$10038.00	$9000.00	74.5%	21.4%	80.7%	9.0%	77.3%	4.3%	-2.4%	95.2K	-3.1M	-84.3K	0.78	44.39	N/A	N/A	2	2	48	34
2017-02-17	$9312.00	$9000.00	77.4%	22.2%	84.4%	11.8%	79.9%	13.9%	9.7%	73.9K	-465.3K	-75.5K	0.83	67.22	N/A	N/A	6	5	48	34
2017-02-21	$9366.00	$9000.00	76.4%	21.9%	83.8%	10.8%	78.4%	0.6%	-5.8%	74.4K	-2.3M	-80.9K	0.61	43.18	N/A	N/A	4	2	28	18
2017-02-22	$9624.00	$9000.00	76.0%	21.8%	65.3%	10.4%	75.8%	0.5%	-1.8%	92.9K	-4.3M	-86.3K	0.50	68.60	N/A	N/A	4	2	30	19
2017-02-23	$9396.00	$9000.00	77.1%	22.1%	64.3%	11.5%	76.1%	5.3%	-6.0%	113.5K	-4.3M	-91.1K	0.80	33.09	N/A	N/A	3	2	33	20
2017-02-24	$8904.00	$9000.00	73.5%	21.1%	66.6%	8.1%	77.9%	2.6%	0.9%	88.0K	-2.3M	-89.2K	1.04	66.79	N/A	N/A	3	3	33	20
2017-02-27	$9084.00	$9000.00	77.0%	22.1%	64.3%	11.4%	78.4%	-2.1%	-6.0%	91.2K	-2.9M	-88.0K	1.32	72.84	N/A	N/A	2	3	34	21
2017-02-28	$9216.00	$9000.00	74.4%	21.3%	59.1%	8.9%	74.5%	5.9%	-9.4%	119.4K	-3.7M	-90.5K	2.22	75.90	N/A	N/A	1	3	35	23