WATT Options History — March 2017

In March 2017, WATT traded between $8430.00 and $9618.00. ATM implied volatility averaged 63.3%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 4.2% (HV 20d: 59.1%). Max pain ranged from $9000.00 to $9000.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.33.

Notable Days

2017-03-07: Highest Volume — 10 contracts
2017-03-09: Largest IV drop — 20.5% change
2017-03-06: Highest IV Rank — 17.7%
2017-03-02: Largest Expected Move — 22.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9178.43	$8430.00	$9618.00	$9396.00	$9378.00
Max Pain	$9000.00	$9000.00	$9000.00	$9000.00	$9000.00
ATM IV	63.3%	53.4%	83.6%	71.4%	57.9%
Expected Move	17.6%	15.3%	22.0%	20.5%	16.6%
HV 20d	59.1%	51.8%	64.5%	59.2%	51.8%
HV 60d	66.1%	63.4%	68.6%	65.2%	63.4%
IV Rank	4.5%	0.0%	17.7%	6.0%	4.0%
IV Percentile	8.4%	0.0%	45.6%	7.9%	3.2%
Term Structure	6.0%	-8.8%	20.1%	3.4%	2.9%
VWIV	61.1%	50.9%	77.3%	69.7%	58.2%
Skew 25d	6.9%	-12.3%	37.5%	20.2%	7.6%
Skew 10d	19.1%	-13.6%	85.9%	25.4%	16.0%
Call IV 25d	60.2%	49.0%	84.5%	68.9%	51.1%
Put IV 25d	67.1%	53.7%	94.4%	89.1%	58.7%
Bid-Ask Spread %	53.87	28.28	85.32	29.66	31.73
Gamma HHI	0.23	0.17	0.35	0.23	0.20
Net GEX	156.6K	76.7K	267.0K	146.0K	164.7K
Net DEX	-4.6M	-10.2M	-512.5K	-4.8M	-6.1M
Net VEX	-98.9K	-109.4K	-86.2K	-94.2K	-107.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.62	2.59	1.70	0.88
Total Volume	5.13	3	10	5	4
Total OI	63.609	57	69	58	65

Daily Data (23 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
2017-03-01	$9396.00	$9000.00	71.4%	20.5%	59.2%	6.0%	69.7%	20.2%	3.4%	146.0K	-4.8M	-94.2K	1.70	29.66	N/A	N/A	2	3	35	23
2017-03-02	$9234.00	$9000.00	76.6%	22.0%	59.5%	11.1%	77.3%	4.3%	-4.2%	145.1K	-4.2M	-92.3K	2.14	29.21	N/A	N/A	1	3	36	23
2017-03-03	$8730.00	$9000.00	76.4%	21.9%	60.0%	10.8%	75.6%	-12.3%	-4.6%	101.5K	-2.2M	-90.3K	1.55	67.11	N/A	N/A	2	3	36	23
2017-03-06	$8430.00	$9000.00	83.6%	19.3%	58.1%	17.7%	69.9%	7.2%	9.1%	76.7K	-512.5K	-86.2K	1.22	80.39	N/A	N/A	3	4	37	24
2017-03-07	$9162.00	$9000.00	83.2%	20.5%	64.5%	17.3%	73.2%	20.7%	1.8%	133.8K	-2.8M	-94.9K	0.62	43.40	N/A	N/A	6	4	38	25
2017-03-08	$9036.00	$9000.00	80.9%	19.1%	61.5%	15.5%	68.7%	4.7%	7.9%	195.9K	-4.4M	-100.7K	0.85	34.67	N/A	N/A	4	3	41	25
2017-03-09	$8922.00	$9000.00	64.3%	17.4%	61.1%	0.0%	63.7%	0.4%	6.7%	221.3K	-3.1M	-95.2K	0.84	79.22	N/A	N/A	5	4	42	26
2017-03-10	$8916.00	$9000.00	59.3%	17.4%	59.0%	0.0%	59.8%	2.9%	9.7%	230.5K	-3.2M	-97.9K	1.29	69.36	N/A	N/A	2	2	42	26
2017-03-13	$9330.00	$9000.00	65.2%	18.2%	58.9%	5.5%	60.2%	6.8%	5.8%	267.0K	-6.7M	-100.3K	1.48	75.87	N/A	N/A	2	2	43	26
2017-03-14	$8880.00	$9000.00	62.2%	18.1%	60.7%	2.6%	59.8%	-4.8%	8.1%	245.5K	-3.2M	-97.4K	1.77	81.34	N/A	N/A	1	3	43	26
2017-03-15	$9366.00	$9000.00	58.9%	16.9%	63.6%	0.0%	50.9%	6.9%	2.2%	258.6K	-7.4M	-97.5K	2.02	58.59	N/A	N/A	1	3	43	26
2017-03-16	$9552.00	$9000.00	59.8%	17.1%	63.5%	0.8%	57.1%	4.5%	5.1%	217.6K	-9.1M	-101.5K	0.93	60.51	N/A	N/A	2	2	43	26
2017-03-17	$9618.00	$9000.00	58.7%	16.8%	63.6%	0.0%	54.7%	37.5%	-3.9%	123.2K	-10.2M	-103.7K	0.84	47.58	N/A	N/A	3	3	43	26
2017-03-20	$9372.00	$9000.00	54.8%	15.7%	58.3%	0.0%	63.3%	12.6%	20.1%	104.0K	-4.5M	-100.3K	2.59	30.51	N/A	N/A	1	4	35	22
2017-03-21	$8994.00	$9000.00	53.4%	15.3%	60.1%	0.0%	53.5%	2.1%	13.2%	79.5K	-2.6M	-97.2K	1.39	28.86	N/A	N/A	2	3	35	24
2017-03-22	$9084.00	$9000.00	55.2%	15.8%	59.3%	1.6%	53.8%	5.4%	12.7%	90.1K	-2.7M	-97.0K	1.08	76.25	N/A	N/A	2	3	36	24
2017-03-23	$9144.00	$9000.00	56.7%	16.2%	58.8%	2.9%	52.0%	2.9%	12.0%	108.8K	-3.4M	-101.3K	1.37	47.30	N/A	N/A	2	2	37	24
2017-03-24	$9258.00	$9000.00	54.4%	15.6%	55.6%	0.9%	56.9%	15.7%	15.9%	112.6K	-4.2M	-100.8K	1.64	28.28	N/A	N/A	2	3	37	24
2017-03-27	$9192.00	$9000.00	58.8%	16.9%	55.3%	4.8%	57.3%	15.0%	9.0%	118.1K	-3.7M	-99.7K	1.18	72.72	N/A	N/A	2	3	37	25
2017-03-28	$9222.00	$9000.00	53.6%	15.4%	55.0%	0.2%	60.4%	-5.8%	5.8%	131.8K	-4.8M	-103.6K	0.71	28.77	N/A	N/A	3	2	38	25
2017-03-29	$9534.00	$9000.00	54.6%	15.6%	55.9%	1.1%	55.1%	3.8%	-8.8%	172.8K	-6.9M	-109.4K	1.43	85.32	N/A	N/A	1	2	39	25
2017-03-30	$9354.00	$9000.00	55.1%	15.8%	56.0%	1.5%	55.4%	1.2%	8.4%	156.4K	-5.4M	-106.1K	0.98	52.25	N/A	N/A	2	2	39	25
2017-03-31	$9378.00	$9000.00	57.9%	16.6%	51.8%	4.0%	58.2%	7.6%	2.9%	164.7K	-6.1M	-107.6K	0.88	31.73	N/A	N/A	2	2	40	25