WATT Options History — April 2017

In April 2017, WATT traded between $7356.00 and $8916.00. ATM implied volatility averaged 65.4%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 25.1% (HV 20d: 40.2%). Max pain ranged from $9000.00 to $10500.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.81.

Notable Days

2017-04-27: Highest Volume — 9 contracts
2017-04-12: Largest IV spike — 26.7% change
2017-04-27: Highest IV Rank — 21.8%
2017-04-27: Largest Expected Move — 21.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8523.47	$7356.00	$8916.00	$8778.00	$7620.00
Max Pain	$10105.26	$9000.00	$10500.00	$9000.00	$9000.00
ATM IV	65.4%	51.2%	76.3%	56.9%	71.3%
Expected Move	19.5%	15.2%	21.9%	16.3%	20.4%
HV 20d	40.2%	31.3%	55.9%	55.9%	46.7%
HV 60d	59.4%	52.2%	64.7%	64.7%	54.1%
IV Rank	11.8%	0.0%	21.8%	3.1%	17.5%
IV Percentile	13.7%	0.0%	34.5%	3.2%	19.0%
Term Structure	1.5%	-6.3%	14.2%	10.2%	11.9%
VWIV	68.3%	57.3%	80.8%	57.3%	80.8%
Skew 25d	0.5%	-6.2%	9.4%	1.8%	9.4%
Skew 10d	12.1%	-17.1%	41.0%	0.6%	3.6%
Call IV 25d	71.1%	59.7%	85.8%	61.7%	77.7%
Put IV 25d	71.6%	53.5%	87.5%	63.5%	87.1%
Bid-Ask Spread %	53.02	30.69	79.22	52.47	48.80
Gamma HHI	0.16	0.14	0.19	0.18	0.14
Net GEX	92.3K	22.5K	132.0K	122.2K	22.5K
Net DEX	-1.0M	-3.7M	3.1M	-2.7M	2.8M
Net VEX	-100.5K	-105.8K	-93.0K	-99.5K	-95.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.81	1.09	3.40	2.18	1.80
Total Volume	6.053	3	9	4	9
Total OI	71.789	66	81	67	81

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
2017-04-03	$8778.00	$9000.00	56.9%	16.3%	55.9%	3.1%	57.3%	1.8%	10.2%	122.2K	-2.7M	-99.5K	2.18	52.47	N/A	N/A	1	3	41	26
2017-04-04	$8700.00	$9000.00	58.3%	16.7%	47.0%	4.4%	58.7%	-4.1%	7.1%	103.0K	-1.4M	-98.1K	1.54	38.54	N/A	N/A	1	2	40	26
2017-04-05	$8706.00	$9000.00	52.9%	15.2%	46.8%	0.0%	57.7%	-6.2%	14.2%	96.8K	-1.5M	-99.5K	1.09	46.11	N/A	N/A	2	2	41	26
2017-04-06	$8640.00	$10500.00	54.1%	19.0%	46.7%	1.1%	64.5%	1.2%	4.0%	93.7K	-1.5M	-96.3K	1.99	50.18	N/A	N/A	2	4	42	27
2017-04-07	$8670.00	$10500.00	52.9%	19.3%	46.7%	0.0%	64.4%	0.0%	-0.4%	91.3K	-1.5M	-100.2K	1.61	55.16	N/A	N/A	2	4	42	27
2017-04-10	$8796.00	$10500.00	57.5%	19.3%	43.8%	4.1%	65.1%	7.4%	2.4%	110.9K	-2.7M	-101.7K	1.14	65.58	N/A	N/A	3	4	42	27
2017-04-11	$8916.00	$10500.00	51.2%	19.5%	40.5%	0.0%	66.2%	2.6%	-0.1%	132.0K	-3.7M	-104.3K	1.65	67.37	N/A	N/A	2	3	44	27
2017-04-12	$8724.00	$10500.00	64.8%	18.6%	36.0%	11.8%	65.0%	2.5%	0.8%	123.8K	-2.1M	-99.8K	2.13	66.75	N/A	N/A	2	4	44	27
2017-04-13	$8706.00	$10500.00	68.9%	19.7%	35.0%	15.3%	67.1%	-2.6%	2.6%	118.8K	-2.2M	-102.5K	3.40	65.89	N/A	N/A	2	5	44	27
2017-04-17	$8646.00	$10500.00	71.7%	20.6%	34.7%	17.8%	70.3%	-3.0%	-5.3%	103.1K	-2.1M	-101.4K	2.50	79.22	N/A	N/A	2	4	44	28
2017-04-18	$8748.00	$10500.00	72.9%	20.9%	34.3%	18.8%	70.9%	4.3%	-6.3%	111.0K	-902.9K	-101.5K	2.28	66.47	N/A	N/A	2	4	44	30
2017-04-19	$8700.00	$10500.00	69.8%	20.0%	31.3%	16.2%	66.2%	1.1%	-0.6%	106.5K	-1.6M	-103.3K	2.37	45.57	N/A	N/A	2	4	45	30
2017-04-20	$8850.00	$10500.00	73.1%	21.0%	31.8%	19.0%	71.6%	-0.6%	-3.6%	131.7K	-2.7M	-104.1K	1.95	49.51	N/A	N/A	2	4	45	30
2017-04-21	$8784.00	$10500.00	73.9%	21.2%	31.7%	19.7%	74.4%	-0.9%	-2.2%	91.0K	-910.1K	-104.7K	1.39	58.64	N/A	N/A	3	5	45	31
2017-04-24	$8424.00	$10500.00	71.9%	20.6%	34.2%	18.0%	70.4%	-0.7%	-4.2%	64.3K	-267.4K	-103.6K	1.75	39.09	N/A	N/A	2	4	41	29
2017-04-25	$8424.00	$10500.00	69.4%	19.9%	34.2%	15.8%	69.4%	-5.1%	-2.9%	68.8K	-401.5K	-105.8K	1.34	42.83	N/A	N/A	2	2	42	30
2017-04-26	$7758.00	$10500.00	74.0%	21.2%	43.8%	19.8%	76.8%	1.1%	-1.5%	40.0K	2.7M	-95.7K	1.14	30.69	N/A	N/A	3	4	42	30
2017-04-27	$7356.00	$9000.00	76.3%	21.9%	43.6%	21.8%	80.5%	1.7%	1.9%	23.0K	3.1M	-93.0K	1.15	38.53	N/A	N/A	4	5	45	32
2017-04-28	$7620.00	$9000.00	71.3%	20.4%	46.7%	17.5%	80.8%	9.4%	11.9%	22.5K	2.8M	-95.4K	1.80	48.80	N/A	N/A	3	6	47	34