WATT Options History — May 2017

In May 2017, WATT traded between $7500.00 and $9738.00. ATM implied volatility averaged 72.4%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded above realized volatility by 9.3% (HV 20d: 63.1%). Max pain ranged from $6000.00 to $9000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2017-05-02: Highest Volume — 11 contracts
  • 2017-05-10: Largest IV drop — 20.8% change
  • 2017-05-09: Highest IV Rank — 42.9%
  • 2017-05-03: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8713.36$7500.00$9738.00$7500.00$9318.00
Max Pain$7909.09$6000.00$9000.00$9000.00$9000.00
ATM IV72.4%58.1%100.6%84.6%58.1%
Expected Move20.0%16.6%24.5%24.2%16.6%
HV 20d63.1%44.6%77.0%46.5%65.1%
HV 60d55.3%50.9%58.5%53.0%55.8%
IV Rank18.4%6.0%42.9%29.0%6.0%
IV Percentile31.3%6.0%88.9%62.7%6.0%
Term Structure2.2%-27.3%14.6%-8.6%12.1%
VWIV69.0%56.7%90.3%81.2%62.9%
Skew 25d5.2%-1.4%18.0%6.5%7.6%
Skew 10d2.7%-7.5%18.0%7.8%15.6%
Call IV 25d70.5%57.4%91.0%87.2%60.0%
Put IV 25d75.7%62.5%93.6%93.6%67.6%
Bid-Ask Spread %60.8245.2275.7056.0268.24
Gamma HHI0.170.140.280.140.16
Net GEX113.4K26.9K235.6K26.9K129.9K
Net DEX-4.6M-10.2M2.6M2.6M-8.8M
Net VEX-117.1K-132.2K-102.1K-102.1K-122.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.441.791.600.87
Total Volume5.90941184
Total OI81.31865918371

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$7500.00$9000.0084.6%24.2%46.5%29.0%81.2%6.5%-8.6%26.9K2.6M-102.1K1.6056.02N/AN/A354736
2017-05-02$7776.00$9000.0083.5%23.9%44.6%28.0%88.4%2.2%-3.1%33.0K1.3M-105.2K1.2050.56N/AN/A564736
2017-05-03$8106.00$9000.0085.3%24.5%47.7%29.6%90.3%4.1%-27.3%60.8K58.2K-109.9K1.7948.93N/AN/A354836
2017-05-04$7704.00$6000.0089.7%23.0%50.5%33.4%79.7%5.7%0.5%49.2K2.4M-102.1K1.5972.87N/AN/A344836
2017-05-05$7932.00$6000.0085.0%21.2%52.0%29.3%79.8%18.0%10.5%36.9K1.0M-105.4K1.1468.74N/AN/A234836
2017-05-08$7950.00$6000.0098.1%22.4%52.0%40.7%78.7%2.5%-5.6%44.8K592.8K-106.4K0.8167.79N/AN/A224837
2017-05-09$7794.00$7500.00100.6%22.5%51.8%42.9%78.2%2.8%-5.9%34.9K1.2M-104.4K0.9773.58N/AN/A224937
2017-05-10$7848.00$7500.0079.7%22.9%51.5%24.8%77.5%2.9%-3.5%50.6K1.0M-107.4K1.0775.70N/AN/A224937
2017-05-11$8952.00$7500.0067.8%19.4%70.7%14.4%67.1%-1.4%4.8%165.2K-5.6M-113.6K0.4456.70N/AN/A735038
2017-05-12$9324.00$7500.0066.5%19.1%72.0%13.3%66.8%2.2%3.7%214.0K-9.9M-123.8K0.4445.22N/AN/A635138
2017-05-15$9084.00$7500.0068.7%19.7%72.7%15.2%69.4%4.8%6.3%183.9K-6.6M-121.9K0.7548.35N/AN/A225139
2017-05-16$9084.00$7500.0066.8%19.1%72.6%13.5%56.7%0.4%8.2%183.2K-6.6M-120.4K0.4554.35N/AN/A425239
2017-05-17$8886.00$7500.0065.3%18.7%73.1%12.2%58.7%2.4%5.8%161.6K-4.6M-116.7K0.7564.06N/AN/A225139
2017-05-18$9030.00$7500.0065.5%18.8%73.0%12.4%56.8%7.1%6.5%235.6K-5.7M-118.5K0.9459.12N/AN/A225239
2017-05-19$9102.00$7500.0063.7%18.3%73.0%10.9%59.5%8.7%14.6%102.0K-9.3M-123.0K0.9356.66N/AN/A445239
2017-05-22$9738.00$7500.0063.6%18.2%74.6%10.8%63.0%5.8%2.5%123.9K-10.2M-126.2K0.6861.13N/AN/A533827
2017-05-23$9300.00$9000.0060.1%17.2%77.0%7.7%62.2%3.7%4.8%117.2K-8.8M-130.3K0.8957.85N/AN/A334028
2017-05-24$9462.00$9000.0060.2%17.3%69.8%7.8%59.8%7.0%6.7%148.8K-9.1M-132.2K1.1966.86N/AN/A224128
2017-05-25$9378.00$9000.0059.1%16.9%66.1%6.9%57.6%5.0%4.2%135.6K-9.8M-132.1K0.9464.97N/AN/A224128
2017-05-26$9198.00$9000.0061.6%17.7%66.5%9.0%60.6%8.3%3.0%119.5K-8.2M-125.1K0.6957.98N/AN/A224229
2017-05-30$9228.00$9000.0060.4%17.3%65.8%8.0%62.2%9.1%7.7%137.4K-7.9M-127.6K0.6862.26N/AN/A224229
2017-05-31$9318.00$9000.0058.1%16.6%65.1%6.0%62.9%7.6%12.1%129.9K-8.8M-122.3K0.8768.24N/AN/A224229