WATT Options History — June 2017

In June 2017, WATT traded between $8928.00 and $9918.00. ATM implied volatility averaged 63.4%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 20.6% (HV 20d: 42.8%). Max pain ranged from $9000.00 to $9000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2017-06-16: Highest Volume — 6 contracts
  • 2017-06-09: Largest IV spike — 28.9% change
  • 2017-06-12: Highest IV Rank — 23.1%
  • 2017-06-15: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9436.36$8928.00$9918.00$9384.00$9768.00
Max Pain$9000.00$9000.00$9000.00$9000.00$9000.00
ATM IV63.4%53.6%77.8%57.6%61.6%
Expected Move18.1%16.5%19.1%16.5%17.7%
HV 20d42.8%30.9%64.0%64.0%41.4%
HV 60d51.4%49.2%53.2%53.1%51.6%
IV Rank10.6%2.1%23.1%5.6%9.0%
IV Percentile15.0%2.0%50.4%5.6%14.3%
Term Structure4.2%0.7%8.4%1.9%5.1%
VWIV62.2%57.4%70.1%57.4%61.0%
Skew 25d3.7%-3.2%13.4%3.3%-3.2%
Skew 10d6.2%-9.2%32.5%14.4%-9.2%
Call IV 25d63.7%58.7%66.4%59.2%64.5%
Put IV 25d67.4%61.3%78.0%62.5%61.3%
Bid-Ask Spread %68.2155.5581.4555.5576.88
Gamma HHI0.170.140.210.170.20
Net GEX132.9K68.2K185.1K156.5K185.1K
Net DEX-9.6M-12.6M-5.1M-9.6M-12.2M
Net VEX-131.0K-142.5K-123.2K-129.5K-141.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.444.080.851.16
Total Volume4.3643644
Total OI75.04571797279

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$9384.00$9000.0057.6%16.5%64.0%5.6%57.4%3.3%1.9%156.5K-9.6M-129.5K0.8555.55N/AN/A224329
2017-06-02$9558.00$9000.0058.3%16.7%60.2%6.2%58.2%4.5%0.7%164.2K-10.0M-125.1K1.0466.03N/AN/A224329
2017-06-05$9486.00$9000.0066.5%18.5%60.2%13.3%66.5%4.0%6.3%165.7K-10.4M-132.9K1.3063.20N/AN/A224330
2017-06-06$9564.00$9000.0065.1%18.9%60.1%12.1%64.6%0.9%4.4%170.5K-10.8M-132.6K1.3764.45N/AN/A224330
2017-06-07$9498.00$9000.0066.8%18.6%59.5%13.6%61.6%1.0%4.0%149.8K-10.5M-126.9K1.8161.45N/AN/A124430
2017-06-08$9684.00$9000.0053.6%18.2%59.5%2.1%63.1%1.1%5.7%183.5K-10.5M-134.3K1.0059.29N/AN/A224430
2017-06-09$9648.00$9000.0069.1%18.9%38.8%15.5%62.9%5.8%3.6%175.2K-11.6M-134.5K0.9467.49N/AN/A224430
2017-06-12$9252.00$9000.0077.8%18.9%39.4%23.1%70.1%13.4%3.7%141.2K-9.5M-131.5K0.7669.95N/AN/A324631
2017-06-13$9570.00$9000.0060.7%19.0%40.0%8.3%61.4%6.7%8.4%147.8K-11.0M-131.5K1.6972.56N/AN/A124631
2017-06-14$9678.00$9000.0065.1%18.7%40.1%12.0%65.2%2.4%5.3%151.8K-12.0M-137.3K0.9764.04N/AN/A224631
2017-06-15$9576.00$9000.0066.7%19.1%39.3%13.5%64.6%1.8%1.3%118.2K-11.6M-129.3K1.2567.63N/AN/A224731
2017-06-16$9432.00$9000.0065.7%18.8%39.6%12.6%65.0%4.0%3.2%103.6K-11.0M-129.4K1.0072.62N/AN/A334731
2017-06-19$9432.00$9000.0060.1%17.2%39.5%7.8%59.6%5.5%2.2%94.4K-8.2M-123.7K4.0865.31N/AN/A144229
2017-06-20$9336.00$9000.0061.2%17.5%31.1%8.7%61.0%6.0%4.7%100.5K-7.5M-129.0K1.4962.51N/AN/A224330
2017-06-21$8928.00$9000.0066.0%18.9%30.9%12.9%62.7%1.8%6.0%68.2K-5.1M-123.2K0.8564.61N/AN/A334330
2017-06-22$9162.00$9000.0062.9%18.0%31.7%10.2%59.7%5.6%4.9%76.9K-6.6M-126.6K0.9360.94N/AN/A224430
2017-06-23$9192.00$9000.0060.9%17.5%31.7%8.4%60.0%2.0%6.9%87.5K-7.0M-129.1K0.6273.14N/AN/A324530
2017-06-26$9228.00$9000.0064.3%18.4%30.9%11.3%57.5%4.4%1.3%100.9K-8.2M-131.6K0.6573.05N/AN/A324630
2017-06-27$9114.00$9000.0062.2%17.8%31.2%9.6%61.7%5.7%2.2%100.2K-7.6M-130.1K1.1777.23N/AN/A224630
2017-06-28$9192.00$9000.0061.3%17.6%31.2%8.8%63.0%4.9%5.3%96.7K-7.8M-130.0K1.1881.45N/AN/A224730
2017-06-29$9918.00$9000.0060.5%17.3%41.4%8.0%60.8%-0.6%6.1%184.7K-12.6M-142.5K0.4481.19N/AN/A424731
2017-06-30$9768.00$9000.0061.6%17.7%41.4%9.0%61.0%-3.2%5.1%185.1K-12.2M-141.7K1.1676.88N/AN/A224831