WATT Options History — July 2017

In July 2017, WATT traded between $8898.00 and $9900.00. ATM implied volatility averaged 66.3%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 26.1% (HV 20d: 40.3%). Max pain ranged from $9000.00 to $9000.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2017-07-21: Highest Volume — 5 contracts
  • 2017-07-10: Largest IV spike — 8.1% change
  • 2017-07-10: Highest IV Rank — 19.5%
  • 2017-07-07: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9517.50$8898.00$9900.00$9648.00$8898.00
Max Pain$9000.00$9000.00$9000.00$9000.00$9000.00
ATM IV66.3%63.1%73.7%65.0%69.2%
Expected Move19.0%18.1%20.2%18.6%19.8%
HV 20d40.3%35.5%45.4%41.6%36.2%
HV 60d50.7%47.4%52.0%51.7%47.4%
IV Rank13.1%10.3%19.5%12.0%15.6%
IV Percentile23.7%15.9%42.1%17.9%34.9%
Term Structure2.3%-1.6%8.3%7.3%-0.1%
VWIV63.4%55.6%75.8%63.9%68.6%
Skew 25d4.0%-3.4%7.2%4.6%7.2%
Skew 10d7.2%-8.0%35.9%10.4%35.9%
Call IV 25d66.2%61.9%70.7%63.2%70.7%
Put IV 25d70.2%64.4%77.9%67.8%77.9%
Bid-Ask Spread %55.0441.7581.8681.8657.56
Gamma HHI0.210.160.470.200.16
Net GEX138.3K-359.1K209.7K180.6K107.5K
Net DEX-10.6M-12.6M-7.1M-11.7M-7.1M
Net VEX-129.3K-140.8K-116.8K-138.4K-121.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.511.180.850.51
Total Volume3.93545
Total OI79.5576817980

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$9648.00$9000.0065.0%18.6%41.6%12.0%63.9%4.6%7.3%180.6K-11.7M-138.4K0.8581.86N/AN/A224831
2017-07-05$9768.00$9000.0068.0%19.5%41.7%14.6%67.8%-3.4%-1.3%189.6K-12.0M-140.8K1.0678.91N/AN/A224831
2017-07-06$9900.00$9000.0066.7%19.3%41.8%13.4%60.8%6.3%4.2%203.9K-12.6M-138.9K1.1153.96N/AN/A224831
2017-07-07$9642.00$9000.0068.2%20.2%42.5%14.7%59.8%2.7%1.1%186.6K-11.7M-137.1K0.8153.27N/AN/A224831
2017-07-10$9570.00$9000.0073.7%20.0%42.5%19.5%75.8%4.9%1.5%162.0K-10.9M-130.2K1.0155.09N/AN/A224931
2017-07-11$9678.00$9000.0070.8%20.2%39.7%17.0%58.5%5.9%0.6%165.8K-11.1M-128.3K0.8155.52N/AN/A224931
2017-07-12$9870.00$9000.0067.2%19.3%38.6%13.9%65.8%4.4%3.7%209.7K-12.2M-133.8K0.5548.61N/AN/A314931
2017-07-13$9756.00$9000.0063.9%18.3%38.6%11.0%55.6%2.0%4.7%208.5K-12.3M-131.0K0.7645.48N/AN/A225031
2017-07-14$9738.00$9000.0064.6%18.5%38.4%11.6%60.6%4.5%0.5%203.9K-12.0M-131.4K0.7658.23N/AN/A214931
2017-07-17$9654.00$9000.0065.3%18.7%38.1%12.3%59.9%1.7%1.2%192.8K-12.0M-131.1K0.8561.12N/AN/A215031
2017-07-18$9732.00$9000.0066.4%19.0%38.2%13.2%60.8%3.8%-1.6%170.7K-11.8M-130.7K0.9161.06N/AN/A225031
2017-07-19$9822.00$9000.0063.1%18.1%38.0%10.3%64.1%4.2%4.1%171.8K-10.8M-126.7K1.1848.71N/AN/A225031
2017-07-20$9396.00$9000.0063.3%18.1%38.0%10.5%64.3%1.4%4.5%95.9K-10.1M-127.9K0.7351.12N/AN/A225031
2017-07-21$9030.00$9000.0063.1%18.1%39.7%10.3%62.8%1.2%5.1%-359.1K-7.5M-119.1K0.5445.32N/AN/A325031
2017-07-24$9420.00$9000.0064.9%18.6%42.6%11.9%64.1%6.0%3.1%134.9K-9.8M-116.8K0.8053.26N/AN/A224729
2017-07-25$9522.00$9000.0065.3%18.7%42.7%12.2%64.4%5.0%1.2%156.5K-10.0M-126.6K0.5748.29N/AN/A214730
2017-07-26$9120.00$9000.0063.5%18.2%45.4%10.7%61.7%7.2%8.3%128.3K-8.7M-126.4K0.7150.74N/AN/A214830
2017-07-27$9048.00$9000.0067.1%19.2%45.3%13.8%66.4%2.9%-0.8%122.2K-8.4M-123.7K0.5450.95N/AN/A314930
2017-07-28$9138.00$9000.0067.3%19.3%35.5%13.9%62.7%6.7%-0.4%133.4K-8.7M-125.5K0.5541.75N/AN/A314930
2017-07-31$8898.00$9000.0069.2%19.8%36.2%15.6%68.6%7.2%-0.1%107.5K-7.1M-121.5K0.5157.56N/AN/A325030