WATT Options History — August 2017

In August 2017, WATT traded between $5388.00 and $8880.00. ATM implied volatility averaged 82.5%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded above realized volatility by 27.0% (HV 20d: 55.5%). Max pain ranged from $6000.00 to $9000.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-08-18: Highest Volume — 7 contracts
  • 2017-08-09: Largest IV drop — 26.0% change
  • 2017-08-30: Highest IV Rank — 38.8%
  • 2017-08-30: Largest Expected Move — 27.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6942.52$5388.00$8880.00$8880.00$5700.00
Max Pain$7565.22$6000.00$9000.00$9000.00$6000.00
ATM IV82.5%66.6%95.9%70.7%95.5%
Expected Move23.4%19.1%27.5%20.3%27.4%
HV 20d55.5%34.6%78.7%36.1%78.7%
HV 60d48.1%38.1%56.4%47.1%56.4%
IV Rank27.1%13.3%38.8%16.9%38.4%
IV Percentile70.0%27.0%92.9%38.9%92.5%
Term Structure2.6%-4.1%10.6%0.9%-4.1%
VWIV88.5%75.7%100.3%78.3%100.3%
Skew 25d-0.1%-8.4%11.1%-0.8%-2.2%
Skew 10d-0.6%-24.0%44.6%1.2%-6.4%
Call IV 25d88.4%74.8%110.0%76.2%109.3%
Put IV 25d88.4%70.3%107.1%75.4%107.1%
Bid-Ask Spread %30.2413.2665.8159.7615.12
Gamma HHI0.140.130.170.170.15
Net GEX53.0K9.6K119.0K119.0K15.2K
Net DEX-1.2M-7.8M2.9M-7.8M-244.5K
Net VEX-94.8K-121.4K-71.4K-121.4K-88.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.371.550.370.93
Total Volume5.1744756
Total OI84.26173938191

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$8880.00$9000.0070.7%20.3%36.1%16.9%78.3%-0.8%0.9%119.0K-7.8M-121.4K0.3759.76N/AN/A415130
2017-08-02$8718.00$9000.0073.5%21.1%35.8%19.3%76.9%-3.9%-0.9%101.1K-5.1M-109.0K0.4659.14N/AN/A315130
2017-08-03$8592.00$9000.0069.3%20.4%35.2%15.7%84.7%2.8%0.6%88.4K-5.7M-116.3K0.5959.41N/AN/A325130
2017-08-04$8478.00$7500.0069.7%20.8%34.6%16.0%90.7%-2.8%0.5%97.0K-5.6M-115.1K0.5459.21N/AN/A315230
2017-08-07$8370.00$7500.0084.2%21.4%34.7%28.6%85.0%-5.1%0.2%96.2K-4.8M-110.7K0.5865.81N/AN/A325330
2017-08-08$8562.00$7500.0090.0%21.2%35.7%33.6%88.0%2.1%-0.8%109.6K-5.9M-114.3K0.6460.09N/AN/A325331
2017-08-09$8028.00$7500.0066.6%19.1%39.8%13.3%75.7%-5.2%9.9%69.3K-2.2M-104.3K0.6331.52N/AN/A325431
2017-08-10$7452.00$9000.0073.8%21.2%45.9%19.6%86.9%-3.4%2.8%53.9K-326.1K-99.1K0.7714.90N/AN/A225531
2017-08-11$7272.00$9000.0073.7%21.1%45.8%19.6%83.7%-1.7%2.6%49.1K691.8K-94.6K0.8317.49N/AN/A225531
2017-08-14$7392.00$9000.0071.6%20.5%47.1%17.7%80.8%-1.2%5.4%60.4K-120.4K-96.9K0.5015.47N/AN/A325631
2017-08-15$6768.00$9000.0080.3%23.0%53.3%25.3%89.6%4.1%5.0%39.8K2.5M-87.0K0.9727.58N/AN/A335831
2017-08-16$6606.00$7500.0078.8%22.6%52.3%24.0%81.3%-0.4%4.1%41.9K2.4M-87.0K0.9620.79N/AN/A335932
2017-08-17$6426.00$7500.0083.7%24.0%51.6%28.2%83.3%2.7%-0.8%32.2K2.9M-83.7K0.6624.15N/AN/A326032
2017-08-18$6174.00$7500.0086.7%24.8%51.6%30.8%92.9%-0.5%-2.2%39.6K2.4M-85.4K1.3426.84N/AN/A346132
2017-08-21$5388.00$7500.0093.5%26.8%61.5%36.7%97.8%1.2%-3.9%18.1K1.0M-71.4K1.2021.36N/AN/A234825
2017-08-22$5940.00$7500.0093.4%26.8%74.9%36.6%97.1%4.7%8.4%39.2K-970.9K-84.5K1.5516.43N/AN/A244926
2017-08-23$5940.00$7500.0085.3%24.5%75.0%29.6%88.7%6.8%10.6%33.3K-895.7K-87.3K0.6218.54N/AN/A325028
2017-08-24$6096.00$6000.0089.9%25.8%76.8%33.6%97.9%5.7%5.8%40.1K-1.3M-88.0K0.7916.49N/AN/A225129
2017-08-25$5748.00$6000.0087.7%25.2%77.1%31.7%88.6%1.1%9.9%29.7K-342.3K-83.4K0.8020.18N/AN/A325229
2017-08-28$5742.00$6000.0088.3%25.3%77.5%32.2%90.2%11.1%7.6%17.4K516.7K-81.7K0.9618.13N/AN/A335431
2017-08-29$5646.00$6000.0095.2%27.3%77.2%38.2%97.4%-8.4%0.6%9.6K418.2K-85.0K0.6513.82N/AN/A425432
2017-08-30$5760.00$6000.0095.9%27.5%78.6%38.8%100.1%-7.9%-2.3%19.3K-178.8K-86.5K0.9413.26N/AN/A335533
2017-08-31$5700.00$6000.0095.5%27.4%78.7%38.4%100.3%-2.2%-4.1%15.2K-244.5K-88.6K0.9315.12N/AN/A335734