WATT Options History — September 2017

In September 2017, WATT traded between $6072.00 and $7932.00. ATM implied volatility averaged 96.0%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded below realized volatility by 14.8% (HV 20d: 110.8%). Max pain ranged from $6000.00 to $7500.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2017-09-05: Highest Volume — 21 contracts
  • 2017-09-11: Largest IV spike — 76.5% change
  • 2017-09-07: Highest IV Rank — 100.0%
  • 2017-09-11: Largest Expected Move — 33.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7136.40$6072.00$7932.00$6072.00$7608.00
Max Pain$7125.00$6000.00$7500.00$6000.00$7500.00
ATM IV96.0%66.1%221.7%101.8%66.1%
Expected Move24.7%18.9%33.0%29.2%18.9%
HV 20d110.8%84.1%125.2%84.1%102.4%
HV 60d77.2%58.0%80.8%58.0%79.4%
IV Rank34.3%8.7%100.0%43.9%8.7%
IV Percentile76.7%25.0%100.0%96.0%25.0%
Term Structure5.1%-9.4%14.2%-9.4%14.2%
VWIV87.1%64.7%119.9%114.0%64.7%
Skew 25d5.5%-4.8%16.2%-2.3%16.2%
Skew 10d20.4%-17.5%45.8%-17.5%27.5%
Call IV 25d87.8%63.2%125.1%115.9%63.2%
Put IV 25d93.4%79.4%120.2%113.6%79.4%
Bid-Ask Spread %24.9815.6238.6922.0128.00
Gamma HHI0.150.130.210.150.16
Net GEX73.2K-2.2K125.2K25.1K107.9K
Net DEX-3.1M-12.0M1.7M-1.4M-3.4M
Net VEX-112.9K-129.7K-90.7K-90.7K-112.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.591.120.980.69
Total Volume11.76211010
Total OI113.29213892114

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$6072.00$6000.00101.8%29.2%84.1%43.9%114.0%-2.3%-9.4%25.1K-1.4M-90.7K0.9822.01N/AN/A555735
2017-09-05$7488.00$6000.00113.8%28.9%116.4%54.3%104.6%4.5%-4.2%105.0K-9.9M-115.9K0.6027.33N/AN/A1385937
2017-09-06$7188.00$6000.00107.7%28.4%116.5%49.0%100.2%3.5%-1.6%85.0K-7.6M-119.1K0.9019.85N/AN/A766340
2017-09-07$7398.00$6000.00125.3%30.1%115.3%100.0%107.2%-1.2%-3.8%95.2K-9.0M-125.6K0.7832.33N/AN/A756541
2017-09-08$7932.00$6000.00125.6%29.1%115.0%100.0%100.1%2.8%-0.4%125.2K-12.0M-129.7K0.6530.52N/AN/A966842
2017-09-11$7326.00$7500.00221.7%33.0%118.3%100.0%119.9%-4.8%-8.7%94.3K-7.8M-121.2K0.7736.36N/AN/A1087144
2017-09-12$6516.00$7500.00109.7%25.2%125.2%34.3%85.3%9.8%12.7%-2.2K653.0K-102.0K0.6428.89N/AN/A1387747
2017-09-13$6588.00$7500.0082.6%23.7%121.5%18.4%82.3%8.8%14.0%39.4K961.0K-100.3K0.8835.13N/AN/A878350
2017-09-14$6552.00$7500.0084.5%24.2%121.2%19.6%84.9%11.0%4.8%32.9K1.7M-102.0K0.5938.69N/AN/A648453
2017-09-15$6924.00$7500.0081.1%23.2%122.3%17.5%82.9%11.3%9.0%44.9K1.1M-109.2K0.6635.87N/AN/A648454
2017-09-18$6996.00$7500.0082.3%23.6%121.2%18.3%83.3%4.3%5.7%57.7K-1.7M-115.9K0.7723.77N/AN/A336242
2017-09-19$6858.00$7500.0081.9%23.5%109.6%18.0%77.3%2.7%6.9%43.7K-972.6K-109.7K1.1216.12N/AN/A446342
2017-09-20$6924.00$7500.0081.9%23.5%104.8%18.0%80.5%3.6%7.0%42.9K724.3K-107.8K1.0715.62N/AN/A446545
2017-09-21$6996.00$7500.0076.5%21.9%104.8%14.9%76.2%6.6%11.6%52.1K695.1K-109.1K0.7719.10N/AN/A546645
2017-09-22$7356.00$7500.0075.6%21.7%105.7%14.3%75.6%5.1%9.9%94.9K-2.3M-119.9K0.9219.08N/AN/A556745
2017-09-25$7542.00$7500.0077.2%22.1%102.7%15.3%77.6%8.5%7.2%109.6K-3.2M-119.7K0.9917.27N/AN/A556845
2017-09-26$7398.00$7500.0078.1%22.4%103.2%15.8%77.2%6.7%6.8%100.6K-2.8M-118.1K1.0017.09N/AN/A556845
2017-09-27$7536.00$7500.0072.8%20.9%102.6%12.7%75.9%5.4%10.5%104.6K-3.2M-114.6K0.9118.76N/AN/A546846
2017-09-28$7530.00$7500.0074.3%21.3%102.8%13.5%73.1%8.0%10.5%104.3K-3.1M-114.7K0.8917.72N/AN/A546846
2017-09-29$7608.00$7500.0066.1%18.9%102.4%8.7%64.7%16.2%14.2%107.9K-3.4M-112.9K0.6928.00N/AN/A646846