WATT Options History — October 2017

In October 2017, WATT traded between $5826.00 and $8346.00. ATM implied volatility averaged 78.0%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 24.1% (HV 20d: 53.9%). Max pain ranged from $7500.00 to $7500.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.18.

Notable Days

  • 2017-10-06: Highest Volume — 15 contracts
  • 2017-10-06: Largest IV spike — 42.2% change
  • 2017-10-13: Highest IV Rank — 24.3%
  • 2017-10-13: Largest Expected Move — 26.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7080.82$5826.00$8346.00$7614.00$5892.00
Max Pain$7500.00$7500.00$7500.00$7500.00$7500.00
ATM IV78.0%63.0%92.7%71.5%79.5%
Expected Move22.9%18.5%26.6%20.5%22.8%
HV 20d53.9%39.0%100.8%100.8%55.4%
HV 60d81.0%79.3%83.6%79.3%83.6%
IV Rank15.7%6.9%24.3%11.9%16.6%
IV Percentile61.9%15.9%90.9%43.3%74.6%
Term Structure0.8%-9.3%23.0%16.0%-2.5%
VWIV80.1%65.7%93.2%71.0%79.9%
Skew 25d7.7%0.7%35.9%14.1%4.5%
Skew 10d16.4%1.5%48.6%22.4%6.3%
Call IV 25d80.0%57.9%90.8%70.3%84.9%
Put IV 25d87.7%74.7%97.8%84.4%89.4%
Bid-Ask Spread %52.5619.5780.8519.5723.53
Gamma HHI0.190.160.230.160.23
Net GEX89.9K-25.3K233.8K112.1K-21.4K
Net DEX-1.3M-10.6M4.3M-3.9M4.3M
Net VEX-99.2K-125.6K-69.4K-111.0K-69.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.612.310.771.12
Total Volume7.455415115
Total OI11599126114104

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$7614.00$7500.0071.5%20.5%100.8%11.9%71.0%14.1%16.0%112.1K-3.9M-111.0K0.7719.57N/AN/A656846
2017-10-03$7794.00$7500.0068.4%19.6%68.8%10.1%67.5%35.9%23.0%131.0K-4.4M-109.7K0.8324.03N/AN/A656946
2017-10-04$8052.00$7500.0071.6%20.5%67.7%12.0%69.1%12.1%7.1%156.0K-6.6M-110.8K0.8940.46N/AN/A656946
2017-10-05$8166.00$7500.0064.2%22.3%67.2%7.6%76.7%0.7%-6.4%186.7K-7.9M-114.5K0.9332.99N/AN/A556947
2017-10-06$8346.00$7500.0091.3%26.2%63.1%23.5%89.1%6.4%1.6%215.2K-9.9M-119.7K0.6136.94N/AN/A966947
2017-10-09$8298.00$7500.0063.0%24.8%55.4%6.9%86.9%6.7%2.0%233.8K-10.6M-125.3K1.3737.42N/AN/A457348
2017-10-10$7854.00$7500.0087.7%25.9%39.0%21.4%91.0%4.3%-4.1%203.9K-7.3M-122.5K1.2735.88N/AN/A457448
2017-10-11$7524.00$7500.0089.3%25.6%43.2%22.3%86.6%11.1%-3.5%194.3K-6.2M-125.6K1.5035.20N/AN/A357548
2017-10-12$7356.00$7500.0086.5%24.8%44.2%20.7%91.7%9.1%-4.3%167.8K-3.1M-115.1K1.4945.54N/AN/A347548
2017-10-13$7002.00$7500.0092.7%26.6%44.3%24.3%93.2%8.1%-9.3%86.6K184.2K-105.9K1.4959.64N/AN/A347549
2017-10-16$6756.00$7500.0079.0%22.6%45.9%16.3%78.9%12.7%1.9%56.3K3.2M-94.4K2.1556.12N/AN/A257649
2017-10-17$6792.00$7500.0084.2%24.1%45.5%19.4%88.9%5.5%-7.9%62.2K2.5M-97.2K2.1661.94N/AN/A257649
2017-10-18$6852.00$7500.0081.4%23.3%45.4%17.7%82.6%5.6%2.7%56.1K2.2M-94.7K2.3160.28N/AN/A257649
2017-10-19$6738.00$7500.0084.0%24.1%45.6%19.3%83.1%2.2%-2.8%50.4K3.0M-95.2K1.2562.62N/AN/A237649
2017-10-20$6972.00$7500.0073.4%21.0%43.5%13.0%73.7%1.3%4.9%57.8K2.5M-96.8K0.7468.15N/AN/A327650
2017-10-23$6966.00$7500.0069.9%20.0%42.3%11.0%68.2%4.2%5.3%49.8K-804.6K-92.0K0.6976.22N/AN/A326336
2017-10-24$6894.00$7500.0064.4%18.5%41.9%7.7%65.7%7.3%5.1%45.3K-232.4K-89.6K1.0576.85N/AN/A226437
2017-10-25$6144.00$7500.0073.8%21.1%56.8%13.2%74.1%5.5%3.4%-3.8K3.3M-76.2K0.7677.89N/AN/A436537
2017-10-26$6054.00$7500.0078.7%22.6%56.7%16.2%75.3%6.0%-7.9%-14.5K3.4M-75.1K1.1973.73N/AN/A226537
2017-10-27$5886.00$7500.0077.8%22.3%56.5%15.6%81.3%4.2%-3.2%-25.3K4.3M-71.0K0.6980.85N/AN/A326637
2017-10-30$5826.00$7500.0084.1%24.1%56.3%19.3%87.6%2.8%-4.7%-21.7K4.3M-70.8K0.6970.42N/AN/A326638
2017-10-31$5892.00$7500.0079.5%22.8%55.4%16.6%79.9%4.5%-2.5%-21.4K4.3M-69.4K1.1223.53N/AN/A236638