WATT Options History — November 2017

In November 2017, WATT traded between $4422.00 and $5664.00. ATM implied volatility averaged 90.6%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 24.5%. IV traded above realized volatility by 10.0% (HV 20d: 80.7%). Max pain ranged from $4500.00 to $7500.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2017-11-09: Highest Volume — 9 contracts
  • 2017-11-08: Largest IV drop — 39.9% change
  • 2017-11-07: Highest IV Rank — 56.3%
  • 2017-11-07: Largest Expected Move — 29.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5117.43$4422.00$5664.00$5628.00$5004.00
Max Pain$5785.71$4500.00$7500.00$7500.00$4500.00
ATM IV90.6%75.2%147.3%82.4%85.1%
Expected Move24.5%21.6%29.3%23.6%24.4%
HV 20d80.7%53.6%94.8%53.6%91.3%
HV 60d84.3%72.7%91.5%83.7%73.0%
IV Rank23.1%14.1%56.3%18.3%19.9%
IV Percentile84.2%59.5%99.6%81.3%84.5%
Term Structure-3.5%-13.6%5.0%-6.2%-1.6%
VWIV83.4%73.6%102.9%85.8%85.1%
Skew 25d5.4%-4.9%16.0%1.8%5.3%
Skew 10d18.7%-9.3%45.2%-3.0%3.6%
Call IV 25d83.2%65.8%98.6%90.4%80.5%
Put IV 25d88.6%73.1%103.1%92.2%85.7%
Bid-Ask Spread %34.4314.9258.0646.6932.63
Gamma HHI0.160.140.230.230.15
Net GEX729-39.7K35.8K-30.4K15.8K
Net DEX4.1M1.7M7.6M5.1M2.8M
Net VEX-60.9K-72.9K-46.6K-65.7K-58.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.301.100.590.78
Total Volume64956
Total OI108.38199120104107

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$5628.00$7500.0082.4%23.6%53.6%18.3%85.8%1.8%-6.2%-30.4K5.1M-65.7K0.5946.69N/AN/A326638
2017-11-02$5220.00$6000.0090.6%23.6%55.9%23.1%80.7%5.7%-5.4%-39.7K6.7M-55.4K0.8134.77N/AN/A436738
2017-11-03$4860.00$6000.00116.9%24.9%55.9%38.5%85.1%15.3%3.3%-32.3K6.8M-52.8K1.1029.02N/AN/A346838
2017-11-06$4668.00$6000.00117.2%26.7%55.5%38.7%94.7%12.5%-6.2%-35.7K7.6M-47.4K1.0141.32N/AN/A337039
2017-11-07$4422.00$6000.00147.3%29.3%55.4%56.3%102.9%4.5%-13.6%-14.7K6.3M-49.9K0.5726.47N/AN/A427138
2017-11-08$4422.00$4500.0088.5%25.4%56.1%21.9%94.7%4.7%-2.2%-17.4K6.6M-46.6K0.6254.17N/AN/A327338
2017-11-09$5010.00$4500.0089.3%25.6%77.7%22.4%87.8%2.7%-12.9%-2.1K4.8M-56.5K0.3326.72N/AN/A727438
2017-11-10$5664.00$4500.0085.5%24.5%91.6%20.1%77.7%-0.6%-2.4%35.8K1.9M-72.9K0.3124.07N/AN/A627639
2017-11-13$5286.00$6000.0084.9%24.3%93.6%19.8%87.3%1.5%-4.4%6.1K4.1M-65.5K0.3019.30N/AN/A527739
2017-11-14$5172.00$6000.0091.3%26.2%93.4%23.5%73.6%12.5%-0.6%7.5K4.2M-64.1K0.6515.66N/AN/A327839
2017-11-15$5124.00$6000.0092.7%26.6%93.0%24.3%87.2%10.4%-6.2%7.3K4.2M-63.7K0.4925.45N/AN/A327839
2017-11-16$5298.00$6000.0084.1%24.1%94.6%19.3%75.2%12.0%-0.7%12.5K3.6M-67.3K0.9634.08N/AN/A447940
2017-11-17$5484.00$6000.0083.5%24.0%94.6%19.0%79.8%16.0%-2.7%18.5K2.6M-71.0K0.5631.45N/AN/A428040
2017-11-20$5304.00$6000.0075.2%21.6%94.8%14.1%78.7%1.3%1.4%16.1K1.8M-67.9K0.4242.08N/AN/A426534
2017-11-21$5220.00$6000.0079.8%22.9%94.8%16.8%81.5%0.2%5.0%19.5K2.1M-65.5K0.5629.41N/AN/A326634
2017-11-22$5334.00$6000.0076.0%21.8%87.5%14.6%76.1%-3.6%1.3%17.6K1.7M-67.3K0.7733.30N/AN/A326634
2017-11-24$5142.00$6000.0081.7%23.4%88.1%17.9%75.2%2.7%0.9%28.6K2.1M-66.3K0.6814.92N/AN/A326734
2017-11-27$5208.00$6000.0079.6%22.8%88.1%16.6%76.2%5.9%-0.5%7.1K2.7M-62.3K0.6045.68N/AN/A326835
2017-11-28$5178.00$6000.0088.1%25.2%88.1%21.6%82.3%7.4%-12.6%-3.8K3.4M-58.9K0.4758.06N/AN/A316835
2017-11-29$4818.00$6000.0083.7%24.0%90.9%19.1%83.7%-4.9%-6.2%-9494.2M-53.5K0.4657.85N/AN/A426835
2017-11-30$5004.00$4500.0085.1%24.4%91.3%19.9%85.1%5.3%-1.6%15.8K2.8M-58.2K0.7832.63N/AN/A337136