WATT Options History — December 2017

In December 2017, WATT traded between $4746.00 and $18948.00. ATM implied volatility averaged 94.2%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 26.3%. IV traded below realized volatility by 12.5% (HV 20d: 106.6%). Max pain ranged from $4500.00 to $12000.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2017-12-29: Highest Volume — 118 contracts
  • 2017-12-27: Largest IV spike — 95.7% change
  • 2017-12-29: Highest IV Rank — 69.3%
  • 2017-12-29: Largest Expected Move — 48.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6647.40$4746.00$18948.00$4926.00$11730.00
Max Pain$6900.00$4500.00$12000.00$4500.00$12000.00
ATM IV94.2%72.0%169.4%90.4%169.4%
Expected Move26.3%20.6%48.6%25.9%48.6%
HV 20d106.6%44.5%410.1%87.7%410.1%
HV 60d90.6%64.8%244.0%72.6%244.0%
IV Rank25.2%12.2%69.3%23.0%69.3%
IV Percentile77.5%46.4%99.6%91.3%99.6%
Term Structure0.4%-27.0%9.4%-7.1%-27.0%
VWIV94.2%71.0%172.1%80.1%172.1%
Skew 25d1.7%-9.4%14.0%10.4%-3.3%
Skew 10d6.8%-11.9%22.0%10.2%-11.9%
Call IV 25d94.4%76.0%173.6%76.9%173.6%
Put IV 25d96.1%74.9%170.3%87.3%170.3%
Bid-Ask Spread %20.849.7536.3832.3218.62
Gamma HHI0.180.160.230.170.16
Net GEX65.2K-17.2K504.2K-17.2K226.4K
Net DEX-9.5M-124.8M3.9M3.0M-27.8M
Net VEX-73.9K-191.7K-53.1K-54.4K-191.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.261.320.580.90
Total Volume19.831183118
Total OI111.8104152107152

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$4926.00$4500.0090.4%25.9%87.7%23.0%0.0%10.4%-7.1%-17.2K3.0M-54.4K0.5832.32N/AN/A217136
2017-12-04$4746.00$6000.0083.6%22.9%85.0%19.0%80.1%4.6%3.1%9.2K3.9M-54.0K0.6723.27N/AN/A217136
2017-12-05$4794.00$6000.0087.2%22.8%83.8%21.1%74.8%9.7%-0.7%3.0K3.9M-53.6K1.0723.24N/AN/A227136
2017-12-06$4878.00$7500.0078.0%22.9%81.3%15.7%78.0%9.5%1.4%-16.5K3.2M-53.1K0.7616.52N/AN/A227136
2017-12-07$4944.00$7500.0082.0%22.3%81.3%18.1%83.1%1.1%3.3%10.3K3.0M-54.3K0.7512.25N/AN/A227236
2017-12-08$4986.00$7500.0080.8%22.3%68.1%17.4%103.6%-9.4%8.5%15.4K2.2M-58.1K0.3136.38N/AN/A417236
2017-12-11$4980.00$6000.00101.9%23.5%50.3%29.8%85.2%5.3%4.7%7.6K2.7M-55.1K0.6329.32N/AN/A227336
2017-12-12$4980.00$6000.0090.4%22.4%44.6%23.0%93.1%7.5%8.1%-14.3K2.7M-53.2K1.3220.91N/AN/A237436
2017-12-13$5226.00$7500.0077.6%22.3%47.5%15.5%71.0%-8.6%4.3%-7.6K1.8M-59.3K0.9826.89N/AN/A337437
2017-12-14$5418.00$7500.0077.0%22.1%49.0%15.1%88.1%-3.0%5.3%-5.6K1.7M-61.4K0.5627.16N/AN/A327437
2017-12-15$5418.00$7500.0078.9%22.6%47.6%16.2%89.9%-6.1%7.2%12.1K1.3M-63.9K0.3716.19N/AN/A427437
2017-12-18$5508.00$7500.0072.0%20.6%46.3%12.2%72.9%3.9%9.4%-16.9K2.6M-58.0K0.4520.72N/AN/A426935
2017-12-19$5544.00$6000.0078.6%22.5%44.6%16.1%79.0%-1.2%-0.6%9.2K1.3M-64.2K0.2614.92N/AN/A617035
2017-12-20$5472.00$6000.0082.9%23.8%44.5%18.6%81.0%-8.4%3.7%21.7K1.6M-62.3K0.3229.00N/AN/A517335
2017-12-21$5670.00$6000.0078.1%22.4%45.6%15.8%77.5%5.4%1.0%31.9K977.6K-63.4K0.4415.76N/AN/A317435
2017-12-22$5298.00$6000.0081.0%23.2%50.3%17.5%81.5%-0.8%2.1%26.3K2.0M-60.5K0.6015.48N/AN/A327535
2017-12-26$5280.00$6000.0080.5%23.1%50.1%17.2%83.1%5.8%5.7%23.2K2.3M-58.1K0.5617.78N/AN/A317635
2017-12-27$14202.00$6000.00157.6%45.2%354.4%62.4%147.1%-1.6%-20.0%482.0K-78.5M-139.2K0.439.75N/AN/A63277636
2017-12-28$18948.00$9000.00155.1%44.5%360.9%61.0%149.6%14.0%-3.7%504.2K-124.8M-160.5K0.6410.28N/AN/A65427950
2017-12-29$11730.00$12000.00169.4%48.6%410.1%69.3%172.1%-3.3%-27.0%226.4K-27.8M-191.7K0.9018.62N/AN/A62568270