WATT Options History — January 2018

In January 2018, WATT traded between $9492.00 and $14520.00. ATM implied volatility averaged 110.7%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 31.1%. IV traded below realized volatility by 258.3% (HV 20d: 368.9%). Max pain ranged from $12000.00 to $15000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2018-01-02: Highest Volume — 68 contracts
  • 2018-01-22: Largest IV drop — 13.0% change
  • 2018-01-03: Highest IV Rank — 54.7%
  • 2018-01-03: Largest Expected Move — 41.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11931.14$9492.00$14520.00$13308.00$11142.00
Max Pain$13357.14$12000.00$15000.00$12000.00$12000.00
ATM IV110.7%84.4%144.4%140.5%92.5%
Expected Move31.1%24.2%41.4%40.3%26.5%
HV 20d368.9%107.8%424.6%410.5%107.8%
HV 60d247.6%245.2%249.7%245.2%249.5%
IV Rank34.9%19.5%54.7%52.4%24.2%
IV Percentile90.2%75.0%98.0%98.0%84.9%
Term Structure-4.6%-19.1%17.8%-12.0%8.5%
VWIV110.4%90.8%146.1%146.1%97.4%
Skew 25d-0.6%-6.3%4.9%-2.7%-3.9%
Skew 10d-3.9%-14.4%5.0%-1.1%1.7%
Call IV 25d111.1%91.1%148.7%148.7%100.2%
Put IV 25d110.5%89.6%145.9%145.9%96.3%
Bid-Ask Spread %20.0310.9530.6714.5720.85
Gamma HHI0.190.120.270.180.19
Net GEX302.5K95.8K554.6K388.5K365.1K
Net DEX-23.0M-57.8M4.2M-45.4M-19.9M
Net VEX-251.1K-298.2K-202.8K-227.0K-267.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.281.060.660.39
Total Volume23.6678686821
Total OI188.571127247173153

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$13308.00$12000.00140.5%40.3%410.5%52.4%146.1%-2.7%-12.0%388.5K-45.4M-227.0K0.6614.57N/AN/A41279776
2018-01-03$14016.00$12000.00144.4%41.4%409.2%54.7%141.7%2.9%-17.2%449.5K-51.4M-261.2K0.6316.28N/AN/A191210685
2018-01-04$13086.00$12000.00138.7%35.9%411.3%51.3%122.9%4.7%-19.1%416.2K-39.5M-268.2K0.8322.06N/AN/A161311087
2018-01-05$13194.00$13500.00133.9%34.6%411.4%48.5%120.8%4.9%-11.1%409.6K-39.4M-275.8K1.0124.21N/AN/A111111592
2018-01-08$14052.00$13500.00138.4%36.1%411.2%51.2%125.3%0.2%-16.1%487.7K-52.5M-284.9K0.6125.68N/AN/A241511694
2018-01-09$13488.00$15000.00125.5%34.0%412.3%43.6%118.9%-0.1%-14.3%421.8K-40.8M-284.1K0.8127.81N/AN/A121011998
2018-01-10$14520.00$15000.00117.5%33.7%411.9%38.9%118.0%0.4%-14.4%554.6K-57.8M-297.6K0.3121.91N/AN/A22711999
2018-01-11$13782.00$15000.00115.0%33.0%413.2%37.4%117.9%3.1%-7.4%428.6K-42.9M-298.2K0.4616.61N/AN/A115126100
2018-01-12$12042.00$15000.00107.8%30.9%418.5%33.2%110.7%0.4%-8.5%252.5K-15.0M-257.4K0.8515.81N/AN/A1917128100
2018-01-16$10986.00$15000.00114.3%32.8%421.2%37.0%116.5%2.9%-14.2%105.4K1.6M-232.0K0.8318.50N/AN/A1512131104
2018-01-17$10860.00$15000.00116.0%33.3%421.3%38.0%115.9%-3.5%-15.9%148.1K2.6M-230.3K0.4420.62N/AN/A177135105
2018-01-18$10800.00$13500.00108.2%31.0%421.5%33.4%108.8%-3.7%-6.3%231.3K4.2M-225.6K0.5330.67N/AN/A148138106
2018-01-19$10824.00$13500.0099.4%28.5%421.5%28.3%104.3%2.1%1.3%157.9K924.8K-228.8K1.0624.52N/AN/A66140107
2018-01-22$10140.00$13500.0086.5%24.8%422.7%20.7%92.5%-2.9%7.9%119.6K-5.5M-211.8K0.8617.45N/AN/A657948
2018-01-23$9492.00$13500.0084.4%24.2%424.1%19.5%91.3%-1.5%17.8%95.8K-1.5M-202.8K0.8710.95N/AN/A658150
2018-01-24$10902.00$13500.0094.8%27.2%424.4%25.6%96.1%-4.2%-1.2%185.4K-12.7M-235.3K0.2815.41N/AN/A1958351
2018-01-25$10680.00$12000.0090.5%25.9%424.6%23.0%93.1%-1.0%10.1%248.0K-13.7M-240.7K0.8022.97N/AN/A659152
2018-01-26$10572.00$12000.0089.4%25.6%230.6%22.4%93.2%-4.2%7.3%238.9K-12.3M-239.9K0.5316.18N/AN/A539253
2018-01-29$10812.00$12000.0090.1%25.8%201.8%22.9%90.8%-0.6%7.6%267.6K-14.1M-239.7K0.5520.94N/AN/A849353
2018-01-30$11856.00$12000.0096.0%27.5%115.9%26.3%95.6%-6.3%-0.1%380.7K-27.0M-264.6K0.3016.58N/AN/A1759454
2018-01-31$11142.00$12000.0092.5%26.5%107.8%24.2%97.4%-3.9%8.5%365.1K-19.9M-267.3K0.3920.85N/AN/A1569855