WATT Options History — February 2018 In February 2018, WATT traded between $10662.00 and $13506.00. ATM implied volatility averaged 85.9%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 24.9%. IV traded below realized volatility by 1.3% (HV 20d: 87.2%). Max pain ranged from $10500.00 to $12000.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.50.
Notable Days 2018-02-23 : Highest Volume — 28 contracts2018-02-23 : Largest IV spike — 19.0% change2018-02-13 : Highest IV Rank — 28.8%2018-02-13 : Largest Expected Move — 28.8%Monthly Statistics Metric Avg Min Max Open Close Price $11905.26 $10662.00 $13506.00 $11508.00 $13218.00 Max Pain $11131.58 $10500.00 $12000.00 $10500.00 $12000.00 ATM IV 85.9% 62.9% 100.3% 94.8% 71.2% Expected Move 24.9% 18.0% 28.8% 28.2% 20.4% HV 20d 87.2% 59.3% 106.6% 106.6% 65.5% HV 60d 247.2% 246.1% 249.2% 249.0% 246.5% IV Rank 20.4% 6.9% 28.8% 25.6% 11.8% IV Percentile 67.1% 15.5% 89.3% 86.9% 37.3% Term Structure -3.8% -12.6% 4.9% -7.5% -0.7% VWIV 86.9% 63.4% 101.0% 97.8% 71.4% Skew 25d -0.5% -8.9% 6.0% 0.1% -2.6% Skew 10d -1.7% -16.4% 9.6% 3.7% -13.5% Call IV 25d 87.9% 63.1% 102.3% 100.3% 75.7% Put IV 25d 87.4% 64.1% 104.4% 100.3% 73.1% Bid-Ask Spread % 34.27 17.82 50.99 30.48 23.00 Gamma HHI 0.21 0.17 0.28 0.20 0.21 Net GEX 635.3K 365.6K 1.1M 463.8K 1.1M Net DEX -33.0M -57.2M -16.3M -25.2M -56.9M Net VEX -280.9K -325.9K -258.2K -281.1K -321.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.18 1.05 0.53 0.41 Total Volume 12.526 6 28 9 10 Total OI 155.526 120 184 159 148
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2018-02-01 $11508.00 $10500.00 94.8% 28.2% 106.6% 25.6% 97.8% 0.1% -7.5% 463.8K -25.2M -281.1K 0.53 30.48 N/A N/A 6 3 104 55 2018-02-02 $10818.00 $10500.00 90.2% 28.2% 106.1% 22.9% 99.7% 6.0% -3.3% 382.1K -17.3M -265.5K 0.70 34.57 N/A N/A 5 3 107 55 2018-02-05 $10662.00 $10500.00 92.9% 27.1% 105.9% 24.5% 98.3% 3.4% -7.0% 365.6K -16.3M -262.2K 0.64 29.93 N/A N/A 5 3 107 55 2018-02-06 $11346.00 $10500.00 91.9% 28.3% 105.9% 23.9% 97.3% -4.2% -6.4% 495.5K -24.0M -271.4K 0.77 31.73 N/A N/A 5 4 108 55 2018-02-07 $10902.00 $10500.00 96.4% 27.6% 105.8% 26.5% 98.9% -3.8% -5.8% 423.9K -17.6M -258.2K 0.38 33.13 N/A N/A 11 4 109 56 2018-02-08 $10974.00 $10500.00 97.2% 27.9% 101.3% 27.0% 99.9% -0.9% -3.4% 464.4K -20.2M -266.3K 1.05 50.99 N/A N/A 3 4 111 56 2018-02-09 $11196.00 $10500.00 99.7% 28.6% 100.9% 28.5% 101.0% -2.4% -7.0% 514.8K -22.3M -270.9K 0.67 47.12 N/A N/A 4 3 111 56 2018-02-12 $11550.00 $10500.00 98.3% 28.2% 90.4% 27.6% 98.1% 0.5% -4.2% 600.0K -26.9M -270.8K 0.54 36.88 N/A N/A 5 3 112 56 2018-02-13 $11772.00 $10500.00 100.3% 28.8% 84.2% 28.8% 97.9% 3.9% -8.4% 686.6K -31.0M -271.6K 0.42 38.40 N/A N/A 9 4 113 56 2018-02-14 $12090.00 $10500.00 98.3% 28.2% 84.4% 27.6% 97.2% 2.2% -12.6% 775.9K -36.0M -270.9K 0.28 32.99 N/A N/A 17 5 116 57 2018-02-15 $12204.00 $10500.00 91.6% 26.3% 84.3% 23.7% 92.5% -1.5% -4.8% 877.6K -38.0M -278.4K 0.41 39.81 N/A N/A 14 6 122 58 2018-02-16 $11952.00 $12000.00 74.6% 21.4% 84.8% 13.7% 75.3% 4.4% 4.9% 455.3K -24.3M -273.2K 0.40 26.24 N/A N/A 15 6 124 60 2018-02-20 $11940.00 $12000.00 74.6% 21.4% 80.7% 13.8% 73.4% 1.5% -0.0% 493.8K -33.5M -267.1K 0.31 26.03 N/A N/A 8 3 87 33 2018-02-21 $12000.00 $12000.00 70.9% 20.3% 75.9% 11.5% 69.4% -3.1% -0.6% 562.3K -35.7M -280.1K 0.51 34.85 N/A N/A 4 2 92 34 2018-02-22 $11964.00 $12000.00 62.9% 18.0% 59.3% 6.9% 63.4% 1.0% 2.0% 596.8K -33.9M -279.6K 0.65 32.71 N/A N/A 4 2 93 34 2018-02-23 $13506.00 $12000.00 74.9% 21.5% 71.4% 13.9% 70.0% 1.6% -1.3% 816.4K -55.4M -308.3K 0.26 17.82 N/A N/A 22 6 95 35 2018-02-26 $13476.00 $12000.00 77.1% 22.1% 71.2% 15.2% 77.1% -6.7% -3.3% 980.1K -57.2M -313.6K 0.18 45.55 N/A N/A 17 3 103 36 2018-02-27 $13122.00 $12000.00 74.6% 21.4% 72.4% 13.7% 72.7% -8.9% -3.1% 1.0M -54.6M -325.9K 0.43 38.99 N/A N/A 7 3 109 37 2018-02-28 $13218.00 $12000.00 71.2% 20.4% 65.5% 11.8% 71.4% -2.6% -0.7% 1.1M -56.9M -321.7K 0.41 23.00 N/A N/A 7 3 111 37
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