WATT Options History — March 2018

In March 2018, WATT traded between $9150.00 and $13404.00. ATM implied volatility averaged 69.4%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 3.3% (HV 20d: 66.1%). Max pain ranged from $10500.00 to $12000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2018-03-20: Highest Volume — 14 contracts
  • 2018-03-28: Largest IV spike — 9.8% change
  • 2018-03-07: Highest IV Rank — 13.8%
  • 2018-03-28: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11650.57$9150.00$13404.00$12570.00$9630.00
Max Pain$11928.57$10500.00$12000.00$12000.00$10500.00
ATM IV69.4%63.2%74.8%70.2%67.8%
Expected Move19.7%18.1%20.9%20.1%19.4%
HV 20d66.1%57.5%82.5%64.0%82.5%
HV 60d222.0%86.2%249.6%246.8%86.2%
IV Rank10.7%7.0%13.8%11.1%9.7%
IV Percentile33.4%16.3%48.0%36.1%28.2%
Term Structure4.0%-1.6%7.1%-0.1%1.6%
VWIV69.1%60.2%74.7%72.2%70.5%
Skew 25d-0.3%-4.7%7.3%4.0%-3.8%
Skew 10d3.2%-21.3%28.8%-0.3%-5.6%
Call IV 25d70.8%65.8%76.9%75.4%72.3%
Put IV 25d70.5%65.4%79.5%79.5%68.5%
Bid-Ask Spread %34.0417.2253.7317.2229.93
Gamma HHI0.190.140.260.220.14
Net GEX791.1K232.7K1.3M983.9K333.4K
Net DEX-37.0M-61.9M-6.9M-47.4M-12.5M
Net VEX-303.8K-341.7K-230.7K-324.1K-263.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.280.890.550.49
Total Volume8.81614126
Total OI158.476142172152162

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$12570.00$12000.0070.2%20.1%64.0%11.1%72.2%4.0%-0.1%983.9K-47.4M-324.1K0.5517.22N/AN/A8411438
2018-03-02$13404.00$12000.0072.9%20.9%66.7%12.7%71.3%-4.7%2.0%1.2M-61.9M-338.1K0.4228.02N/AN/A8311638
2018-03-05$13404.00$12000.0071.5%20.1%61.5%11.9%71.1%2.5%3.4%1.3M-61.7M-336.7K0.3245.71N/AN/A8211739
2018-03-06$13122.00$12000.0070.1%20.9%61.9%11.1%70.2%-2.4%-1.6%1.2M-57.3M-332.1K0.4731.32N/AN/A4211940
2018-03-07$12798.00$12000.0074.8%20.1%60.0%13.8%70.1%0.9%6.3%1.1M-51.7M-335.7K0.8922.66N/AN/A3311940
2018-03-08$13032.00$12000.0074.0%19.2%57.6%13.4%66.4%-1.0%4.9%1.2M-56.2M-333.2K0.3441.41N/AN/A7212041
2018-03-09$13164.00$12000.0069.6%19.1%57.5%10.8%67.4%-0.6%6.7%1.3M-58.4M-341.7K0.2853.73N/AN/A7212241
2018-03-12$13068.00$12000.0071.7%19.8%57.7%12.0%71.5%-1.2%4.5%1.3M-56.9M-333.5K0.3333.07N/AN/A5212341
2018-03-13$12852.00$12000.0069.5%20.0%57.6%10.7%70.7%0.4%2.5%1.3M-52.3M-323.9K0.4241.17N/AN/A5212542
2018-03-14$12504.00$12000.0066.8%19.1%58.5%9.1%67.2%-3.0%6.3%659.3K-46.7M-319.0K0.4142.47N/AN/A5212642
2018-03-15$12096.00$12000.0064.6%18.5%59.1%7.9%60.2%-2.8%2.5%916.8K-38.4M-325.3K0.4046.58N/AN/A8312743
2018-03-16$12018.00$12000.0063.2%18.1%59.1%7.0%60.5%-0.4%4.1%651.4K-39.8M-313.4K0.6044.76N/AN/A6412943
2018-03-19$11922.00$12000.0064.2%18.4%58.7%7.6%65.1%1.0%5.3%641.7K-35.6M-318.4K0.8932.69N/AN/A4410735
2018-03-20$10512.00$12000.0068.1%19.5%73.7%9.9%68.4%-2.8%5.8%401.6K-19.0M-263.2K0.5342.85N/AN/A9510836
2018-03-21$10572.00$12000.0066.6%19.1%73.7%9.0%68.4%-2.0%6.8%445.7K-19.8M-283.5K0.5023.12N/AN/A7311238
2018-03-22$9858.00$12000.0070.6%20.2%77.1%11.4%71.4%5.2%2.9%344.5K-12.8M-259.0K0.4721.87N/AN/A6311439
2018-03-23$9150.00$12000.0070.9%20.3%63.0%11.6%72.6%2.2%4.7%232.7K-6.9M-230.7K0.4633.12N/AN/A7311539
2018-03-26$10218.00$12000.0071.2%20.4%78.0%11.7%71.5%-4.3%4.1%418.2K-18.5M-282.2K0.4933.40N/AN/A6311740
2018-03-27$9600.00$12000.0066.5%19.1%79.8%9.0%68.8%7.3%7.1%336.7K-14.2M-275.5K0.4622.80N/AN/A5212040
2018-03-28$9168.00$12000.0073.0%20.9%80.0%12.8%74.7%-1.7%3.4%266.0K-10.0M-246.8K0.5126.98N/AN/A5212140
2018-03-29$9630.00$10500.0067.8%19.4%82.5%9.7%70.5%-3.8%1.6%333.4K-12.5M-263.0K0.4929.93N/AN/A4212240