WATT Options History — May 2018 In May 2018, WATT traded between $10554.00 and $11364.00. ATM implied volatility averaged 63.1%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 12.6% (HV 20d: 50.5%). Max pain ranged from $10500.00 to $12000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.56.
Notable Days 2018-05-02 : Highest Volume — 27 contracts2018-05-02 : Largest IV drop — 24.8% change2018-05-01 : Highest IV Rank — 25.1%2018-05-01 : Largest Expected Move — 27.5%Monthly Statistics Metric Avg Min Max Open Close Price $10923.55 $10554.00 $11364.00 $10554.00 $11118.00 Max Pain $11931.82 $10500.00 $12000.00 $10500.00 $12000.00 ATM IV 63.1% 54.5% 95.8% 95.8% 61.5% Expected Move 18.1% 15.6% 27.5% 27.5% 17.6% HV 20d 50.5% 39.6% 71.1% 71.1% 39.7% HV 60d 73.2% 69.5% 75.4% 75.2% 69.6% IV Rank 5.6% 0.6% 25.1% 25.1% 4.7% IV Percentile 13.1% 0.4% 85.3% 85.3% 8.7% Term Structure 3.7% -10.3% 12.0% -10.3% -6.3% VWIV 64.0% 57.1% 94.7% 94.7% 63.2% Skew 25d 5.4% -3.6% 17.2% 11.2% 1.6% Skew 10d -0.1% -6.8% 4.7% 2.9% 3.4% Call IV 25d 62.1% 52.2% 89.9% 89.9% 63.3% Put IV 25d 67.5% 56.6% 101.0% 101.0% 64.9% Bid-Ask Spread % 25.29 10.42 46.09 16.40 25.91 Gamma HHI 0.24 0.17 0.33 0.17 0.32 Net GEX 675.4K 498.6K 901.3K 521.6K 785.0K Net DEX -19.4M -30.5M -11.5M -17.1M -28.0M Net VEX -277.2K -317.3K -251.6K -260.9K -316.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.16 0.85 0.76 0.60 Total Volume 10.773 7 27 8 8 Total OI 180.455 140 208 179 163
Daily Data (22 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 2018-05-01 $10554.00 $10500.00 95.8% 27.5% 71.1% 25.1% 94.7% 11.2% -10.3% 521.6K -17.1M -260.9K 0.76 16.40 N/A N/A 5 3 131 48 2018-05-02 $10836.00 $12000.00 72.0% 20.7% 70.7% 11.0% 70.6% 9.0% 9.9% 591.4K -16.7M -260.2K 0.28 17.31 N/A N/A 21 6 133 49 2018-05-03 $10740.00 $12000.00 64.8% 19.4% 68.6% 6.7% 68.1% 17.2% 11.7% 632.3K -13.7M -255.8K 0.46 46.09 N/A N/A 16 8 132 53 2018-05-04 $11142.00 $12000.00 66.6% 19.4% 69.4% 7.7% 64.8% 9.2% 3.5% 702.4K -19.8M -269.3K 0.85 26.63 N/A N/A 5 5 134 55 2018-05-07 $10680.00 $12000.00 68.6% 19.5% 68.8% 8.9% 68.9% 6.9% 4.7% 607.9K -12.1M -259.6K 0.62 32.37 N/A N/A 7 5 135 55 2018-05-08 $10806.00 $12000.00 68.5% 19.0% 61.0% 8.9% 69.0% 16.8% 10.9% 650.1K -14.0M -267.3K 0.55 27.04 N/A N/A 5 3 138 55 2018-05-09 $11094.00 $12000.00 65.3% 18.7% 57.9% 7.0% 61.6% 14.8% 12.0% 796.3K -18.8M -279.4K 0.52 28.33 N/A N/A 8 4 139 56 2018-05-10 $10806.00 $12000.00 60.0% 17.2% 56.1% 3.8% 62.4% 3.0% 5.2% 666.9K -11.5M -260.6K 0.50 36.16 N/A N/A 7 4 141 56 2018-05-11 $10980.00 $12000.00 60.1% 17.2% 56.3% 3.9% 60.6% -1.1% 2.2% 779.7K -17.1M -257.8K 0.57 24.15 N/A N/A 5 3 144 57 2018-05-14 $10686.00 $12000.00 60.8% 17.4% 40.2% 4.3% 63.2% 5.3% 6.7% 636.6K -12.2M -258.2K 0.74 24.29 N/A N/A 5 4 145 57 2018-05-15 $10770.00 $12000.00 61.7% 17.7% 40.5% 4.8% 61.5% 0.6% 3.2% 655.0K -12.5M -251.6K 0.59 25.42 N/A N/A 5 3 147 58 2018-05-16 $11130.00 $12000.00 55.5% 15.9% 42.6% 1.1% 59.7% -3.6% 8.2% 901.3K -19.7M -272.1K 0.43 27.72 N/A N/A 6 2 148 58 2018-05-17 $10794.00 $12000.00 56.3% 16.1% 40.8% 1.6% 57.7% 6.0% 10.2% 513.0K -14.0M -276.1K 0.71 23.84 N/A N/A 4 3 148 58 2018-05-18 $10680.00 $12000.00 55.5% 15.9% 39.7% 1.1% 60.3% 11.0% 11.8% 498.6K -14.2M -253.5K 0.74 22.06 N/A N/A 5 3 150 58 2018-05-21 $10782.00 $12000.00 54.5% 15.6% 39.6% 0.6% 57.1% 5.2% 1.9% 535.4K -21.2M -271.8K 0.40 25.35 N/A N/A 6 2 109 31 2018-05-22 $11316.00 $12000.00 63.6% 18.2% 43.2% 6.0% 63.6% -1.8% -3.8% 638.1K -27.3M -287.4K 0.16 25.20 N/A N/A 17 3 111 32 2018-05-23 $11364.00 $12000.00 61.1% 17.5% 40.5% 4.4% 60.0% -1.2% -0.4% 801.3K -30.5M -312.3K 0.35 24.76 N/A N/A 6 2 121 32 2018-05-24 $11052.00 $12000.00 59.4% 17.0% 41.7% 3.4% 61.7% -2.3% -1.4% 737.2K -29.0M -317.3K 0.38 19.48 N/A N/A 6 2 122 33 2018-05-25 $11142.00 $12000.00 57.9% 16.6% 41.3% 2.6% 59.5% -0.5% -3.1% 769.2K -27.6M -304.7K 0.48 20.00 N/A N/A 7 3 124 33 2018-05-29 $10944.00 $12000.00 59.6% 17.1% 40.9% 3.6% 63.4% -2.4% -2.6% 713.5K -26.0M -306.9K 0.82 27.50 N/A N/A 4 4 126 34 2018-05-30 $10902.00 $12000.00 58.4% 16.7% 40.2% 2.8% 57.1% 14.4% 6.5% 725.7K -24.8M -297.9K 0.76 10.42 N/A N/A 4 3 126 35 2018-05-31 $11118.00 $12000.00 61.5% 17.6% 39.7% 4.7% 63.2% 1.6% -6.3% 785.0K -28.0M -316.9K 0.60 25.91 N/A N/A 5 3 127 36
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