WATT Options History — August 2018 In August 2018, WATT traded between $7446.00 and $8610.00. ATM implied volatility averaged 64.3%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded below realized volatility by 5.4% (HV 20d: 69.7%). Max pain ranged from $7500.00 to $10500.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.90.
Notable Days 2018-08-13 : Highest Volume — 19 contracts2018-08-13 : Largest IV spike — 37.5% change2018-08-01 : Highest IV Rank — 18.0%2018-08-01 : Largest Expected Move — 24.2%Monthly Statistics Metric Avg Min Max Open Close Price $7832.35 $7446.00 $8610.00 $8142.00 $7632.00 Max Pain $8347.83 $7500.00 $10500.00 $10500.00 $7500.00 ATM IV 64.3% 56.4% 84.5% 84.5% 58.8% Expected Move 17.9% 16.2% 24.2% 24.2% 16.9% HV 20d 69.7% 47.8% 78.3% 47.8% 50.8% HV 60d 52.8% 42.4% 55.5% 42.4% 54.0% IV Rank 5.8% 1.1% 18.0% 18.0% 2.5% IV Percentile 15.9% 2.0% 67.5% 67.5% 4.8% Term Structure 2.1% -10.4% 11.8% -10.4% -1.1% VWIV 65.1% 56.4% 91.0% 91.0% 61.1% Skew 25d 1.4% -14.7% 43.0% -2.3% -14.7% Skew 10d 0.2% -17.6% 73.0% 2.7% -17.6% Call IV 25d 66.7% 59.3% 95.5% 95.5% 63.9% Put IV 25d 68.1% 49.3% 106.8% 93.3% 49.3% Bid-Ask Spread % 22.13 10.32 38.16 22.73 15.12 Gamma HHI 0.15 0.11 0.20 0.11 0.15 Net GEX 264.0K 53.7K 367.3K 261.0K 314.2K Net DEX -7.8M -13.1M -1.6M -8.7M -9.3M Net VEX -222.8K -252.5K -208.9K -245.6K -211.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.27 1.74 0.63 0.99 Total Volume 9.13 5 19 8 6 Total OI 185.348 159 207 190 169
Daily Data (23 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 2018-08-01 $8142.00 $10500.00 84.5% 24.2% 47.8% 18.0% 91.0% -2.3% -10.4% 261.0K -8.7M -245.6K 0.63 22.73 N/A N/A 5 3 145 45 2018-08-02 $7458.00 $9000.00 67.8% 19.4% 56.0% 7.9% 70.6% 5.3% -3.7% 121.3K -1.8M -215.5K 0.61 14.14 N/A N/A 11 7 146 47 2018-08-03 $8262.00 $9000.00 62.0% 17.8% 68.4% 4.5% 66.6% -2.5% -6.2% 293.2K -6.9M -220.3K 0.65 10.75 N/A N/A 8 5 149 49 2018-08-06 $8610.00 $7500.00 66.3% 18.6% 70.2% 7.0% 65.0% 0.7% 2.1% 367.3K -13.1M -252.5K 0.86 25.26 N/A N/A 6 5 150 49 2018-08-07 $8430.00 $9000.00 65.8% 18.2% 69.2% 6.7% 64.3% -1.3% 4.6% 351.4K -11.3M -251.7K 0.73 23.69 N/A N/A 6 4 149 50 2018-08-08 $7722.00 $9000.00 73.3% 18.1% 75.3% 11.2% 66.9% -2.0% 0.8% 193.3K -5.5M -234.1K 1.03 30.24 N/A N/A 5 5 151 50 2018-08-09 $8262.00 $9000.00 61.6% 18.4% 78.3% 4.2% 62.6% -0.9% 3.3% 322.1K -9.6M -243.0K 1.74 27.14 N/A N/A 3 5 153 50 2018-08-10 $8184.00 $9000.00 59.0% 17.4% 78.0% 2.7% 63.5% -0.5% 6.2% 308.1K -8.4M -240.9K 0.84 28.60 N/A N/A 6 5 153 51 2018-08-13 $7956.00 $9000.00 81.2% 18.4% 77.3% 15.9% 67.9% -3.3% 3.8% 243.4K -4.8M -213.7K 0.27 33.87 N/A N/A 15 4 151 52 2018-08-14 $7776.00 $9000.00 78.8% 17.8% 76.6% 14.5% 65.4% 6.6% 11.8% 171.8K -4.0M -217.8K 1.40 29.82 N/A N/A 4 5 153 52 2018-08-15 $7614.00 $9000.00 65.5% 18.8% 76.7% 6.6% 70.1% -1.0% 5.2% 53.7K -1.6M -212.0K 0.79 26.33 N/A N/A 5 4 153 53 2018-08-16 $7662.00 $9000.00 63.1% 18.1% 76.8% 5.1% 69.5% -1.4% 8.5% 247.2K -4.2M -216.8K 0.66 23.90 N/A N/A 5 3 153 52 2018-08-17 $7632.00 $9000.00 61.0% 17.5% 74.6% 3.9% 64.7% -1.1% 6.1% 245.8K -4.7M -214.7K 0.60 24.01 N/A N/A 6 4 155 52 2018-08-20 $7614.00 $7500.00 57.0% 16.3% 73.2% 1.5% 59.2% 2.1% 4.4% 249.3K -8.9M -213.5K 0.93 15.44 N/A N/A 3 3 124 35 2018-08-21 $7536.00 $7500.00 61.9% 17.7% 72.7% 4.4% 62.0% 3.4% -4.3% 261.9K -8.5M -212.4K 0.70 21.48 N/A N/A 4 3 126 35 2018-08-22 $7542.00 $7500.00 56.4% 16.2% 70.2% 1.1% 56.9% -1.4% 3.7% 260.5K -8.1M -208.9K 1.07 19.40 N/A N/A 3 3 127 35 2018-08-23 $7746.00 $7500.00 59.8% 17.1% 71.2% 3.2% 63.6% -1.3% 2.5% 284.0K -9.7M -214.2K 0.95 23.31 N/A N/A 4 4 127 35 2018-08-24 $7812.00 $7500.00 57.8% 16.6% 69.3% 1.9% 56.4% 7.4% 1.4% 305.1K -10.2M -218.9K 1.01 18.48 N/A N/A 3 4 129 36 2018-08-27 $7812.00 $7500.00 59.6% 17.1% 69.3% 3.0% 60.8% 0.5% 3.6% 325.6K -11.4M -223.7K 0.72 12.36 N/A N/A 5 3 130 36 2018-08-28 $7602.00 $7500.00 59.2% 17.0% 69.1% 2.8% 61.0% 1.0% 0.5% 299.7K -9.7M -217.1K 1.35 38.16 N/A N/A 3 4 131 37 2018-08-29 $7692.00 $7500.00 59.6% 17.1% 69.2% 3.0% 62.4% 43.0% 3.5% 312.5K -9.4M -213.4K 1.37 10.32 N/A N/A 2 3 132 37 2018-08-30 $7446.00 $7500.00 59.0% 16.9% 62.7% 2.7% 65.0% -4.9% 2.5% 278.4K -9.0M -211.9K 0.90 14.54 N/A N/A 3 3 132 37 2018-08-31 $7632.00 $7500.00 58.8% 16.9% 50.8% 2.5% 61.1% -14.7% -1.1% 314.2K -9.3M -211.9K 0.99 15.12 N/A N/A 3 3 132 37
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