WATT Options History — September 2018

In September 2018, WATT traded between $5898.00 and $7404.00. ATM implied volatility averaged 72.7%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 20.9% (HV 20d: 51.8%). Max pain ranged from $7500.00 to $7500.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.68.

Notable Days

2018-09-06: Highest Volume — 8 contracts
2018-09-17: Largest IV spike — 19.6% change
2018-09-18: Highest IV Rank — 24.1%
2018-09-18: Largest Expected Move — 23.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6525.16	$5898.00	$7404.00	$7404.00	$6000.00
Max Pain	$7500.00	$7500.00	$7500.00	$7500.00	$7500.00
ATM IV	72.7%	61.1%	82.2%	62.4%	78.4%
Expected Move	20.8%	17.5%	23.6%	17.9%	22.5%
HV 20d	51.8%	40.7%	62.7%	48.6%	62.3%
HV 60d	57.8%	53.5%	60.2%	53.8%	59.8%
IV Rank	14.6%	3.9%	24.1%	4.7%	20.8%
IV Percentile	40.5%	11.5%	68.3%	15.1%	55.6%
Term Structure	5.2%	-0.6%	15.6%	0.8%	0.2%
VWIV	74.7%	63.7%	86.0%	63.7%	66.3%
Skew 25d	-1.3%	-18.9%	9.8%	-18.9%	-15.6%
Skew 10d	-0.7%	-34.2%	23.9%	-30.4%	-34.2%
Call IV 25d	77.9%	68.8%	86.7%	71.0%	80.7%
Put IV 25d	76.6%	52.0%	93.0%	52.0%	65.1%
Bid-Ask Spread %	28.50	11.44	71.70	11.44	15.77
Gamma HHI	0.12	0.10	0.13	0.13	0.10
Net GEX	162.3K	71.1K	276.4K	272.1K	132.5K
Net DEX	-3.7M	-7.6M	-264.0K	-7.5M	-2.8M
Net VEX	-174.1K	-204.6K	-148.7K	-204.6K	-157.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.38	1.10	1.02	0.38
Total Volume	5.895	4	8	4	7
Total OI	174.737	168	185	170	173

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
2018-09-04	$7404.00	$7500.00	62.4%	17.9%	48.6%	4.7%	63.7%	-18.9%	0.8%	272.1K	-7.5M	-204.6K	1.02	11.44	N/A	N/A	2	2	133	37
2018-09-05	$7374.00	$7500.00	61.1%	17.5%	48.4%	3.9%	63.9%	-7.8%	2.0%	276.4K	-7.6M	-203.0K	0.40	27.16	N/A	N/A	5	2	133	37
2018-09-06	$6774.00	$7500.00	68.8%	21.7%	47.8%	8.5%	71.4%	-9.1%	2.9%	186.9K	-4.3M	-185.1K	0.70	61.50	N/A	N/A	5	3	134	38
2018-09-07	$6930.00	$7500.00	71.1%	20.3%	40.7%	9.9%	71.2%	-0.8%	5.1%	226.6K	-5.9M	-191.4K	0.80	19.97	N/A	N/A	2	2	136	38
2018-09-10	$6834.00	$7500.00	73.7%	20.3%	40.7%	11.5%	72.9%	-3.0%	5.2%	198.4K	-4.3M	-181.9K	0.96	24.23	N/A	N/A	2	2	136	38
2018-09-11	$6948.00	$7500.00	74.9%	20.0%	41.0%	12.2%	70.6%	-3.6%	4.2%	212.0K	-5.4M	-189.6K	0.70	14.96	N/A	N/A	2	2	136	38
2018-09-12	$6774.00	$7500.00	69.2%	19.8%	41.1%	12.8%	71.2%	1.9%	7.8%	189.7K	-2.6M	-166.4K	0.89	27.19	N/A	N/A	3	3	136	38
2018-09-13	$6510.00	$7500.00	69.4%	19.9%	42.5%	12.9%	71.2%	0.5%	4.2%	139.4K	-2.5M	-172.3K	0.89	38.23	N/A	N/A	3	3	137	39
2018-09-14	$6342.00	$7500.00	67.3%	19.3%	42.6%	11.1%	71.0%	0.7%	9.1%	99.7K	-817.7K	-160.3K	0.71	18.79	N/A	N/A	4	3	138	39
2018-09-17	$5988.00	$7500.00	80.5%	23.1%	45.8%	22.6%	81.2%	-4.7%	1.0%	71.1K	-264.0K	-153.9K	0.92	23.03	N/A	N/A	4	4	139	39
2018-09-18	$6534.00	$7500.00	82.2%	23.6%	57.8%	24.1%	82.2%	7.3%	9.6%	165.6K	-5.1M	-187.0K	0.63	43.33	N/A	N/A	4	3	140	40
2018-09-19	$6348.00	$7500.00	77.9%	22.3%	58.3%	20.3%	80.2%	3.8%	-0.6%	115.1K	-3.8M	-178.5K	0.48	71.70	N/A	N/A	3	2	141	41
2018-09-20	$6606.00	$7500.00	74.0%	21.2%	60.7%	16.9%	76.4%	5.9%	9.3%	154.6K	-4.9M	-180.9K	1.10	32.93	N/A	N/A	3	3	142	41
2018-09-21	$6312.00	$7500.00	73.7%	21.1%	60.9%	16.6%	79.1%	4.6%	-0.2%	136.9K	-3.0M	-171.6K	0.81	28.42	N/A	N/A	4	3	142	43
2018-09-24	$6186.00	$7500.00	74.9%	21.5%	60.6%	17.7%	80.1%	9.8%	10.7%	140.9K	-3.2M	-166.0K	0.39	21.55	N/A	N/A	3	1	131	37
2018-09-25	$6090.00	$7500.00	67.9%	19.5%	60.4%	11.6%	81.8%	1.7%	15.6%	118.8K	-2.3M	-155.0K	0.39	24.48	N/A	N/A	4	1	132	37
2018-09-26	$5898.00	$7500.00	76.1%	21.8%	60.6%	18.8%	78.2%	4.4%	6.8%	115.7K	-1.4M	-148.7K	0.42	15.80	N/A	N/A	4	2	132	37
2018-09-27	$6126.00	$7500.00	76.9%	22.0%	62.7%	19.5%	86.0%	-1.2%	5.4%	132.2K	-2.5M	-154.3K	0.38	21.04	N/A	N/A	5	2	135	37
2018-09-28	$6000.00	$7500.00	78.4%	22.5%	62.3%	20.8%	66.3%	-15.6%	0.2%	132.5K	-2.8M	-157.5K	0.38	15.77	N/A	N/A	5	2	135	38