WATT Options History — September 2020

In September 2020, WATT traded between $1632.00 and $2208.00. ATM implied volatility averaged 148.6%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 42.7%. IV traded above realized volatility by 57.1% (HV 20d: 91.5%). Max pain ranged from $1800.00 to $2100.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2020-09-29: Highest Volume — 7 contracts
  • 2020-09-15: Largest IV spike — 14.8% change
  • 2020-09-15: Highest IV Rank — 37.3%
  • 2020-09-15: Largest Expected Move — 48.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1861.71$1632.00$2208.00$2208.00$1752.00
Max Pain$1857.14$1800.00$2100.00$2100.00$1800.00
ATM IV148.6%135.8%167.7%141.4%135.8%
Expected Move42.7%38.9%48.1%40.5%38.9%
HV 20d91.5%76.6%102.2%91.4%80.3%
HV 60d103.3%93.5%149.3%149.3%93.5%
IV Rank30.4%24.4%37.3%28.3%24.4%
IV Percentile50.2%36.1%66.3%46.8%36.1%
Term Structure2.1%-27.6%33.1%33.1%11.6%
VWIV150.7%139.8%163.1%162.7%145.1%
Skew 25d-3.4%-34.1%23.3%-34.1%-3.8%
Skew 10d40.1%-20.3%78.1%24.7%61.4%
Call IV 25d155.3%132.7%176.8%176.5%159.5%
Put IV 25d151.9%135.9%183.8%142.4%155.8%
Bid-Ask Spread %38.2822.4459.3259.3225.04
Gamma HHI0.170.130.310.130.16
Net GEX17.3K-2.7K27.7K27.7K23.1K
Net DEX-2.2M-3.6M-1.4M-3.6M-1.9M
Net VEX-17.5K-21.9K-14.2K-21.9K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.053.610.370.38
Total Volume1.6190714
Total OI67.76262736767

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$2208.00$2100.00141.4%40.5%91.4%28.3%162.7%-34.1%33.1%27.7K-3.6M-21.9K0.3759.32N/AN/A105116
2020-09-02$2136.00$2100.00140.5%40.3%92.5%28.0%149.8%-30.9%-0.8%25.5K-3.5M-21.9K0.0558.07N/AN/A305217
2020-09-03$1920.00$1800.00147.3%45.5%100.6%30.3%153.6%-6.2%-27.6%21.4K-2.8M-20.9K3.6153.59N/AN/A015317
2020-09-04$1866.00$2100.00152.2%44.2%100.9%32.0%153.7%6.4%-8.9%15.4K-2.1M-17.9K0.2434.19N/AN/A005118
2020-09-08$1848.00$2100.00162.0%43.8%100.8%35.4%163.1%7.0%-10.5%14.9K-1.9M-17.6K0.8740.94N/AN/A005118
2020-09-09$1896.00$1800.00159.6%45.8%100.8%34.5%162.8%13.7%-11.3%16.2K-2.4M-19.3K0.2935.28N/AN/A105218
2020-09-10$1866.00$1800.00152.8%43.8%100.9%32.2%153.4%-9.3%-0.7%14.3K-2.2M-18.9K0.7052.06N/AN/A105218
2020-09-11$1818.00$1800.00142.8%40.9%98.8%28.8%152.8%-10.9%8.1%11.1K-1.8M-17.5K1.3850.74N/AN/A005218
2020-09-14$1896.00$1800.00146.0%41.9%100.1%29.9%146.7%-10.4%5.0%19.9K-2.1M-17.1K0.4137.40N/AN/A115218
2020-09-15$2004.00$1800.00167.7%48.1%102.2%37.3%157.8%-16.2%-13.1%17.1K-3.1M-20.5K0.0846.26N/AN/A305318
2020-09-16$1842.00$1800.00157.1%45.0%85.9%33.7%155.5%-0.0%9.8%-2.7K-2.2M-17.1K0.3249.69N/AN/A105418
2020-09-17$1824.00$1800.00144.9%41.6%85.9%29.5%150.4%-8.8%13.3%4.0K-1.8M-16.9K1.9930.91N/AN/A015419
2020-09-18$1938.00$1800.00146.1%41.9%89.2%29.9%145.4%4.6%-6.4%20.8K-2.4M-17.4K0.4136.13N/AN/A215418
2020-09-21$1818.00$1800.00140.1%40.2%91.4%27.9%140.7%-11.2%15.2%19.8K-2.0M-15.9K0.8730.02N/AN/A114814
2020-09-22$1800.00$1800.00143.7%41.2%89.8%29.1%139.8%15.7%0.7%20.3K-1.9M-15.6K0.5030.04N/AN/A104814
2020-09-23$1632.00$1800.00141.5%40.6%94.2%27.2%150.9%2.9%2.2%16.8K-1.4M-14.3K0.2428.60N/AN/A104814
2020-09-24$1650.00$1800.00148.8%42.7%79.9%29.7%145.1%2.9%14.3%17.0K-1.5M-14.8K0.6223.25N/AN/A004915
2020-09-25$1734.00$1800.00144.9%41.5%76.6%28.3%143.0%23.3%-4.5%17.7K-1.5M-14.2K0.4732.59N/AN/A104915
2020-09-28$1812.00$1800.00150.7%43.2%79.0%30.3%149.9%-0.8%16.1%21.2K-1.9M-15.3K0.1127.35N/AN/A105015
2020-09-29$1836.00$1800.00154.2%44.2%79.4%31.6%142.6%-5.9%-1.9%22.5K-2.2M-16.3K0.0622.44N/AN/A705015
2020-09-30$1752.00$1800.00135.8%38.9%80.3%24.4%145.1%-3.8%11.6%23.1K-1.9M-15.6K0.3825.04N/AN/A315215