WATT Options History — November 2020

In November 2020, WATT traded between $1170.00 and $1416.00. ATM implied volatility averaged 144.4%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 40.8%. IV traded above realized volatility by 62.4% (HV 20d: 82.0%). Max pain ranged from $1200.00 to $1500.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2020-11-24: Highest Volume — 21 contracts
  • 2020-11-23: Largest IV spike — 37.5% change
  • 2020-11-23: Highest IV Rank — 33.7%
  • 2020-11-23: Largest Expected Move — 49.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1270.20$1170.00$1416.00$1416.00$1170.00
Max Pain$1410.00$1200.00$1500.00$1500.00$1200.00
ATM IV144.4%122.5%172.7%154.1%149.8%
Expected Move40.8%35.1%49.5%44.2%43.0%
HV 20d82.0%52.9%110.3%52.9%101.8%
HV 60d77.1%68.1%83.7%76.8%77.0%
IV Rank23.7%15.1%33.7%28.4%25.2%
IV Percentile38.6%14.7%69.0%53.2%46.0%
Term Structure-2.3%-42.4%35.8%-14.8%15.1%
VWIV144.2%122.8%171.7%165.1%150.8%
Skew 25d-2.3%-43.8%24.1%19.6%2.5%
Skew 10d21.1%-68.2%86.7%86.7%-13.2%
Call IV 25d144.1%106.1%189.3%161.2%145.3%
Put IV 25d141.8%105.9%180.8%180.8%147.8%
Bid-Ask Spread %32.8514.3257.4622.6717.00
Gamma HHI0.220.160.380.160.30
Net GEX9.9K-3.0K28.4K10.4K25.4K
Net DEX-147.5K-1.5M599.0K-376.0K-899.8K
Net VEX-7.9K-10.9K-5.8K-9.4K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.041.420.280.12
Total Volume3.602107
Total OI72.959857085

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$1416.00$1500.00154.1%44.2%52.9%28.4%165.1%19.6%-14.8%10.4K-376.0K-9.4K0.2822.67N/AN/A005218
2020-11-03$1410.00$1500.00159.4%45.7%52.9%30.3%154.2%13.6%-6.3%10.1K-400.7K-9.4K0.2224.06N/AN/A005218
2020-11-04$1290.00$1500.00163.7%46.9%59.4%31.9%164.2%-21.6%-9.8%7.4K-68.3K-8.2K0.2614.32N/AN/A105218
2020-11-05$1338.00$1500.00160.0%39.7%61.1%30.6%137.0%10.2%2.2%8.0K-122.2K-8.2K1.4248.43N/AN/A005318
2020-11-06$1284.00$1500.00136.5%41.6%61.8%22.0%139.5%22.3%-11.9%6.1K39.7K-8.0K0.2930.52N/AN/A005318
2020-11-09$1416.00$1500.00160.0%43.1%73.2%30.6%132.3%-9.5%-17.2%8.2K-323.0K-8.7K0.4137.65N/AN/A105318
2020-11-10$1272.00$1500.00153.8%38.3%80.9%28.3%126.7%-21.0%-24.2%8.7K439.1K-6.5K0.8057.46N/AN/A005318
2020-11-11$1308.00$1500.00122.5%35.1%82.1%15.1%128.5%4.2%0.0%9.0K361.1K-6.7K0.5937.38N/AN/A105318
2020-11-12$1248.00$1500.00132.9%38.1%82.9%18.9%143.1%2.6%5.3%1.9K378.0K-6.5K0.5031.44N/AN/A005318
2020-11-13$1224.00$1500.00131.7%37.8%83.0%18.5%136.4%12.3%-1.2%1.3K465.8K-6.3K0.1528.48N/AN/A205318
2020-11-16$1236.00$1200.00125.9%36.1%83.3%16.3%140.5%8.8%-7.6%996453.1K-6.2K0.0939.43N/AN/A205518
2020-11-17$1170.00$1200.00131.1%37.6%84.8%18.2%128.2%5.9%-6.9%503599.0K-5.8K0.5025.00N/AN/A425418
2020-11-18$1182.00$1500.00127.1%36.4%85.1%16.8%129.1%24.1%17.1%2.8K352.5K-6.8K0.5649.31N/AN/A115718
2020-11-19$1170.00$1500.00122.6%35.2%85.0%15.1%122.8%-18.4%1.3%-3.0K569.2K-6.2K0.3238.93N/AN/A105618
2020-11-20$1170.00$1500.00125.6%36.0%84.3%16.2%128.9%-16.3%26.4%8.2K513.7K-6.6K1.0937.11N/AN/A115618
2020-11-23$1386.00$1500.00172.7%49.5%106.0%33.7%171.7%-27.5%-8.3%12.3K-822.3K-8.5K0.0422.54N/AN/A1814712
2020-11-24$1266.00$1200.00172.6%49.5%110.3%33.6%162.9%-5.3%-42.4%23.5K-1.5M-10.7K0.0754.64N/AN/A2016013
2020-11-25$1224.00$1200.00142.8%40.9%106.8%22.6%169.2%-43.8%35.8%28.4K-1.5M-10.9K0.1320.99N/AN/A306914
2020-11-27$1224.00$1200.00142.2%40.8%101.9%22.4%152.4%-8.6%1.7%27.9K-1.1M-9.7K0.2719.66N/AN/A316914
2020-11-30$1170.00$1200.00149.8%43.0%101.8%25.2%150.8%2.5%15.1%25.4K-899.8K-9.3K0.1217.00N/AN/A617015