WATT Options History — December 2020

In December 2020, WATT traded between $1050.00 and $1536.00. ATM implied volatility averaged 166.5%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 47.3%. IV traded above realized volatility by 67.0% (HV 20d: 99.5%). Max pain ranged from $1200.00 to $1500.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.28.

Notable Days

  • 2020-12-23: Highest Volume — 132 contracts
  • 2020-12-23: Largest IV spike — 38.8% change
  • 2020-12-23: Highest IV Rank — 56.9%
  • 2020-12-23: Largest Expected Move — 67.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1119.82$1050.00$1536.00$1122.00$1098.00
Max Pain$1404.55$1200.00$1500.00$1200.00$1200.00
ATM IV166.5%144.8%235.4%146.7%183.2%
Expected Move47.3%41.5%67.5%42.1%52.5%
HV 20d99.5%48.4%151.4%101.6%151.4%
HV 60d81.9%68.0%108.1%77.2%108.1%
IV Rank31.2%23.3%56.9%24.0%36.7%
IV Percentile59.2%32.1%96.0%41.7%77.8%
Term Structure2.2%-17.1%61.1%1.8%-17.1%
VWIV172.0%149.1%247.4%149.2%194.7%
Skew 25d-25.4%-74.3%15.6%-11.8%-58.3%
Skew 10d-39.8%-130.1%88.4%50.0%-123.7%
Call IV 25d184.3%147.1%298.5%154.9%212.6%
Put IV 25d158.9%136.4%224.2%143.1%154.4%
Bid-Ask Spread %18.6011.0432.8114.7512.09
Gamma HHI0.260.160.340.340.22
Net GEX20.0K9.9K35.5K22.6K28.5K
Net DEX-926.1K-3.7M295.2K-636.9K-1.9M
Net VEX-10.2K-17.7K-6.4K-8.6K-15.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.040.660.130.37
Total Volume11.318113245
Total OI104.7277814089140

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$1122.00$1200.00146.7%42.1%101.6%24.0%149.2%-11.8%1.8%22.6K-636.9K-8.6K0.1314.75N/AN/A407316
2020-12-02$1098.00$1200.00172.4%49.4%101.6%33.6%171.6%15.6%-11.3%21.4K-729.2K-8.7K0.2628.01N/AN/A927416
2020-12-03$1104.00$1500.00172.3%47.9%97.7%33.5%161.7%-27.6%-7.6%22.5K-766.3K-9.5K0.2425.21N/AN/A317718
2020-12-04$1110.00$1500.00169.0%46.8%96.4%32.3%163.5%1.3%-7.9%22.1K-731.0K-8.9K0.2026.92N/AN/A317718
2020-12-07$1086.00$1500.00160.0%45.8%95.8%28.9%172.0%-23.7%-6.7%20.6K-603.0K-9.1K0.0432.81N/AN/A407719
2020-12-08$1080.00$1500.00176.1%44.8%87.2%34.9%165.6%-12.8%-4.8%19.2K-528.6K-9.0K0.5019.93N/AN/A217919
2020-12-09$1062.00$1500.00170.0%48.7%80.0%32.7%167.8%-10.9%-13.5%16.9K-379.2K-8.6K0.5330.44N/AN/A117920
2020-12-10$1050.00$1500.00159.9%45.8%78.8%28.9%186.9%-43.5%61.1%12.9K3.2K-8.6K0.6621.27N/AN/A118020
2020-12-11$1050.00$1500.00158.2%45.4%77.7%28.3%161.2%4.8%11.8%15.9K-241.1K-8.3K0.5113.30N/AN/A118021
2020-12-14$1062.00$1500.00156.9%45.0%77.9%27.8%166.1%-18.5%6.5%10.4K295.2K-6.4K0.3915.63N/AN/A108021
2020-12-15$1068.00$1500.00160.9%46.1%77.8%29.3%158.4%0.8%0.8%10.9K191.9K-7.5K0.2017.19N/AN/A208021
2020-12-16$1050.00$1500.00155.7%44.6%75.8%27.3%163.2%-33.3%-13.4%10.5K252.8K-6.4K0.3113.70N/AN/A108121
2020-12-17$1056.00$1500.00146.0%41.8%75.7%23.8%149.1%-36.9%8.2%10.8K248.9K-7.8K0.3414.75N/AN/A108121
2020-12-18$1068.00$1500.00144.8%41.5%75.9%23.3%153.3%-20.0%21.8%11.2K132.2K-7.9K0.4414.91N/AN/A108221
2020-12-21$1050.00$1500.00155.1%44.5%76.0%27.1%151.3%-6.4%-9.7%9.9K-288.5K-7.1K0.0819.17N/AN/A306216
2020-12-22$1122.00$1500.00169.6%48.6%48.4%32.5%165.2%-10.3%-3.1%13.9K-751.7K-8.2K0.3213.76N/AN/A836416
2020-12-23$1536.00$1500.00235.4%67.5%119.9%56.9%247.4%-74.3%3.2%25.8K-3.7M-13.2K0.1118.84N/AN/A119136918
2020-12-24$1212.00$1200.00165.7%47.5%148.1%31.1%188.4%-63.6%25.7%35.5K-3.0M-17.7K0.1014.40N/AN/A21210730
2020-12-28$1212.00$1200.00176.8%50.7%148.1%35.2%188.5%-43.2%7.0%34.0K-2.7M-16.4K0.1611.04N/AN/A11210631
2020-12-29$1146.00$1200.00162.6%46.6%148.6%29.0%179.5%-47.6%-0.5%31.1K-1.9M-15.4K0.1415.70N/AN/A11210530
2020-12-30$1194.00$1200.00165.8%47.5%148.4%30.2%179.7%-39.1%-4.5%33.4K-2.5M-16.3K0.1615.49N/AN/A6110731
2020-12-31$1098.00$1200.00183.2%52.5%151.4%36.7%194.7%-58.3%-17.1%28.5K-1.9M-15.1K0.3712.09N/AN/A4110832