WWW Options History — January 2014

In January 2014, WWW traded between $27.79 and $33.85. ATM implied volatility averaged 27.1%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.4% (HV 20d: 24.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2014-01-10: Highest Volume — 566 contracts
  • 2014-01-10: Largest IV spike — 46.2% change
  • 2014-01-30: Highest IV Rank — 71.6%
  • 2014-01-30: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.61$27.79$33.85$33.61$27.90
Max Pain$30.48$30.00$35.00$35.00$30.00
ATM IV27.1%19.6%38.2%20.5%37.0%
Expected Move7.8%5.9%10.9%5.9%10.6%
HV 20d24.8%14.5%31.9%17.5%28.6%
HV 60d23.1%18.7%25.4%21.4%25.3%
IV Rank41.5%20.9%71.6%23.6%68.4%
IV Percentile58.6%8.3%98.0%13.9%97.6%
Term Structure-0.0%-8.6%11.3%11.3%-8.6%
VWIV28.8%23.4%35.2%23.4%34.0%
Skew 25d5.4%-10.4%13.6%11.5%3.1%
Skew 10d7.6%-4.8%19.5%5.4%3.7%
Call IV 25d26.0%15.3%37.6%15.3%37.6%
Put IV 25d31.4%19.9%40.7%26.8%40.7%
Bid-Ask Spread %100.7185.05115.8998.97115.45
Gamma HHI0.420.250.640.460.26
Net GEX29.2K-90.3K133.3K67.7K11.2K
Net DEX-460.1K-2.0M830.6K-1.9M657.6K
Net VEX-7.4K-8.5K-6.4K-8.1K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.002.640.300.00
Total Volume131.09555663917
Total OI2,328.0481,8233,3031,9422,131

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$33.61$35.0020.5%5.9%17.5%23.6%23.4%11.5%11.3%67.7K-1.9M-8.1K0.3098.97N/AN/A3091,256686
2014-01-03$33.75$35.0024.7%7.1%17.5%34.9%0.0%12.7%8.8%70.5K-1.9M-8.3K0.00108.69N/AN/A1001,261691
2014-01-06$33.66$30.0021.9%7.6%17.5%27.2%26.7%8.0%0.7%68.5K-1.9M-7.7K0.0589.58N/AN/A195101,271691
2014-01-07$33.85$30.0025.4%6.7%17.2%36.8%0.0%13.6%2.3%110.2K-2.0M-7.9K0.0091.51N/AN/A12901,444701
2014-01-08$33.58$30.0020.6%6.7%16.2%23.7%30.6%11.1%2.0%130.9K-2.0M-8.2K0.7886.29N/AN/A83651,562701
2014-01-09$33.52$30.0019.6%7.1%15.8%20.9%27.2%10.7%3.3%123.7K-1.8M-8.3K0.5089.90N/AN/A841,631760
2014-01-10$33.52$30.0028.6%7.1%14.5%45.5%35.2%9.7%0.9%133.3K-2.0M-8.5K0.0589.32N/AN/A541251,639764
2014-01-13$32.82$30.0029.9%6.2%16.6%49.0%24.3%11.0%2.4%75.7K-1.5M-7.8K1.5087.89N/AN/A1732602,101784
2014-01-14$30.50$30.0024.6%8.5%31.2%34.6%30.6%11.9%-1.8%-42.7K-85.2K-8.1K1.6085.05N/AN/A2073322,2381,044
2014-01-15$30.45$30.0027.1%7.8%31.1%41.6%25.4%10.8%-0.5%-55.2K-302.0K-8.1K0.38101.34N/AN/A66252,2121,062
2014-01-16$29.73$30.0028.5%8.2%31.9%45.3%0.0%-0.5%-2.6%-90.3K528.0K-7.9K2.64100.38N/AN/A25662,2121,077
2014-01-17$29.21$30.0027.3%7.8%30.9%42.1%27.3%-4.3%-1.1%-37.1K830.6K-7.4K0.6794.35N/AN/A30202,2301,073
2014-01-21$28.90$30.0027.9%8.0%30.5%43.7%0.0%-5.6%-1.7%5.4K181.0K-6.8K0.00103.57N/AN/A0201,073750
2014-01-22$28.85$30.0029.7%8.5%30.2%48.6%29.9%4.2%-3.6%3.5K321.1K-6.7K0.3894.40N/AN/A80301,073770
2014-01-23$28.41$30.0024.2%6.9%29.5%33.6%25.7%6.3%1.7%899443.0K-6.8K0.00110.17N/AN/A2401,103800
2014-01-24$28.41$30.0028.5%8.2%29.2%45.4%0.0%-10.4%-1.5%4.6K528.0K-6.6K0.00115.51N/AN/A1401,127800
2014-01-27$28.05$30.0030.0%8.6%28.4%49.4%32.8%4.0%-4.1%5.1K496.4K-6.4K1.00109.20N/AN/A41411,129800
2014-01-28$28.29$30.0026.7%7.7%29.0%40.5%30.7%-5.3%-2.8%4.8K532.4K-6.6K0.14112.41N/AN/A143201,164829
2014-01-29$27.79$30.0028.6%8.2%27.9%45.7%0.0%9.1%-0.7%8.5K731.4K-6.4K0.00115.01N/AN/A501,284838
2014-01-30$28.09$30.0038.2%10.9%28.6%71.6%34.0%2.1%-5.4%13.7K535.4K-7.0K0.00115.89N/AN/A501,289838
2014-01-31$27.90$30.0037.0%10.6%28.6%68.4%0.0%3.1%-8.6%11.2K657.6K-6.5K0.00115.45N/AN/A1701,293838