WWW Options History — March 2014

In March 2014, WWW traded between $26.05 and $28.55. ATM implied volatility averaged 32.0%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 1.1% (HV 20d: 31.0%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2014-03-31: Highest Volume — 131 contracts
  • 2014-03-24: Largest IV spike — 73.1% change
  • 2014-03-14: Highest IV Rank — 100.0%
  • 2014-03-14: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.49$26.05$28.55$26.05$28.55
Max Pain$25.48$25.00$27.50$27.50$25.00
ATM IV32.0%21.4%52.1%27.9%29.6%
Expected Move9.8%6.1%14.9%8.0%8.5%
HV 20d31.0%17.5%45.1%45.1%17.5%
HV 60d33.4%32.7%33.8%32.7%33.2%
IV Rank50.3%23.6%100.0%40.4%44.1%
IV Percentile69.9%17.5%100.0%68.7%71.0%
Term Structure-3.1%-31.2%23.0%11.1%-1.9%
VWIV31.1%21.5%45.1%21.5%27.8%
Skew 25d5.7%-6.7%15.4%5.9%15.2%
Skew 10d5.1%-12.7%20.1%7.4%17.9%
Call IV 25d31.8%22.3%45.2%28.3%28.9%
Put IV 25d37.5%30.0%50.3%34.2%44.1%
Bid-Ask Spread %91.0217.74121.8495.47102.95
Gamma HHI0.520.410.760.410.76
Net GEX122.4K67.9K263.9K82.9K99.1K
Net DEX-671.3K-1.7M477.8K477.8K-1.2M
Net VEX-7.9K-9.1K-6.7K-7.5K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.860.000.00
Total Volume45.857413129131
Total OI2,985.4761,8283,5683,5551,886

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$26.05$27.5027.9%8.0%45.1%40.4%0.0%5.9%11.1%82.9K477.8K-7.5K0.0095.47N/AN/A2902,636919
2014-03-04$27.03$27.5025.3%7.3%42.7%33.9%21.5%9.3%7.3%106.8K-176.4K-8.8K0.0017.74N/AN/A10902,639919
2014-03-05$26.89$27.5025.7%7.4%42.7%34.7%25.7%7.7%5.5%106.7K-89.6K-8.9K0.8619.02N/AN/A762,649919
2014-03-06$26.95$27.5024.0%6.9%42.3%30.5%0.0%9.6%23.0%114.9K-110.3K-8.9K0.0018.25N/AN/A1002,648919
2014-03-07$27.37$25.0024.6%10.7%42.5%32.1%0.0%0.5%-13.8%123.2K-429.0K-9.1K0.2190.57N/AN/A70152,648919
2014-03-10$27.41$25.0023.6%7.4%41.0%29.6%0.0%3.3%7.7%124.3K-362.1K-8.4K0.0096.02N/AN/A1002,611919
2014-03-11$27.08$25.0024.1%11.2%41.2%30.7%0.0%8.9%-12.4%119.0K-172.7K-8.2K0.00104.08N/AN/A10302,603919
2014-03-12$27.32$25.0023.0%10.7%41.1%28.0%0.0%2.1%-13.0%120.6K-276.6K-7.6K0.00105.86N/AN/A802,579904
2014-03-13$27.13$25.0031.0%8.9%40.6%48.3%29.4%1.1%-2.8%122.9K-137.0K-7.7K0.0092.46N/AN/A2802,584904
2014-03-14$27.11$25.0052.1%14.9%39.9%100.0%0.0%5.9%-31.2%120.8K-208.0K-8.0K0.00102.05N/AN/A2302,589904
2014-03-17$27.51$25.0035.8%10.3%40.3%59.4%0.0%3.3%-5.6%146.9K-191.0K-6.7K0.00101.82N/AN/A402,576904
2014-03-18$27.89$25.0041.4%11.9%19.1%73.4%42.3%8.6%-13.7%160.2K-1.6M-8.1K0.0998.87N/AN/A4342,576608
2014-03-19$27.61$25.0036.7%10.5%19.8%61.7%0.0%3.0%-4.7%167.8K-1.4M-7.7K0.24116.99N/AN/A42102,567612
2014-03-20$27.71$25.0038.7%11.1%19.4%66.5%45.1%4.6%-17.3%211.6K-1.6M-7.6K0.04102.55N/AN/A9142,564590
2014-03-21$27.66$25.0021.4%6.1%19.5%23.6%32.3%15.4%3.6%263.9K-1.7M-7.7K0.00108.78N/AN/A12002,619594
2014-03-24$27.83$25.0037.0%10.6%19.5%62.5%0.0%-6.7%-12.0%75.8K-866.2K-7.4K0.00104.45N/AN/A501,505323
2014-03-25$27.75$25.0038.4%11.0%19.5%65.8%31.7%-2.2%-1.4%67.9K-987.9K-7.6K0.0099.24N/AN/A2801,510323
2014-03-26$28.04$25.0033.2%9.5%19.5%52.9%24.1%7.0%13.7%80.9K-1.0M-7.5K0.20121.84N/AN/A1021,536323
2014-03-27$28.16$25.0040.8%11.7%19.1%71.7%0.0%7.1%-6.1%75.3K-956.1K-7.3K0.0098.95N/AN/A2501,538325
2014-03-28$28.23$25.0038.7%11.1%18.3%66.7%0.0%9.7%-0.5%79.7K-1.2M-8.1K0.00113.54N/AN/A2601,560325
2014-03-31$28.55$25.0029.6%8.5%17.5%44.1%27.8%15.2%-1.9%99.1K-1.2M-7.5K0.00102.95N/AN/A13101,561325