WWW Options History — April 2014

In April 2014, WWW traded between $26.07 and $28.38. ATM implied volatility averaged 41.4%, placing in the 63.3% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 18.5% (HV 20d: 22.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.71.

Notable Days

  • 2014-04-29: Highest Volume — 823 contracts
  • 2014-04-23: Largest IV spike — 54.1% change
  • 2014-04-04: Highest IV Rank — 100.0%
  • 2014-04-23: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.27$26.07$28.38$28.32$28.10
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV41.4%22.3%59.9%40.0%23.0%
Expected Move11.1%6.4%14.5%11.5%6.6%
HV 20d22.9%13.0%36.4%13.3%36.4%
HV 60d32.5%31.1%34.7%33.2%32.7%
IV Rank63.3%21.7%100.0%69.8%23.1%
IV Percentile86.8%25.4%100.0%96.4%27.8%
Term Structure-10.5%-27.6%8.1%-4.0%8.1%
VWIV36.9%23.7%49.7%32.1%23.7%
Skew 25d5.9%-2.5%18.4%2.5%7.0%
Skew 10d7.2%-7.1%25.6%3.8%8.7%
Call IV 25d34.1%20.0%48.9%33.4%20.0%
Put IV 25d40.0%23.4%52.0%36.0%27.1%
Bid-Ask Spread %104.1696.12122.59113.51107.37
Gamma HHI0.630.420.800.770.42
Net GEX80.3K40.0K119.2K101.3K40.0K
Net DEX-779.5K-1.2M-241.1K-1.2M-241.1K
Net VEX-6.3K-8.7K-4.6K-7.9K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.710.0020.000.084.31
Total Volume80.95208236710
Total OI2,140.9051,9352,6592,0012,659

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$28.32$25.0040.0%11.5%13.3%69.8%32.1%2.5%-4.0%101.3K-1.2M-7.9K0.08113.51N/AN/A6251,676325
2014-04-02$28.30$25.0034.8%10.0%13.0%56.9%0.0%7.2%-9.8%109.4K-1.2M-7.6K0.00102.23N/AN/A1401,719330
2014-04-03$28.00$25.0050.2%14.4%13.9%95.3%49.7%0.3%-17.9%91.5K-1.2M-7.8K0.00114.88N/AN/A8701,728330
2014-04-04$27.43$25.0058.0%10.6%15.0%100.0%0.0%6.6%-15.7%85.8K-895.2K-7.2K0.89122.59N/AN/A981,794330
2014-04-07$27.03$25.0059.9%12.9%15.9%100.0%0.0%10.1%-14.2%78.0K-747.8K-6.5K0.00107.18N/AN/A201,792322
2014-04-08$27.56$25.0057.4%10.7%16.8%94.7%0.0%18.4%-7.4%95.6K-912.3K-6.9K0.00103.29N/AN/A901,792322
2014-04-09$27.77$25.0034.6%9.7%16.7%47.3%0.0%5.1%-5.9%98.6K-1.1M-7.2K0.0096.52N/AN/A1001,792322
2014-04-10$26.72$25.0044.1%12.6%21.7%67.0%0.0%13.7%-11.0%65.8K-512.1K-5.4K0.01107.42N/AN/A17711,792322
2014-04-11$26.07$25.0034.5%9.9%23.3%47.0%0.0%1.1%-3.8%68.4K-606.1K-5.1K0.00102.40N/AN/A0391,934323
2014-04-14$26.95$25.0036.0%10.3%25.8%50.2%0.0%-0.9%-7.4%73.2K-1.1M-6.4K20.0097.69N/AN/A2401,934360
2014-04-15$27.17$25.0042.6%12.2%25.5%63.9%0.0%-2.5%-22.5%79.8K-1.1M-6.1K0.00101.88N/AN/A15001,936385
2014-04-16$26.93$25.0036.5%10.5%25.4%51.2%0.0%1.7%-10.8%76.0K-877.6K-5.8K0.14100.12N/AN/A73101,968385
2014-04-17$26.91$25.0032.9%9.4%25.4%43.7%0.0%1.9%-0.9%78.1K-868.7K-5.2K0.0099.27N/AN/A062,028393
2014-04-21$26.72$25.0040.5%11.6%25.5%59.5%0.0%14.2%-13.0%68.4K-476.5K-5.2K0.00102.47N/AN/A1301,689246
2014-04-22$27.21$25.0032.8%9.4%26.3%43.6%33.6%5.4%0.1%78.9K-543.4K-5.4K10.4096.12N/AN/A5521,698246
2014-04-23$27.19$25.0050.5%14.5%26.3%80.5%37.2%6.1%-27.0%86.7K-791.9K-6.7K0.00102.59N/AN/A1901,697297
2014-04-24$26.89$25.0048.8%14.0%26.2%76.8%0.0%5.7%-27.6%72.8K-509.1K-5.5K10.00102.19N/AN/A1101,712297
2014-04-25$26.58$25.0049.1%14.1%26.3%77.5%0.0%4.3%-25.2%61.1K-268.8K-4.6K0.00100.67N/AN/A001,712307
2014-04-28$26.50$25.0040.7%11.7%26.2%59.9%44.9%17.6%-7.4%58.7K-245.3K-4.6K0.29104.32N/AN/A49141,712307
2014-04-29$28.38$25.0022.3%6.4%36.3%21.7%23.7%-2.5%2.1%119.2K-932.9K-6.2K4.31102.62N/AN/A1556681,725321
2014-04-30$28.10$25.0023.0%6.6%36.4%23.1%0.0%7.0%8.1%40.0K-241.1K-8.7K0.00107.37N/AN/A0101,729930