WWW Options History — May 2014

In May 2014, WWW traded between $25.17 and $27.64. ATM implied volatility averaged 31.0%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.6% (HV 20d: 33.6%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.80.

Notable Days

  • 2014-05-07: Highest Volume — 197 contracts
  • 2014-05-09: Largest IV spike — 50.0% change
  • 2014-05-09: Highest IV Rank — 82.5%
  • 2014-05-01: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.15$25.17$27.64$27.64$25.87
Max Pain$27.26$25.00$27.50$25.00$27.50
ATM IV31.0%23.8%51.5%32.7%26.0%
Expected Move7.5%6.8%9.4%9.4%7.5%
HV 20d33.6%25.6%37.6%36.8%25.6%
HV 60d29.5%26.4%32.9%32.9%26.8%
IV Rank39.8%24.9%82.5%43.4%29.5%
IV Percentile61.8%29.0%98.0%79.8%44.8%
Term Structure2.3%-14.8%16.5%-11.1%3.0%
VWIV23.8%17.7%25.6%24.0%25.2%
Skew 25d2.2%-8.0%8.4%-8.0%-0.2%
Skew 10d3.9%-10.2%16.1%-10.2%1.3%
Call IV 25d24.2%17.0%33.9%33.9%25.7%
Put IV 25d26.5%23.0%29.1%25.9%25.5%
Bid-Ask Spread %92.5470.51121.56108.0677.12
Gamma HHI0.490.330.710.420.61
Net GEX-37.0K-71.8K19.9K19.9K-42.5K
Net DEX1.2M73.5K1.8M73.5K1.6M
Net VEX-4.6K-8.3K-2.8K-8.3K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.0010.000.2410.00
Total Volume29.1901976888
Total OI2,751.812,6592,8522,6592,735

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$27.64$25.0032.7%9.4%36.8%43.4%0.0%-8.0%-11.1%19.9K73.5K-8.3K0.24108.06N/AN/A55131,729930
2014-05-02$27.50$25.0032.1%9.2%36.7%42.1%0.0%-2.4%-14.8%18.5K186.6K-7.7K0.00107.63N/AN/A001,781930
2014-05-05$27.10$27.5031.4%6.9%36.3%40.5%0.0%1.7%16.5%758465.9K-7.1K0.0098.11N/AN/A001,781930
2014-05-06$26.27$27.5036.0%6.9%37.6%50.3%24.0%6.1%3.6%-23.3K1.0M-5.4K0.0099.91N/AN/A6001,781930
2014-05-07$25.99$27.5030.9%7.8%36.9%39.5%25.3%4.9%0.3%-25.5K1.2M-4.9K5.1689.93N/AN/A321651,762930
2014-05-08$26.32$27.5034.4%7.6%37.1%46.8%0.0%5.9%3.7%-40.0K1.2M-5.4K0.0096.14N/AN/A401,7561,068
2014-05-09$26.20$27.5051.5%7.9%34.7%82.5%23.8%5.9%-0.6%-29.0K1.1M-5.8K0.0091.60N/AN/A401,7601,068
2014-05-12$26.61$27.5034.7%7.0%33.9%47.5%17.7%3.6%4.3%-43.4K1.1M-5.1K0.0092.11N/AN/A1401,7601,068
2014-05-13$26.21$27.5039.1%8.2%32.2%56.6%0.0%2.4%-3.2%-52.5K1.3M-4.7K0.0092.22N/AN/A001,7701,068
2014-05-14$25.57$27.5048.3%7.2%33.0%75.9%24.6%-1.3%1.4%-64.9K1.8M-3.1K0.0396.65N/AN/A5921,7701,068
2014-05-15$25.53$27.5025.3%7.2%32.9%27.9%0.0%5.5%2.9%-71.8K1.5M-3.8K2.1493.58N/AN/A14301,7591,049
2014-05-16$25.79$27.5026.3%7.5%33.2%30.0%0.0%5.1%1.9%-48.3K1.4M-4.2K0.0091.42N/AN/A1001,7731,079
2014-05-19$25.88$27.5026.5%7.6%33.2%30.5%0.0%0.6%0.7%-45.7K1.5M-3.6K0.0091.38N/AN/A001,753946
2014-05-20$25.17$27.5024.6%7.1%33.6%26.5%24.4%-2.4%4.5%-28.2K1.7M-2.8K0.0096.42N/AN/A2701,753946
2014-05-21$25.70$27.5026.3%7.5%34.7%29.9%0.0%8.4%3.3%-41.3K1.5M-3.6K0.0094.02N/AN/A001,778946
2014-05-22$25.87$27.5025.4%7.3%34.7%28.1%0.0%3.6%2.8%-45.5K1.4M-3.7K0.00121.56N/AN/A001,778946
2014-05-23$25.71$27.5024.1%6.9%34.6%25.5%0.0%-2.7%3.5%-40.3K1.6M-3.2K0.0088.59N/AN/A001,778946
2014-05-27$26.43$27.5024.8%7.1%36.1%26.8%25.6%2.9%4.8%-58.9K1.2M-4.0K4.0074.20N/AN/A5201,778946
2014-05-28$26.00$27.5026.8%7.7%25.8%31.0%0.0%2.8%10.7%-61.4K1.4M-3.6K10.0070.51N/AN/A1101,778946
2014-05-29$25.74$27.5023.8%6.8%25.8%24.9%0.0%4.7%9.1%-54.7K1.4M-3.6K0.0072.28N/AN/A001,779956
2014-05-30$25.87$27.5026.0%7.5%25.6%29.5%25.2%-0.2%3.0%-42.5K1.6M-2.9K0.0077.12N/AN/A0881,779956