WWW Options History — June 2014

In June 2014, WWW traded between $25.79 and $26.92. ATM implied volatility averaged 32.6%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 9.8% (HV 20d: 22.7%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 4.42.

Notable Days

  • 2014-06-24: Highest Volume — 115 contracts
  • 2014-06-10: Largest IV spike — 84.6% change
  • 2014-06-10: Highest IV Rank — 65.7%
  • 2014-06-25: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.43$25.79$26.92$26.06$26.06
Max Pain$25.48$25.00$27.50$27.50$25.00
ATM IV32.6%21.2%45.3%28.5%37.2%
Expected Move9.6%6.2%11.7%8.2%10.7%
HV 20d22.7%19.3%25.8%25.8%19.4%
HV 60d27.4%26.6%27.9%26.8%27.8%
IV Rank38.4%9.5%65.7%34.6%46.9%
IV Percentile67.0%8.3%95.2%57.5%86.1%
Term Structure-2.6%-16.8%13.3%0.6%-2.5%
VWIV32.7%25.2%41.1%25.2%41.1%
Skew 25d7.4%-2.5%12.6%2.1%2.3%
Skew 10d15.8%-2.1%32.2%32.2%7.6%
Call IV 25d26.5%22.5%31.3%27.9%31.3%
Put IV 25d33.9%26.1%41.9%30.0%33.6%
Bid-Ask Spread %94.1478.03127.1186.3884.80
Gamma HHI0.540.380.660.550.52
Net GEX-59.6K-128.5K-7.7K-58.6K-8.6K
Net DEX987.6K-157.4K1.9M1.6M-119.0K
Net VEX-3.2K-4.5K-2.2K-3.2K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.420.0032.500.000.30
Total Volume21.5240115213
Total OI2,355.9527593,0302,823914

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$26.06$27.5028.5%8.2%25.8%34.6%0.0%2.1%0.6%-58.6K1.6M-3.2K0.0086.38N/AN/A201,7791,044
2014-06-03$25.96$27.5021.5%6.2%25.5%20.0%25.2%-2.5%13.3%-59.1K1.7M-2.9K0.0078.56N/AN/A0161,7771,044
2014-06-04$26.42$27.5038.0%10.9%23.9%54.3%0.0%6.6%7.9%-83.2K1.5M-3.6K32.5078.03N/AN/A2651,7771,060
2014-06-05$26.40$27.5027.8%8.0%23.6%33.2%29.8%2.1%4.3%-84.3K1.6M-3.4K13.67100.37N/AN/A3411,7791,125
2014-06-06$26.87$25.0022.7%9.0%24.0%22.5%31.1%1.8%-1.7%-95.4K1.2M-4.3K0.0087.57N/AN/A201,7801,160
2014-06-09$26.92$25.0024.5%9.7%23.9%26.3%0.0%4.8%-3.7%-110.6K1.1M-4.0K20.0086.35N/AN/A2401,7821,160
2014-06-10$26.71$25.0045.3%9.5%23.5%65.7%33.2%10.7%-4.9%-47.4K1.1M-4.5K0.0099.95N/AN/A1001,7811,200
2014-06-11$26.33$25.0021.2%9.3%23.4%9.5%32.5%9.8%-4.6%-88.1K1.6M-3.4K1.0096.58N/AN/A441,7911,200
2014-06-12$25.79$25.0032.4%9.3%22.9%35.5%0.0%10.3%-5.6%-38.7K1.9M-2.6K0.4489.38N/AN/A1671,7901,183
2014-06-13$26.30$25.0032.8%9.4%23.9%36.6%32.8%10.5%-5.7%-90.4K1.6M-3.3K1.0095.02N/AN/A11111,8061,190
2014-06-16$26.11$25.0034.1%9.8%23.8%39.6%0.0%10.6%-7.1%-47.6K1.8M-2.7K1.0096.28N/AN/A10101,8161,199
2014-06-17$26.81$25.0031.9%9.2%25.5%34.6%0.0%8.0%1.2%-49.3K846.1K-3.8K0.00110.65N/AN/A501,8261,199
2014-06-18$26.81$25.0034.0%9.7%23.0%39.3%0.0%11.5%-6.3%-128.5K1.2M-3.3K0.0096.79N/AN/A001,8311,199
2014-06-19$26.59$25.0040.5%11.6%22.4%54.5%0.0%12.6%-11.2%-86.5K1.2M-3.1K0.00103.51N/AN/A001,8271,199
2014-06-20$26.70$25.0033.7%9.7%22.3%38.8%0.0%9.8%-4.3%-121.5K1.4M-2.9K0.0097.41N/AN/A201,8271,199
2014-06-23$26.76$25.0032.8%9.4%22.1%36.6%34.3%8.8%-0.6%-7.7K-157.4K-2.4K4.4096.10N/AN/A522451308
2014-06-24$26.53$25.0034.3%9.8%20.2%40.0%34.0%8.9%1.1%-9.4K-83.3K-2.2K0.9293.35N/AN/A6055456322
2014-06-25$26.50$25.0040.9%11.7%19.3%55.4%0.0%7.6%-16.8%-8.9K-90.6K-2.7K0.00127.11N/AN/A100513377
2014-06-26$26.16$25.0034.3%9.8%19.5%40.1%0.0%10.1%-4.0%-17.7K7.6K-2.5K0.0086.15N/AN/A240513377
2014-06-27$26.19$25.0035.5%10.2%19.4%43.0%0.0%9.0%-4.6%-10.0K-123.0K-2.9K0.0086.68N/AN/A00537377
2014-06-30$26.06$25.0037.2%10.7%19.4%46.9%41.1%2.3%-2.5%-8.6K-119.0K-2.7K0.3084.80N/AN/A103537377