WWW Options History — July 2014

In July 2014, WWW traded between $24.11 and $26.81. ATM implied volatility averaged 32.9%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 9.2% (HV 20d: 23.7%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 3.21.

Notable Days

  • 2014-07-14: Highest Volume — 8,494 contracts
  • 2014-07-15: Largest IV drop — 37.8% change
  • 2014-07-09: Highest IV Rank — 78.1%
  • 2014-07-02: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.28$24.11$26.81$26.40$24.26
Max Pain$26.43$25.00$35.00$25.00$25.00
ATM IV32.9%25.6%50.5%39.0%27.2%
Expected Move8.9%6.1%13.0%11.2%7.5%
HV 20d23.7%18.7%28.6%19.8%28.3%
HV 60d26.3%23.9%28.2%27.6%23.9%
IV Rank36.8%19.7%78.1%51.0%23.6%
IV Percentile63.4%35.3%97.6%88.5%48.8%
Term Structure-4.0%-17.3%3.2%-5.5%-2.9%
VWIV28.3%15.8%43.8%31.0%25.9%
Skew 25d4.6%-1.4%13.1%13.1%5.4%
Skew 10d6.1%-6.7%39.6%13.7%1.4%
Call IV 25d29.3%21.4%41.8%25.8%28.9%
Put IV 25d33.9%28.4%44.8%38.9%34.3%
Bid-Ask Spread %80.0619.48125.4490.5056.62
Gamma HHI0.560.430.800.520.48
Net GEX-120.2K-520.4K11.3K-8.3K-99.0K
Net DEX1.6M-1.7M8.7M-187.5K2.3M
Net VEX-9.7K-17.4K-2.7K-2.7K-12.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.210.0017.210.0010.00
Total Volume658.04508,4942011
Total OI4,404.72791310,5499135,065

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$26.40$25.0039.0%11.2%19.8%51.0%0.0%13.1%-5.5%-8.3K-187.5K-2.7K0.0090.50N/AN/A200533380
2014-07-02$26.03$25.0045.3%13.0%19.5%65.9%0.0%9.3%-17.3%-10.0K-148.4K-2.7K0.0098.62N/AN/A200543380
2014-07-03$26.30$25.0042.0%12.1%19.9%58.2%0.0%5.5%-16.5%-14.6K-166.8K-2.8K0.0097.80N/AN/A140563380
2014-07-07$26.32$25.0043.6%9.2%18.7%61.7%0.0%3.3%-7.0%-10.5K-194.2K-2.8K0.00106.67N/AN/A00575380
2014-07-08$26.37$25.0044.0%9.3%18.7%62.9%31.0%-0.2%-6.7%-11.0K-200.1K-2.7K10.27108.71N/AN/A11113575380
2014-07-09$26.81$25.0050.5%9.1%19.5%78.1%0.0%3.0%3.2%-10.6K-278.9K-3.0K0.0093.10N/AN/A740576468
2014-07-10$26.40$25.0033.1%9.5%19.7%37.2%0.0%-1.4%-4.1%-16.6K-259.0K-2.9K17.2192.51N/AN/A14241650468
2014-07-11$26.00$25.0035.0%10.0%19.0%41.6%35.9%2.2%-5.5%-34.2K50.6K-3.2K0.6792.79N/AN/A1,053710654654
2014-07-14$26.45$25.0043.0%12.3%18.7%60.4%43.8%3.0%-6.7%11.3K-1.4M-5.4K2.5361.49N/AN/A2,4036,0911,6931,304
2014-07-15$25.64$25.0026.7%7.7%21.6%22.4%27.3%9.4%-1.1%-365.1K-1.7M-16.4K2.9970.94N/AN/A4251,2713,7646,104
2014-07-16$24.40$25.0027.9%8.0%25.4%25.1%27.9%3.8%-2.0%-397.4K6.8M-17.3K2.1722.40N/AN/A3437463,9066,281
2014-07-17$24.54$25.0026.9%7.7%25.6%22.9%26.9%5.4%-1.7%-520.4K7.5M-17.4K1.1521.24N/AN/A1191374,1346,369
2014-07-18$24.48$25.0026.9%7.7%25.6%22.7%27.6%6.8%-1.6%-426.4K8.7M-16.2K1.6519.48N/AN/A681124,1966,353
2014-07-21$24.11$0.0026.6%8.4%25.7%22.2%15.8%1.4%-1.8%-100.9K2.3M-13.2K0.29118.93N/AN/A112331,9602,888
2014-07-22$24.61$35.0026.3%7.9%27.1%21.3%0.0%7.9%-1.3%-88.7K1.5M-14.2K14.5061.90N/AN/A4582,0472,883
2014-07-23$24.59$35.0026.2%8.8%27.1%21.2%0.0%2.1%-1.4%-90.6K1.6M-14.0K0.0097.88N/AN/A002,0472,896
2014-07-24$24.85$35.0025.9%6.1%27.6%20.5%21.1%1.7%-0.7%-82.6K1.1M-13.9K0.00125.44N/AN/A1202,0472,896
2014-07-25$24.27$25.0027.5%7.6%28.3%24.1%0.0%3.6%-1.3%-93.7K2.0M-13.4K0.3655.62N/AN/A55202,0592,896
2014-07-28$24.45$25.0027.1%7.1%28.5%23.3%0.0%7.0%-1.6%-92.0K1.8M-12.9K0.3889.01N/AN/A2182,0472,896
2014-07-29$24.27$25.0027.4%7.4%28.6%23.9%25.9%3.3%-2.8%-96.8K2.1M-12.4K0.0185.47N/AN/A15022,0522,901
2014-07-30$24.53$25.0025.6%7.1%28.4%19.7%0.0%6.5%-1.6%-86.0K1.7M-12.4K0.0094.10N/AN/A602,1582,903
2014-07-31$24.26$25.0027.2%7.5%28.3%23.6%0.0%5.4%-2.9%-99.0K2.3M-12.2K10.0056.62N/AN/A1102,1622,903