WWW Options History — August 2014

In August 2014, WWW traded between $24.53 and $26.89. ATM implied volatility averaged 25.7%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.3% (HV 20d: 26.0%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.40.

Notable Days

  • 2014-08-08: Highest Volume — 710 contracts
  • 2014-08-11: Largest IV spike — 49.1% change
  • 2014-08-11: Highest IV Rank — 30.6%
  • 2014-08-25: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.63$24.53$26.89$24.55$26.56
Max Pain$21.43$20.00$25.00$25.00$20.00
ATM IV25.7%20.9%31.1%26.8%28.0%
Expected Move7.7%5.9%9.0%7.5%5.9%
HV 20d26.0%23.6%29.9%28.4%24.1%
HV 60d24.2%23.8%24.9%24.0%24.5%
IV Rank16.8%3.5%30.6%22.5%21.1%
IV Percentile34.1%3.2%62.3%44.8%51.6%
Term Structure3.9%-2.2%16.6%-1.3%5.8%
VWIV27.9%26.7%30.4%27.4%26.7%
Skew 25d3.2%-5.7%9.7%-5.7%-2.0%
Skew 10d5.7%-4.3%19.3%2.8%2.6%
Call IV 25d24.4%19.6%31.1%30.7%31.1%
Put IV 25d27.6%22.8%30.7%25.0%29.1%
Bid-Ask Spread %83.3163.60117.3182.94117.31
Gamma HHI0.520.330.740.490.50
Net GEX-40.8K-79.8K13.7K-79.8K-27.0K
Net DEX-452.9K-2.5M1.7M1.6M-1.4M
Net VEX-11.5K-13.9K-8.1K-12.3K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.400.0031.000.000.00
Total Volume91.9050710170
Total OI4,146.0952,9475,4565,0643,048

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$24.55$25.0026.8%7.5%28.4%22.5%0.0%-5.7%-1.3%-79.8K1.6M-12.3K0.0082.94N/AN/A1702,1612,903
2014-08-04$24.69$25.0028.4%7.6%28.5%26.3%0.0%5.7%1.2%-71.1K1.3M-11.8K0.4691.49N/AN/A89412,1682,903
2014-08-05$25.07$25.0027.3%7.7%29.2%23.7%0.0%9.0%2.5%-52.7K429.8K-11.4K0.0463.66N/AN/A9042,1202,862
2014-08-06$25.51$25.0026.6%7.6%29.3%22.1%0.0%9.7%2.4%-32.8K-531.7K-10.4K0.0170.75N/AN/A16322,0602,866
2014-08-07$25.55$25.0027.0%7.7%28.9%20.7%0.0%1.3%0.6%-54.4K-531.0K-10.0K31.0088.66N/AN/A1311,9752,864
2014-08-08$26.18$25.0020.9%7.8%29.9%5.9%27.4%7.3%2.1%-63.1K-2.0M-8.1K0.0489.83N/AN/A686241,9752,864
2014-08-11$25.88$20.0031.1%7.7%29.5%30.6%0.0%6.9%0.6%-20.1K-2.5M-13.4K0.4377.56N/AN/A56242,5812,859
2014-08-12$25.04$20.0029.8%7.7%29.7%27.4%0.0%4.5%1.2%-14.9K-330.6K-13.9K0.7687.20N/AN/A1511142,5942,850
2014-08-13$24.95$20.0024.8%8.0%23.7%15.3%0.0%5.2%3.2%13.7K-63.4K-13.9K0.0091.98N/AN/A002,6342,822
2014-08-14$24.62$20.0024.1%7.8%24.1%11.5%0.0%4.9%2.9%-15.1K1.1M-13.1K0.9363.60N/AN/A28262,6302,802
2014-08-15$24.53$20.0023.0%7.8%24.2%8.8%26.9%3.7%4.9%-15.0K1.7M-12.4K0.1073.02N/AN/A9092,6422,794
2014-08-18$24.70$20.0023.1%7.7%23.6%9.0%30.4%4.4%4.1%-79.7K288.5K-12.0K0.1580.38N/AN/A4671,6251,322
2014-08-19$25.35$20.0025.2%7.6%24.2%14.3%0.0%-2.2%3.9%-65.6K-294.2K-12.2K1.1481.37N/AN/A22251,6441,329
2014-08-20$25.79$20.0024.4%7.5%24.8%12.3%0.0%3.5%4.2%-59.6K-691.3K-11.9K0.0072.74N/AN/A2301,6551,339
2014-08-21$25.88$20.0024.4%7.6%24.7%12.2%26.7%4.0%4.7%-56.5K-828.8K-11.7K4.9087.33N/AN/A10491,6571,339
2014-08-22$26.44$20.0021.6%7.9%23.6%5.2%0.0%-2.1%13.0%-44.4K-1.1M-11.2K0.1996.63N/AN/A53101,6551,334
2014-08-25$26.89$20.0020.9%9.0%24.0%3.5%0.0%5.5%16.6%-24.3K-1.5M-10.8K0.0086.98N/AN/A001,7041,344
2014-08-26$26.84$20.0027.6%8.1%23.7%20.2%0.0%1.1%-2.2%-25.1K-1.5M-10.5K0.7373.54N/AN/A22161,7041,344
2014-08-27$26.77$20.0026.2%7.9%23.8%16.7%0.0%2.4%5.3%-26.4K-1.5M-10.3K0.0088.63N/AN/A101,7071,341
2014-08-28$26.34$20.0029.3%7.4%24.3%24.4%0.0%0.1%7.1%-43.5K-1.2M-10.6K0.0083.85N/AN/A001,7071,341
2014-08-29$26.56$20.0028.0%5.9%24.1%21.1%0.0%-2.0%5.8%-27.0K-1.4M-10.3K0.00117.31N/AN/A001,7071,341