WWW Options History — September 2014

In September 2014, WWW traded between $25.06 and $27.26. ATM implied volatility averaged 34.0%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 12.8% (HV 20d: 21.2%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 4.35.

Notable Days

  • 2014-09-29: Highest Volume — 186 contracts
  • 2014-09-05: Largest IV spike — 49.2% change
  • 2014-09-17: Highest IV Rank — 52.7%
  • 2014-09-15: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.41$25.06$27.26$27.04$25.06
Max Pain$21.90$20.00$25.00$20.00$25.00
ATM IV34.0%23.2%40.8%27.4%38.1%
Expected Move8.3%7.5%10.0%8.1%8.0%
HV 20d21.2%17.5%26.0%24.6%17.5%
HV 60d24.3%23.8%25.1%24.5%24.4%
IV Rank36.0%9.3%52.7%19.6%46.1%
IV Percentile69.5%15.9%89.7%47.6%83.3%
Term Structure-3.8%-14.0%13.6%13.6%-8.8%
VWIV28.7%26.0%35.1%28.4%30.1%
Skew 25d3.8%-4.2%18.9%9.1%8.1%
Skew 10d7.4%-4.3%27.9%10.8%7.2%
Call IV 25d32.1%24.1%41.8%28.4%32.0%
Put IV 25d35.9%21.3%43.0%37.6%40.0%
Bid-Ask Spread %85.6260.98101.3492.9693.53
Gamma HHI0.440.350.590.450.39
Net GEX5.0K-41.3K35.8K-13.9K-434
Net DEX-1.5M-2.1M-598.1K-1.6M-598.1K
Net VEX-8.9K-10.4K-8.1K-10.2K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.350.0015.000.0411.40
Total Volume53.190186260
Total OI2,674.4761,7563,1193,0481,964

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$27.04$20.0027.4%8.1%24.6%19.6%28.4%9.1%13.6%-13.9K-1.6M-10.2K0.0492.96N/AN/A2511,7071,341
2014-09-03$26.48$20.0033.9%7.9%25.9%35.7%0.0%-3.7%-1.0%-41.3K-1.4M-10.4K0.0093.50N/AN/A061,7271,342
2014-09-04$26.96$20.0023.3%8.3%25.9%9.4%0.0%-4.2%6.9%-8.0K-1.9M-9.1K0.0077.09N/AN/A1101,7271,343
2014-09-05$26.91$20.0034.7%8.2%26.0%37.7%29.8%-4.0%-4.0%-23.2K-1.5M-9.9K0.0087.87N/AN/A4001,7251,343
2014-09-08$27.03$20.0023.2%8.2%24.7%9.3%26.4%1.9%-2.9%12.1K-2.0M-8.8K2.8660.98N/AN/A7201,7561,343
2014-09-09$26.76$20.0030.2%9.3%24.6%26.4%0.0%3.4%-6.2%-22.8K-1.8M-9.4K0.0095.86N/AN/A001,7581,359
2014-09-10$27.00$20.0029.5%9.3%21.0%24.8%0.0%-3.1%7.9%52-1.9M-8.8K0.0090.70N/AN/A001,7581,359
2014-09-11$27.26$20.0035.2%9.5%20.9%38.8%0.0%4.7%-2.1%21.1K-2.1M-8.5K15.0092.72N/AN/A2301,7581,359
2014-09-12$27.22$20.0032.6%8.2%20.0%32.4%27.5%1.2%-3.1%-6.3K-2.0M-8.9K0.3561.60N/AN/A49171,7581,329
2014-09-15$26.91$20.0036.8%10.0%20.6%42.8%35.1%2.2%-3.4%23.5K-2.1M-8.6K0.0096.73N/AN/A1801,8071,312
2014-09-16$26.71$20.0040.4%8.4%21.0%51.7%0.0%-1.8%-14.0%26.0K-2.0M-8.5K7.9589.90N/AN/A201591,8021,312
2014-09-17$26.66$20.0040.8%8.4%19.4%52.7%0.0%18.9%-11.1%35.8K-2.0M-8.4K0.1588.93N/AN/A4061,8221,244
2014-09-18$26.86$20.0036.2%7.8%18.7%41.5%26.0%-1.2%-5.4%35.8K-2.1M-8.4K0.3092.80N/AN/A3091,8051,185
2014-09-19$26.33$25.0037.0%7.9%20.3%43.3%0.0%7.6%-8.7%8.3K-1.8M-8.4K6.9177.54N/AN/A221521,8101,194
2014-09-22$25.96$25.0037.3%7.6%19.4%44.0%0.0%11.5%-6.8%24.0K-1.1M-8.1K1.7895.82N/AN/A18321,228528
2014-09-23$25.51$25.0034.8%7.5%19.0%37.9%0.0%6.9%-5.6%21.4K-953.9K-8.5K14.86101.34N/AN/A71041,213550
2014-09-24$25.43$25.0035.0%7.7%19.0%38.3%26.7%8.6%-5.6%3.2K-693.1K-8.5K3.6072.83N/AN/A15541,220644
2014-09-25$25.42$25.0035.5%7.7%19.1%39.6%0.0%7.7%-5.8%3.5K-766.7K-8.9K0.0079.22N/AN/A071,224690
2014-09-26$25.67$25.0036.0%7.9%18.8%40.8%0.0%4.5%-7.0%6.6K-852.5K-8.9K0.0084.34N/AN/A0301,224690
2014-09-29$25.38$25.0037.1%7.9%18.8%43.6%30.1%0.8%-7.3%-1.4K-649.2K-8.3K11.4071.68N/AN/A151711,224680
2014-09-30$25.06$25.0038.1%8.0%17.5%46.1%0.0%8.1%-8.8%-434-598.1K-8.8K0.0093.53N/AN/A001,234730