WWW Options History — October 2014

In October 2014, WWW traded between $24.58 and $27.16. ATM implied volatility averaged 39.2%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 12.3% (HV 20d: 26.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 2.49.

Notable Days

  • 2014-10-13: Highest Volume — 1,695 contracts
  • 2014-10-14: Largest IV drop — 45.9% change
  • 2014-10-13: Highest IV Rank — 100.0%
  • 2014-10-21: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.75$24.58$27.16$24.62$27.16
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV39.2%24.9%77.9%39.8%28.1%
Expected Move8.4%7.4%9.6%8.2%8.6%
HV 20d26.9%17.1%30.9%17.1%27.8%
HV 60d24.8%23.8%25.6%24.6%24.7%
IV Rank41.0%9.3%100.0%50.3%14.9%
IV Percentile72.2%26.6%100.0%86.9%44.0%
Term Structure-3.8%-25.2%6.6%-9.7%3.8%
VWIV30.5%27.6%34.0%28.7%29.3%
Skew 25d5.7%-7.5%16.6%9.9%16.5%
Skew 10d8.3%-9.0%38.5%19.9%18.8%
Call IV 25d28.5%17.3%36.1%35.3%17.3%
Put IV 25d34.2%24.5%49.8%45.2%33.8%
Bid-Ask Spread %87.0967.10117.8780.5173.06
Gamma HHI0.500.360.900.450.55
Net GEX-16.2K-225.6K27.3K15615.9K
Net DEX-1.0M-1.5M-375.2K-375.2K-1.5M
Net VEX-8.1K-9.3K-6.7K-8.6K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.490.005.130.641.19
Total Volume245.82601,6954136
Total OI2,248.4781,7863,3121,9642,034

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$24.62$25.0039.8%8.2%17.1%50.3%0.0%9.9%-9.7%156-375.2K-8.6K0.0080.51N/AN/A041,234730
2014-10-02$25.39$25.0041.0%7.9%19.7%53.2%0.0%16.6%-11.3%2.6K-685.5K-8.7K0.6473.46N/AN/A1781141,234732
2014-10-03$25.56$25.0041.9%8.2%20.0%55.4%28.7%6.1%-11.4%24.4K-1.1M-8.9K0.1174.85N/AN/A1821,408690
2014-10-06$24.96$25.0044.9%7.9%21.2%62.7%27.6%-0.1%-3.1%19.2K-774.5K-8.4K2.8868.72N/AN/A32921,411691
2014-10-07$24.58$25.0047.9%7.8%21.4%70.3%0.0%4.1%-2.7%17.2K-550.8K-8.5K5.0084.52N/AN/A2101,429771
2014-10-08$25.50$25.0049.7%8.1%25.6%74.7%28.3%2.7%-2.2%19.6K-1.0M-8.6K2.5767.10N/AN/A862211,429771
2014-10-09$25.07$25.0050.9%8.0%25.6%77.6%0.0%3.2%-2.4%16.1K-797.8K-8.2K0.0071.33N/AN/A001,403771
2014-10-10$24.85$25.0057.2%8.5%25.6%93.2%0.0%6.6%1.0%18.8K-743.3K-8.4K0.0580.07N/AN/A2011,403771
2014-10-13$24.65$25.0077.9%9.1%25.5%100.0%31.7%11.8%-4.4%15.9K-599.2K-8.1K3.8387.27N/AN/A3511,3441,423771
2014-10-14$25.66$25.0042.2%7.8%30.0%38.8%30.7%1.7%-2.6%-102.7K-1.2M-9.0K2.7679.49N/AN/A1012791,6371,632
2014-10-15$25.42$25.0045.0%7.9%30.1%43.6%29.0%10.6%-2.3%-189.5K-638.3K-9.3K2.0496.53N/AN/A1312671,6391,673
2014-10-16$25.62$25.0035.9%8.9%30.1%28.1%0.0%1.7%-2.4%-126.7K-879.3K-8.9K0.0078.98N/AN/A4601,6011,651
2014-10-17$25.40$25.0029.6%8.4%29.5%17.4%0.0%-7.5%-0.2%-225.6K-1.5M-7.9K2.5078.30N/AN/A16401,5951,651
2014-10-20$25.77$25.0029.5%7.4%29.7%17.3%28.2%-2.6%-1.5%27.3K-1.0M-7.7K2.64113.21N/AN/A832191,239547
2014-10-21$26.44$25.0028.9%9.6%30.3%16.1%34.0%-0.2%-1.1%23.7K-1.2M-7.6K3.98117.87N/AN/A552191,246553
2014-10-22$26.16$25.0028.2%8.7%30.6%15.0%32.5%-2.1%-0.2%23.3K-1.3M-7.3K5.13110.00N/AN/A753851,247553
2014-10-23$26.51$25.0024.9%9.3%30.9%9.3%33.1%11.4%6.6%11.2K-1.2M-8.0K4.05113.98N/AN/A953851,278739
2014-10-24$26.43$25.0029.2%9.0%30.8%16.7%31.9%6.4%-4.1%7.6K-1.2M-7.9K5.1377.26N/AN/A552821,278739
2014-10-27$26.33$25.0028.4%8.1%30.5%15.3%0.0%8.3%0.6%9.0K-1.1M-7.7K2.5095.09N/AN/A4101,283739
2014-10-28$26.67$25.0034.8%8.1%30.2%26.2%28.4%6.9%-13.4%8.0K-1.2M-7.1K0.0090.70N/AN/A0221,284749
2014-10-29$26.65$25.0039.4%9.5%29.2%34.1%32.7%8.9%-25.2%2.8K-1.2M-7.2K1.51101.99N/AN/A57861,284744
2014-10-30$26.77$25.0026.9%8.5%27.5%12.8%31.8%10.8%1.7%9.9K-1.3M-7.0K1.3088.70N/AN/A57741,284744
2014-10-31$27.16$25.0028.1%8.6%27.8%14.9%29.3%16.5%3.8%15.9K-1.5M-6.7K1.1973.06N/AN/A62741,277757