WWW Options History — December 2014

In December 2014, WWW traded between $28.79 and $30.47. ATM implied volatility averaged 27.8%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.9% (HV 20d: 20.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2014-12-17: Highest Volume — 279 contracts
  • 2014-12-11: Largest IV spike — 37.4% change
  • 2014-12-18: Highest IV Rank — 26.6%
  • 2014-12-24: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.69$28.79$30.47$30.23$29.47
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV27.8%21.3%35.0%23.9%30.7%
Expected Move8.2%7.0%9.4%7.9%9.3%
HV 20d20.0%14.7%22.8%22.8%16.5%
HV 60d23.7%22.2%24.5%23.9%22.2%
IV Rank14.4%3.3%26.6%7.7%19.3%
IV Percentile38.1%4.8%67.9%16.3%52.8%
Term Structure-0.2%-6.6%4.1%1.8%1.7%
VWIV27.4%23.8%31.4%25.2%26.8%
Skew 25d9.6%-8.1%41.9%36.2%-0.2%
Skew 10d17.9%-13.2%79.0%65.4%-0.6%
Call IV 25d28.6%23.3%39.5%28.7%31.5%
Put IV 25d38.1%23.0%67.5%64.8%31.3%
Bid-Ask Spread %88.1775.48106.8776.4390.79
Gamma HHI0.610.430.810.680.46
Net GEX110.2K26.4K318.0K120.1K27.9K
Net DEX-2.5M-3.2M-1.9M-3.2M-2.0M
Net VEX-5.4K-5.9K-4.7K-4.7K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.042.212.210.20
Total Volume152.409027920230
Total OI1,976.2271,5022,3772,0071,568

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$30.23$25.0023.9%7.9%22.8%7.7%25.2%36.2%1.8%120.1K-3.2M-4.7K2.2176.43N/AN/A631391,450557
2014-12-02$30.30$25.0024.4%8.0%22.4%8.5%25.1%41.9%1.5%107.5K-3.1M-5.5K1.3376.62N/AN/A1081441,459650
2014-12-03$30.47$25.0023.1%7.7%20.4%6.2%23.8%24.6%2.6%114.9K-3.2M-5.1K0.9075.48N/AN/A70631,464655
2014-12-04$30.13$25.0022.2%7.7%21.3%4.8%26.4%37.0%4.1%131.4K-2.9M-5.8K0.0488.77N/AN/A9841,464655
2014-12-05$29.57$25.0022.8%7.7%22.6%5.8%26.5%-0.2%0.6%112.2K-2.6M-5.3K1.0286.33N/AN/A65661,426659
2014-12-08$29.26$25.0024.6%7.9%22.7%8.9%28.2%-2.0%-0.2%103.7K-2.4M-5.1K0.5686.47N/AN/A79441,421663
2014-12-09$29.26$25.0024.3%8.0%22.2%8.4%27.7%-0.1%-0.1%101.6K-2.3M-5.3K0.3784.83N/AN/A132491,442670
2014-12-10$28.79$25.0021.3%8.2%22.5%3.3%31.4%-4.4%-0.6%114.8K-2.2M-5.3K0.3383.63N/AN/A132441,489676
2014-12-11$28.98$25.0029.3%8.2%22.4%16.9%27.9%-4.3%-0.9%129.1K-2.3M-5.1K0.3589.14N/AN/A124441,489674
2014-12-12$29.38$25.0028.4%8.2%22.5%15.3%26.0%10.1%0.4%194.1K-2.5M-5.5K0.5181.42N/AN/A87441,510674
2014-12-15$29.30$25.0030.2%8.2%22.6%18.5%27.8%2.3%-1.6%147.2K-2.3M-5.1K0.4285.72N/AN/A107451,520674
2014-12-16$29.58$25.0031.2%8.6%22.3%20.1%29.0%0.3%-1.1%154.0K-2.5M-5.2K0.3693.19N/AN/A132471,537671
2014-12-17$29.65$25.0030.1%8.5%21.9%18.2%29.6%3.6%-0.4%177.5K-2.6M-5.9K0.2090.84N/AN/A232471,700672
2014-12-18$29.86$25.0035.0%8.1%19.9%26.6%28.8%3.1%-6.6%318.0K-2.9M-5.5K0.7592.04N/AN/A63471,700672
2014-12-19$29.72$25.0029.8%7.7%18.7%17.8%26.8%10.8%-3.0%200.8K-2.9M-5.4K0.3584.56N/AN/A68241,705672
2014-12-22$29.66$0.0029.8%7.0%17.1%17.7%0.0%15.2%-5.4%30.9K-1.9M-5.7K0.54106.87N/AN/A106571,156346
2014-12-23$29.95$0.0029.9%7.1%16.3%17.9%0.0%13.4%-5.3%29.6K-2.1M-5.2K0.7792.84N/AN/A112861,159346
2014-12-24$29.65$0.0029.4%9.4%16.1%17.1%0.0%12.8%3.0%28.4K-2.0M-5.7K0.7794.62N/AN/A111861,189359
2014-12-26$29.89$0.0029.8%9.3%14.7%17.6%0.0%13.9%2.5%28.0K-2.0M-5.5K0.9596.59N/AN/A91861,189359
2014-12-29$30.28$0.0031.7%9.2%15.5%20.9%0.0%4.8%0.2%26.5K-2.3M-5.0K0.9595.37N/AN/A91861,209359
2014-12-30$29.86$0.0030.5%9.2%15.9%19.0%0.0%-8.1%1.6%26.4K-2.1M-5.6K0.0087.14N/AN/A001,209359
2014-12-31$29.47$0.0030.7%9.3%16.5%19.3%0.0%-0.2%1.7%27.9K-2.0M-5.4K0.2090.79N/AN/A2551,209359