WWW Options History — March 2015

In March 2015, WWW traded between $29.62 and $33.50. ATM implied volatility averaged 26.4%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.0% (HV 20d: 24.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2015-03-31: Highest Volume — 323 contracts
  • 2015-03-11: Largest IV spike — 62.8% change
  • 2015-03-27: Highest IV Rank — 32.5%
  • 2015-03-27: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.06$29.62$33.50$30.82$33.50
Max Pain$29.32$25.00$30.00$25.00$30.00
ATM IV26.4%17.0%36.8%27.0%26.0%
Expected Move7.9%7.0%10.6%7.8%7.5%
HV 20d24.4%16.6%32.9%32.9%18.8%
HV 60d27.2%26.9%27.7%27.0%27.6%
IV Rank14.6%0.0%32.5%13.0%14.8%
IV Percentile28.2%0.0%74.6%31.0%21.4%
Term Structure1.6%-7.8%9.8%0.4%6.0%
VWIV28.4%22.4%41.2%27.1%29.4%
Skew 25d7.7%-1.1%41.0%1.8%8.4%
Skew 10d19.2%0.4%75.9%6.4%5.5%
Call IV 25d24.2%19.5%30.9%27.0%23.3%
Put IV 25d31.9%24.2%67.0%28.8%31.7%
Bid-Ask Spread %104.7898.59118.67101.20112.94
Gamma HHI0.450.340.580.410.38
Net GEX41.9K21.5K71.8K31.3K29.7K
Net DEX-2.1M-3.2M-553.2K-2.7M-978.9K
Net VEX-4.3K-4.9K-3.6K-4.4K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.003.411.201.52
Total Volume91.2730323185323
Total OI1,814.7731,0632,1422,0361,315

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$30.82$25.0027.0%7.8%32.9%13.0%27.1%1.8%0.4%31.3K-2.7M-4.4K1.20101.20N/AN/A841011,299737
2015-03-03$30.68$25.0027.2%7.8%29.7%13.3%27.2%-1.1%1.7%38.9K-2.7M-4.7K0.94109.08N/AN/A1071011,355737
2015-03-04$30.37$25.0026.4%7.6%30.0%11.8%26.4%0.7%2.7%40.5K-2.6M-4.6K0.94105.29N/AN/A1071011,355737
2015-03-05$30.30$30.0026.2%7.5%29.5%11.5%26.2%1.1%1.1%42.8K-2.6M-4.6K0.64101.82N/AN/A134861,355737
2015-03-06$29.85$30.0021.1%7.4%30.1%2.9%25.8%0.3%1.5%47.4K-2.4M-4.7K1.59104.56N/AN/A54861,385737
2015-03-09$30.12$30.0017.2%7.6%30.2%0.0%0.0%1.8%1.0%65.2K-2.5M-4.7K0.00102.45N/AN/A1001,387737
2015-03-10$30.17$30.0017.0%7.9%29.0%0.0%0.0%1.7%0.2%71.8K-2.6M-4.7K0.0099.46N/AN/A001,397737
2015-03-11$29.62$30.0027.7%7.9%28.1%17.6%0.0%-0.1%-0.9%52.1K-2.4M-4.4K0.0099.71N/AN/A001,397737
2015-03-12$30.23$30.0027.1%7.8%28.7%16.5%0.0%2.6%0.7%55.0K-2.7M-4.5K0.0099.53N/AN/A801,397737
2015-03-13$29.96$30.0027.3%7.8%29.0%16.9%0.0%1.5%-0.1%45.4K-2.5M-4.3K0.0098.89N/AN/A001,399737
2015-03-16$30.27$30.0028.6%8.2%28.8%19.0%0.0%3.6%-0.5%53.2K-2.7M-4.3K0.0099.12N/AN/A201,399737
2015-03-17$30.56$30.0029.6%8.5%28.4%20.7%28.9%41.0%-1.5%59.4K-2.8M-3.9K0.00115.72N/AN/A601,399737
2015-03-18$30.58$30.0027.7%7.9%26.1%17.5%0.0%5.2%0.0%66.3K-2.9M-3.9K0.0098.59N/AN/A2001,405737
2015-03-19$31.10$30.0029.2%8.4%16.7%20.0%0.0%17.7%0.0%33.4K-3.1M-3.9K0.00106.62N/AN/A1101,391737
2015-03-20$31.50$30.0027.6%7.9%16.6%17.3%27.6%9.1%0.5%23.2K-3.2M-3.6K1.94100.53N/AN/A18351,381737
2015-03-23$31.78$30.0029.0%8.3%16.7%19.6%0.0%10.4%1.4%21.5K-553.2K-4.0K0.00107.66N/AN/A770491572
2015-03-24$32.08$30.0024.5%7.0%16.8%12.3%0.0%8.0%9.8%28.4K-733.8K-4.4K1.17102.16N/AN/A1214563572
2015-03-25$32.11$30.0026.1%7.5%16.7%15.0%0.0%9.4%9.3%28.9K-748.1K-4.4K0.00104.04N/AN/A90575586
2015-03-26$31.89$30.0026.8%7.7%17.1%16.0%29.8%8.6%7.7%29.8K-694.1K-4.3K3.41107.09N/AN/A34116570586
2015-03-27$32.47$30.0036.8%10.6%17.6%32.5%22.4%26.6%-7.8%27.6K-782.8K-4.3K2.27118.67N/AN/A1125571586
2015-03-30$33.25$30.0024.3%7.0%19.0%12.0%41.2%10.6%2.3%30.8K-949.5K-4.2K1.61110.09N/AN/A121195571611
2015-03-31$33.50$30.0026.0%7.5%18.8%14.8%29.4%8.4%6.0%29.7K-978.9K-4.9K1.52112.94N/AN/A128195650665