WWW Options History — April 2015

In April 2015, WWW traded between $30.75 and $34.32. ATM implied volatility averaged 31.8%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 12.3% (HV 20d: 19.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 7.22.

Notable Days

  • 2015-04-21: Highest Volume — 3,539 contracts
  • 2015-04-07: Largest IV spike — 79.4% change
  • 2015-04-07: Highest IV Rank — 58.5%
  • 2015-04-01: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.61$30.75$34.32$32.95$30.76
Max Pain$34.76$30.00$35.00$30.00$35.00
ATM IV31.8%23.1%52.6%41.2%25.9%
Expected Move8.9%7.1%11.8%11.8%7.4%
HV 20d19.5%15.1%33.9%19.6%33.7%
HV 60d25.6%22.9%29.2%27.6%28.4%
IV Rank24.3%10.0%58.5%39.7%14.6%
IV Percentile52.8%9.5%98.0%85.7%22.2%
Term Structure-2.1%-8.6%9.6%-0.9%-0.2%
VWIV31.1%24.8%37.1%34.4%26.0%
Skew 25d4.5%-3.8%10.1%3.9%-0.2%
Skew 10d8.9%-5.0%27.2%4.5%2.9%
Call IV 25d30.8%27.5%35.7%29.3%27.5%
Put IV 25d35.3%27.3%44.5%33.2%27.3%
Bid-Ask Spread %92.1557.65120.77120.7794.49
Gamma HHI0.550.360.890.360.89
Net GEX-73.4K-525.2K55.0K27.5K-525.2K
Net DEX380.4K-1.1M5.0M-818.5K5.0M
Net VEX-10.4K-23.2K-4.2K-5.1K-23.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.220.5150.290.8411.68
Total Volume898.09503,5394262,891
Total OI2,894.1431,3116,2401,3116,240

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$32.95$30.0041.2%11.8%19.6%39.7%34.4%3.9%-0.9%27.5K-818.5K-5.1K0.84120.77N/AN/A231195646665
2015-04-02$33.15$35.0023.1%8.5%19.5%10.0%29.4%5.2%-2.2%49.2K-1.1M-5.6K0.8492.83N/AN/A231195802665
2015-04-06$33.15$35.0029.3%8.5%18.1%20.2%29.8%6.0%-2.8%51.1K-1.1M-5.4K0.7588.60N/AN/A260195802665
2015-04-07$33.00$35.0052.6%8.6%18.4%58.5%29.6%3.3%-2.9%49.7K-1.0M-5.7K0.5688.27N/AN/A262148832665
2015-04-08$32.93$35.0031.1%8.9%18.5%23.2%0.0%5.7%-3.0%52.1K-1.0M-5.7K0.0092.49N/AN/A00851665
2015-04-09$32.90$35.0030.5%8.8%16.6%22.2%29.0%5.4%-2.6%51.5K-1.1M-5.6K0.5687.48N/AN/A262148851665
2015-04-10$32.82$35.0028.1%8.0%15.8%18.2%31.6%5.4%-1.4%51.6K-1.0M-5.5K0.5185.27N/AN/A262133851665
2015-04-13$32.91$35.0029.8%8.5%15.1%20.9%32.6%5.4%-1.7%52.5K-1.0M-5.4K0.5187.24N/AN/A262133851675
2015-04-14$32.63$35.0034.7%9.9%15.6%29.0%33.6%5.2%-2.9%47.0K-953.1K-5.5K0.52102.02N/AN/A256133851675
2015-04-15$32.33$35.0031.5%9.0%16.1%23.8%28.6%7.8%4.0%48.3K-916.2K-5.1K0.5298.81N/AN/A256133853675
2015-04-16$32.14$35.0035.5%10.2%16.4%30.4%32.3%1.8%-8.6%55.0K-816.4K-4.2K0.6991.27N/AN/A244168853675
2015-04-17$31.87$35.0034.3%9.8%15.9%28.4%32.2%3.2%-3.6%40.8K-683.4K-4.8K0.6596.18N/AN/A244158854725
2015-04-20$32.23$35.0030.0%8.6%15.8%21.3%31.0%4.7%9.6%44.0K-607.3K-4.9K49.9691.62N/AN/A693,447793706
2015-04-21$32.60$35.0028.8%8.3%16.0%19.4%33.6%2.3%-5.9%-194.0K2.1M-19.3K50.2957.65N/AN/A693,4708043,996
2015-04-22$32.78$35.0033.5%9.6%15.8%27.0%36.2%3.5%-7.4%-171.6K2.2M-19.5K5.30101.35N/AN/A693668044,006
2015-04-23$33.26$35.0031.1%8.9%16.5%23.1%28.5%7.9%-3.2%-200.5K792.0K-15.7K4.4191.90N/AN/A833668044,260
2015-04-24$34.32$35.0031.8%9.1%19.2%24.3%32.9%10.1%-4.1%-139.8K1.4M-18.8K0.7899.33N/AN/A1481157834,260
2015-04-27$33.93$35.0032.6%9.4%19.1%25.6%37.1%8.3%-4.1%-137.7K1.2M-18.2K1.8692.38N/AN/A641198554,264
2015-04-28$31.30$35.0028.1%8.1%33.8%18.2%28.5%-3.8%-0.1%-345.8K3.3M-17.8K1.5291.60N/AN/A711088554,255
2015-04-29$30.75$35.0024.8%7.1%33.9%12.7%24.8%3.0%0.1%-448.0K4.2M-18.1K11.7083.58N/AN/A2282,6688544,261
2015-04-30$30.76$35.0025.9%7.4%33.7%14.6%26.0%-0.2%-0.2%-525.2K5.0M-23.2K11.6894.49N/AN/A2282,6639265,314