WWW Options History — May 2015

In May 2015, WWW traded between $29.43 and $30.73. ATM implied volatility averaged 25.8%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 4.9% (HV 20d: 30.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 5.06.

Notable Days

  • 2015-05-01: Highest Volume — 2,891 contracts
  • 2015-05-13: Largest IV drop — 28.8% change
  • 2015-05-12: Highest IV Rank — 28.8%
  • 2015-05-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.19$29.43$30.73$30.73$29.44
Max Pain$30.25$30.00$35.00$35.00$30.00
ATM IV25.8%23.5%34.5%26.5%24.0%
Expected Move7.1%6.7%7.6%7.6%6.9%
HV 20d30.7%14.4%34.3%33.5%14.4%
HV 60d25.8%23.6%28.3%28.2%24.2%
IV Rank14.4%10.6%28.8%15.5%11.4%
IV Percentile23.5%10.3%71.4%26.6%12.7%
Term Structure2.3%-0.3%4.3%-0.3%3.2%
VWIV25.2%23.8%27.8%26.6%25.1%
Skew 25d0.9%-3.8%3.5%0.2%-3.8%
Skew 10d1.5%-6.5%7.3%7.3%-6.5%
Call IV 25d23.5%20.4%29.5%29.5%25.4%
Put IV 25d24.5%21.6%29.7%29.7%21.6%
Bid-Ask Spread %100.8793.12110.0298.57103.97
Gamma HHI0.680.580.770.580.73
Net GEX-137.3K-181.8K-82.8K-82.8K-181.5K
Net DEX1.4M851.8K2.2M851.8K2.2M
Net VEX-8.7K-10.1K-6.9K-7.3K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.060.0013.2211.684.12
Total Volume675.8102,8912,891384
Total OI3,018.352,5883,2902,5903,075

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$30.73$35.0026.5%7.6%33.5%15.5%26.6%0.2%-0.3%-82.8K851.8K-7.3K11.6898.57N/AN/A2282,6639261,664
2015-05-04$30.63$30.0027.8%7.4%33.5%17.6%25.8%2.3%0.8%-86.7K882.1K-6.9K0.50101.39N/AN/A70359261,662
2015-05-05$30.34$30.0026.7%7.4%33.5%15.8%25.8%1.6%1.1%-93.2K976.4K-7.3K13.2296.40N/AN/A2032,6839961,696
2015-05-06$30.03$30.0026.5%7.2%33.6%15.6%25.0%2.4%1.0%-104.0K1.2M-7.2K4.9594.45N/AN/A1386839961,696
2015-05-07$30.50$30.0027.0%7.4%34.3%16.4%26.2%3.5%1.3%-113.8K1.2M-10.1K3.1996.94N/AN/A1685361,0002,156
2015-05-08$30.37$30.0025.5%7.1%34.3%13.9%24.8%2.9%1.7%-119.2K1.3M-10.0K0.00105.71N/AN/A1001,0472,149
2015-05-11$30.41$30.0029.5%7.1%34.3%20.5%24.9%3.1%1.5%-122.4K1.2M-9.8K5.0097.97N/AN/A2101,0472,149
2015-05-12$30.28$30.0034.5%7.1%34.2%28.8%24.9%1.2%1.4%-127.2K1.4M-9.7K3.1998.54N/AN/A1685361,0472,156
2015-05-13$30.02$30.0024.6%7.1%34.2%12.4%26.4%1.9%1.5%-136.6K1.6M-9.6K3.19100.63N/AN/A1685361,0402,156
2015-05-14$30.13$30.0024.2%6.9%34.3%11.7%24.2%1.1%2.0%-141.1K1.5M-9.5K3.7097.45N/AN/A1686211,0402,156
2015-05-15$30.14$30.0024.5%7.0%34.3%12.2%24.6%1.3%1.5%-148.3K1.5M-9.7K3.7297.05N/AN/A1676211,0402,250
2015-05-18$30.34$30.0024.5%7.0%34.1%12.3%24.5%1.9%3.8%-148.1K1.2M-9.2K0.43104.86N/AN/A47208962,121
2015-05-19$30.40$30.0024.8%7.1%33.7%12.7%24.8%-0.4%3.6%-147.1K1.2M-9.0K1.40110.02N/AN/A20288922,121
2015-05-20$30.62$30.0024.1%6.9%33.8%11.6%25.1%1.8%4.2%-146.8K1.0M-8.8K11.20104.14N/AN/A465158922,135
2015-05-21$30.40$30.0024.1%6.9%33.1%11.7%24.8%1.2%3.8%-155.7K1.2M-8.8K11.73108.39N/AN/A455288942,135
2015-05-22$30.22$30.0023.5%6.7%30.3%10.6%24.0%2.0%3.8%-166.0K1.4M-8.6K4.98105.79N/AN/A613048942,135
2015-05-26$29.43$30.0025.6%7.3%31.1%14.1%27.8%-1.0%2.5%-164.8K2.1M-8.3K5.90108.85N/AN/A523079142,134
2015-05-27$29.78$30.0023.6%6.8%15.4%10.8%23.8%-2.3%4.3%-181.8K1.8M-8.3K4.6493.12N/AN/A663069232,144
2015-05-28$29.60$30.0024.3%7.0%14.4%12.0%24.8%-2.0%2.6%-179.6K1.9M-8.1K4.5793.20N/AN/A673069232,144
2015-05-29$29.44$30.0024.0%6.9%14.4%11.4%25.1%-3.8%3.2%-181.5K2.2M-7.8K4.12103.97N/AN/A753099312,144