WWW Options History — June 2015

In June 2015, WWW traded between $28.47 and $29.56. ATM implied volatility averaged 26.7%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 9.9% (HV 20d: 16.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.64.

Notable Days

  • 2015-06-26: Highest Volume — 790 contracts
  • 2015-06-29: Largest IV drop — 16.2% change
  • 2015-06-24: Highest IV Rank — 21.5%
  • 2015-06-24: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.10$28.47$29.56$29.12$28.47
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV26.7%20.8%30.1%25.9%21.1%
Expected Move7.8%6.0%8.6%7.4%6.0%
HV 20d16.8%14.8%18.8%14.8%18.8%
HV 60d23.7%22.8%24.5%24.2%23.4%
IV Rank15.8%6.1%21.5%14.6%6.6%
IV Percentile34.4%1.2%60.3%25.0%2.4%
Term Structure-1.1%-3.4%4.0%1.5%3.2%
VWIV27.7%21.5%30.2%26.6%24.4%
Skew 25d3.1%-5.9%13.7%-1.1%-4.7%
Skew 10d3.5%-9.2%19.2%-4.7%-8.5%
Call IV 25d27.2%25.4%30.7%27.5%25.9%
Put IV 25d30.3%21.2%41.2%26.4%21.2%
Bid-Ask Spread %97.3689.30102.5598.2997.73
Gamma HHI0.650.370.860.690.59
Net GEX-122.0K-247.1K33.4K-166.1K33.4K
Net DEX2.0M349.4K3.5M2.4M698.9K
Net VEX-6.4K-7.9K-4.9K-7.3K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.640.2310.075.130.23
Total Volume383.31863790374376
Total OI2,747.51,1233,6873,1151,903

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$29.12$30.0025.9%7.4%14.8%14.6%26.6%-1.1%1.5%-166.1K2.4M-7.3K5.1398.29N/AN/A613139672,148
2015-06-02$29.06$30.0026.6%7.6%14.8%15.7%0.0%0.5%0.4%-162.1K2.5M-7.3K0.6698.24N/AN/A38259822,146
2015-06-03$29.35$30.0024.6%7.0%15.2%12.4%25.5%2.4%2.5%-179.9K2.2M-7.5K4.44100.01N/AN/A793511,0202,178
2015-06-04$28.67$30.0021.7%7.8%16.8%7.7%27.3%6.9%-1.6%-171.5K2.7M-7.0K1.5096.47N/AN/A2143221,0202,226
2015-06-05$28.83$30.0023.9%7.7%15.7%11.3%27.1%9.1%-1.4%-152.9K2.8M-7.9K1.4291.38N/AN/A2143041,1902,264
2015-06-08$29.10$30.0025.2%8.0%16.3%13.5%28.1%9.8%-1.6%-178.3K2.6M-7.8K1.7993.64N/AN/A1703041,1922,274
2015-06-09$29.06$30.0027.7%8.1%16.2%17.6%28.5%9.5%-2.5%-171.7K2.7M-7.3K1.7595.53N/AN/A1743041,1862,274
2015-06-10$29.56$30.0027.7%7.9%17.6%17.5%27.9%11.8%-1.9%-213.9K2.0M-7.8K1.7095.93N/AN/A1742951,1902,274
2015-06-11$29.36$30.0028.6%8.2%17.5%19.0%28.8%0.1%-2.7%-205.9K2.4M-7.4K1.71101.45N/AN/A1732951,1902,264
2015-06-12$29.34$30.0028.0%8.0%17.4%18.0%28.2%11.3%-2.3%-208.2K2.5M-7.0K3.7897.52N/AN/A782951,1912,264
2015-06-15$29.09$30.0029.5%8.5%17.6%20.5%30.2%11.1%-3.4%-187.1K2.7M-6.4K5.00102.55N/AN/A592951,2162,264
2015-06-16$29.30$30.0028.1%8.1%17.6%18.3%28.3%10.8%-2.2%-223.8K2.7M-6.1K5.09102.23N/AN/A582951,2162,264
2015-06-17$29.02$30.0029.1%8.4%17.8%19.9%29.4%1.3%-3.4%-190.4K2.6M-6.0K10.07100.87N/AN/A545441,2192,264
2015-06-18$29.20$30.0028.2%8.1%17.7%18.4%29.0%13.7%-2.6%-247.1K3.1M-5.7K8.6397.88N/AN/A635441,2192,468
2015-06-19$29.24$30.0028.9%8.3%17.7%19.5%29.4%-5.4%-3.2%-17.0K3.5M-4.9K1.1989.30N/AN/A63751,2192,218
2015-06-22$29.09$30.0027.2%7.8%17.6%16.7%27.8%-5.9%-0.4%-18.3K531.2K-4.9K1.3192.36N/AN/A4255414709
2015-06-23$29.45$30.0029.6%8.5%15.7%20.7%29.1%-3.6%-3.2%-16.3K416.3K-5.0K0.7595.98N/AN/A8060420709
2015-06-24$29.04$30.0030.1%8.6%15.9%21.5%30.0%-3.3%-3.4%-14.0K491.9K-5.1K0.7599.52N/AN/A8060460714
2015-06-25$29.06$30.0029.0%8.3%15.8%19.6%29.1%0.7%-2.1%-14.5K491.6K-4.9K0.4999.51N/AN/A12260459714
2015-06-26$29.33$30.0024.8%7.1%16.1%12.7%24.8%-2.9%2.6%-10.1K349.4K-5.1K0.3098.43N/AN/A607183483714
2015-06-29$28.48$30.0020.8%6.0%18.8%6.1%21.5%-4.3%4.0%31.8K515.3K-6.1K0.4097.09N/AN/A340135913826
2015-06-30$28.47$30.0021.1%6.0%18.8%6.6%24.4%-4.7%3.2%33.4K698.9K-6.1K0.2397.73N/AN/A305711,020883