WWW Options History — July 2015

In July 2015, WWW traded between $27.98 and $29.49. ATM implied volatility averaged 25.2%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.8% (HV 20d: 20.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2015-07-01: Highest Volume — 357 contracts
  • 2015-07-24: Largest IV spike — 28.8% change
  • 2015-07-08: Highest IV Rank — 27.7%
  • 2015-07-20: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.90$27.98$29.49$28.81$29.29
Max Pain$28.64$25.00$30.00$30.00$30.00
ATM IV25.2%16.6%33.9%23.6%21.8%
Expected Move7.2%4.8%8.4%6.8%6.2%
HV 20d20.3%17.3%24.9%19.0%24.3%
HV 60d22.4%17.7%24.3%23.6%19.7%
IV Rank13.6%0.0%27.7%10.8%8.4%
IV Percentile27.8%0.0%74.2%10.7%6.0%
Term Structure-0.4%-2.6%5.3%3.1%0.8%
VWIV25.9%14.6%34.3%24.7%21.8%
Skew 25d2.2%-5.4%31.2%-5.4%-2.9%
Skew 10d2.0%-9.2%43.9%-9.2%-6.2%
Call IV 25d25.8%19.8%33.0%28.3%23.6%
Put IV 25d28.0%16.9%54.0%23.0%20.7%
Bid-Ask Spread %100.2484.76114.25103.5495.10
Gamma HHI0.590.410.840.590.46
Net GEX41.7K-2.4K147.5K34.5K9.4K
Net DEX405.7K11.1K932.6K674.2K97.3K
Net VEX-4.9K-6.1K-3.9K-6.0K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.253.780.251.43
Total Volume181.364107357357107
Total OI1,690.4551,1132,1621,8921,227

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$28.81$30.0023.6%6.8%19.0%10.8%24.7%-5.4%3.1%34.5K674.2K-6.0K0.25103.54N/AN/A28671997895
2015-07-02$28.44$30.0022.4%6.4%17.6%8.8%22.5%-3.7%5.3%56.4K664.3K-6.1K0.36102.42N/AN/A199711,131895
2015-07-06$28.70$30.0024.7%8.2%17.8%12.6%28.6%7.1%-2.2%58.2K612.7K-5.9K0.3692.45N/AN/A199711,183900
2015-07-07$29.00$30.0030.5%8.1%17.9%22.1%28.3%9.1%-1.6%67.9K430.9K-6.1K0.5096.31N/AN/A162811,203900
2015-07-08$28.65$30.0033.9%8.4%18.4%27.7%29.2%-1.0%-1.3%57.3K594.5K-5.9K0.50108.46N/AN/A162811,203910
2015-07-09$28.80$30.0030.4%8.3%17.3%22.0%29.1%6.9%-2.1%66.3K493.6K-5.8K0.5393.44N/AN/A152811,203910
2015-07-10$29.14$30.0025.0%7.8%17.8%13.0%26.8%-0.8%-0.8%92.7K457.4K-5.8K0.68101.66N/AN/A120811,212910
2015-07-13$29.47$25.0026.8%8.1%18.3%16.1%28.9%0.1%-1.9%147.5K122.4K-5.7K0.8196.22N/AN/A100811,240910
2015-07-14$29.30$25.0028.4%8.1%18.1%18.7%33.6%-1.5%-2.6%120.3K354.4K-5.4K0.81108.06N/AN/A100811,245910
2015-07-15$29.15$25.0028.1%8.0%18.0%18.1%29.4%-1.3%-2.3%109.1K522.1K-5.0K0.70104.48N/AN/A116811,245910
2015-07-16$28.84$25.0028.4%8.1%18.1%18.7%33.4%-3.1%-2.4%71.1K724.8K-4.8K0.70104.64N/AN/A116811,252910
2015-07-17$28.76$25.0027.8%8.0%18.0%17.7%34.3%7.3%-2.1%283932.6K-4.5K0.69100.10N/AN/A117811,252882
2015-07-20$28.22$25.0029.3%8.4%19.1%20.2%29.4%3.7%-2.6%-2.4K333.9K-4.2K3.7899.31N/AN/A27102525588
2015-07-21$28.92$30.0023.6%6.8%21.2%10.8%23.6%7.1%-1.0%-2.1K266.8K-4.3K2.5390.33N/AN/A3896535641
2015-07-22$29.49$30.0021.5%6.2%21.9%7.4%21.5%31.2%0.6%11.0K11.1K-4.4K0.9684.76N/AN/A7370554610
2015-07-23$28.84$30.0016.6%4.8%22.8%0.0%14.6%-3.0%2.9%3.9K267.3K-4.1K1.1998.16N/AN/A5970558633
2015-07-24$28.81$30.0021.4%6.1%22.8%7.8%20.4%-1.9%-0.9%2.3K284.6K-4.2K1.27112.30N/AN/A5975579633
2015-07-27$27.98$30.0022.1%6.3%24.6%8.9%22.3%-1.4%0.7%-909453.1K-3.9K1.07114.25N/AN/A5963577638
2015-07-28$28.79$30.0022.3%6.4%24.8%9.3%22.3%1.7%0.7%2.6K299.5K-4.2K1.43105.19N/AN/A4463577651
2015-07-29$29.02$30.0022.4%6.4%24.9%9.4%22.4%4.5%0.4%4.4K242.0K-4.2K1.4398.11N/AN/A4463577651
2015-07-30$29.32$30.0022.8%6.5%24.8%10.1%22.8%-3.5%-0.5%8.0K86.5K-4.2K1.4395.98N/AN/A4463577651
2015-07-31$29.29$30.0021.8%6.2%24.3%8.4%21.8%-2.9%0.8%9.4K97.3K-4.1K1.4395.10N/AN/A4463576651