WWW Options History — August 2015

In August 2015, WWW traded between $25.12 and $29.25. ATM implied volatility averaged 29.2%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 0.1% (HV 20d: 29.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2015-08-12: Highest Volume — 298 contracts
  • 2015-08-24: Largest IV spike — 51.6% change
  • 2015-08-24: Highest IV Rank — 50.8%
  • 2015-08-24: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.84$25.12$29.25$28.54$27.00
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV29.2%21.1%47.8%22.1%34.8%
Expected Move8.3%6.1%13.7%6.3%10.0%
HV 20d29.1%24.9%35.0%26.0%34.4%
HV 60d22.7%20.0%26.9%20.1%26.5%
IV Rank20.4%7.3%50.8%9.0%29.7%
IV Percentile43.3%3.2%96.4%7.9%78.6%
Term Structure2.5%-5.6%22.6%1.3%10.0%
VWIV30.2%20.5%47.6%20.5%42.7%
Skew 25d-0.8%-8.4%8.5%-6.3%5.6%
Skew 10d2.2%-8.5%24.6%-8.1%24.6%
Call IV 25d29.6%22.9%48.8%26.3%35.9%
Put IV 25d28.8%18.6%49.8%19.9%41.5%
Bid-Ask Spread %100.0691.36112.12107.6998.43
Gamma HHI0.560.460.650.460.57
Net GEX2.2K-13.2K24.0K-148-8.7K
Net DEX476.2K158.8K774.9K434.3K744.6K
Net VEX-3.5K-4.1K-2.6K-3.7K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.001.220.471.10
Total Volume163.4292329853166
Total OI1,251.8571,1121,3971,2271,123

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$28.54$30.0022.1%6.3%26.0%9.0%0.0%-6.3%1.3%-148434.3K-3.7K0.47107.69N/AN/A3617576651
2015-08-04$28.36$30.0021.1%6.1%25.7%7.3%20.5%-3.7%-1.5%1.3K396.4K-3.6K1.2296.28N/AN/A6073574644
2015-08-05$28.24$30.0028.0%8.0%25.4%18.6%30.0%-8.4%-5.6%-2.7K434.5K-3.5K1.1899.27N/AN/A6273574644
2015-08-06$28.09$30.0021.9%6.1%25.4%8.5%20.8%-5.2%0.8%-7.2K556.1K-3.4K1.18103.54N/AN/A6273577644
2015-08-07$28.08$30.0026.3%6.7%24.9%15.7%23.5%1.6%-0.1%-5.9K609.2K-3.2K1.18100.72N/AN/A6273577644
2015-08-10$29.25$30.0025.0%6.9%28.9%13.6%24.2%0.2%1.8%10.3K180.9K-3.7K0.37102.48N/AN/A20475577644
2015-08-11$28.96$30.0024.5%6.9%29.0%12.8%24.3%-1.4%1.2%22.6K180.6K-4.1K0.0099.24N/AN/A230703646
2015-08-12$28.60$30.0024.1%6.9%29.3%12.1%24.2%-2.4%3.3%10.4K317.7K-3.9K0.3998.48N/AN/A21583692646
2015-08-13$28.81$30.0024.9%7.1%29.2%13.4%25.0%-2.0%2.1%24.0K227.0K-4.1K0.4297.54N/AN/A19683692654
2015-08-14$29.04$30.0025.2%7.2%29.3%13.9%25.2%-1.1%1.7%21.6K189.1K-4.0K0.7198.63N/AN/A11783696654
2015-08-17$29.18$30.0024.5%7.0%28.4%12.9%24.9%1.4%2.0%23.1K158.8K-3.9K0.68101.76N/AN/A12283696654
2015-08-18$29.01$30.0024.4%7.0%27.2%12.7%25.3%-0.1%2.1%22.5K245.7K-3.7K0.69104.59N/AN/A12083701654
2015-08-19$28.62$30.0024.3%7.0%26.6%12.5%0.0%-1.8%2.3%12.3K358.6K-3.6K0.0099.69N/AN/A400703654
2015-08-20$27.55$30.0025.6%7.3%28.7%14.6%24.6%-5.8%-0.5%-10.8K539.6K-3.7K0.50112.12N/AN/A14673739654
2015-08-21$26.88$30.0031.5%9.0%29.8%24.3%32.7%4.2%5.7%-10.9K732.5K-3.3K0.5392.43N/AN/A14677738659
2015-08-24$25.85$30.0047.8%13.7%31.1%50.8%47.6%8.5%22.6%-11.1K727.9K-3.0K0.7598.46N/AN/A8161515597
2015-08-25$25.12$30.0045.3%13.0%29.8%46.8%42.9%-4.7%-4.3%-11.8K741.8K-3.0K0.7499.08N/AN/A8160517607
2015-08-26$25.91$30.0042.2%12.1%32.3%41.8%46.6%4.5%-3.5%-13.2K774.9K-2.9K0.7491.36N/AN/A8160517606
2015-08-27$26.84$30.0032.4%9.3%35.0%25.7%35.6%-1.3%10.0%-10.8K705.5K-2.9K0.7497.12N/AN/A8160517606
2015-08-28$26.75$30.0036.6%10.5%35.0%32.6%33.2%1.1%1.1%-9.0K744.0K-2.7K0.74102.36N/AN/A8160517606
2015-08-31$27.00$30.0034.8%10.0%34.4%29.7%42.7%5.6%10.0%-8.7K744.6K-2.6K1.1098.43N/AN/A7987517606