WWW Options History — September 2015

In September 2015, WWW traded between $21.55 and $27.41. ATM implied volatility averaged 38.7%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 2.1% (HV 20d: 40.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2015-09-21: Highest Volume — 305 contracts
  • 2015-09-28: Largest IV spike — 33.4% change
  • 2015-09-28: Highest IV Rank — 49.5%
  • 2015-09-28: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.92$21.55$27.41$26.47$21.65
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV38.7%31.2%46.9%40.8%43.9%
Expected Move11.0%8.9%13.5%11.7%12.6%
HV 20d40.8%32.9%51.6%34.9%45.7%
HV 60d31.2%26.7%36.5%26.7%36.4%
IV Rank36.0%23.8%49.5%39.4%44.4%
IV Percentile83.5%64.3%96.0%90.1%92.5%
Term Structure-1.0%-9.5%11.0%3.3%-7.1%
VWIV38.6%24.2%69.0%40.4%69.0%
Skew 25d4.3%-5.1%13.2%0.9%6.6%
Skew 10d6.7%-11.0%20.4%-6.3%9.9%
Call IV 25d37.3%28.3%42.5%42.1%41.1%
Put IV 25d41.6%34.8%49.1%42.9%47.6%
Bid-Ask Spread %97.7483.46107.3896.54106.06
Gamma HHI0.530.350.780.540.35
Net GEX-8.6K-24.2K-2.8K-9.3K-3.9K
Net DEX660.7K274.1K1.1M786.2K442.2K
Net VEX-2.5K-3.0K-1.9K-2.7K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.001.391.100.59
Total Volume206.6510305166298
Total OI1,039.356561,2641,152815

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$26.47$30.0040.8%11.7%34.9%39.4%40.4%0.9%3.3%-9.3K786.2K-2.7K1.1096.54N/AN/A7987532620
2015-09-02$26.82$30.0045.5%13.0%35.4%47.1%41.1%5.1%-1.6%-9.1K736.3K-2.8K1.15102.98N/AN/A7991532620
2015-09-03$27.41$30.0042.8%9.6%36.4%42.6%29.2%-0.8%7.0%-10.1K685.9K-3.0K1.15105.49N/AN/A7991532639
2015-09-04$27.27$30.0040.2%11.7%36.4%38.4%24.2%4.4%-2.3%-9.4K726.0K-2.8K1.1596.26N/AN/A7991532639
2015-09-08$27.30$30.0041.1%12.8%32.9%39.9%0.0%4.3%-9.5%-7.1K745.7K-2.6K0.0095.09N/AN/A100532639
2015-09-09$26.57$30.0038.0%10.9%33.9%34.9%26.1%2.7%-0.8%-8.5K773.7K-2.5K1.3291.73N/AN/A6991532639
2015-09-10$26.30$30.0039.6%11.3%33.8%37.4%50.4%3.3%-4.3%-10.2K832.5K-2.4K1.3296.55N/AN/A6991542639
2015-09-11$26.27$30.0039.5%11.3%33.6%37.3%39.1%2.4%-4.2%-10.7K826.5K-2.5K1.0090.57N/AN/A9999542639
2015-09-14$26.22$30.0038.1%10.9%33.2%34.9%38.0%0.8%-2.8%-12.9K849.3K-2.3K1.25103.59N/AN/A7999512655
2015-09-15$26.67$30.0038.5%11.0%34.0%35.7%0.0%8.7%-3.1%-9.7K813.9K-2.3K0.00107.38N/AN/A130519655
2015-09-16$27.21$30.0031.8%9.1%35.1%24.7%39.1%6.3%11.0%-7.3K776.4K-2.3K1.39105.77N/AN/A7199522655
2015-09-17$24.67$30.0032.1%9.2%48.6%25.3%32.6%-5.1%-0.2%-24.2K1.0M-1.9K0.9799.47N/AN/A137133522655
2015-09-18$23.14$30.0031.2%8.9%51.6%23.8%32.3%2.6%5.5%-8.8K1.1M-2.1K1.1083.46N/AN/A134147590674
2015-09-21$22.80$30.0033.4%9.6%51.3%27.3%34.8%2.9%1.3%-10.8K447.5K-2.1K0.3789.66N/AN/A22382264392
2015-09-23$22.96$30.0035.4%10.2%50.2%30.6%24.6%4.6%0.9%-4.9K274.1K-2.8K0.3293.41N/AN/A20364402393
2015-09-24$22.68$30.0036.0%10.3%49.5%31.6%40.3%4.2%-0.0%-3.9K286.8K-2.8K0.4993.77N/AN/A18892402394
2015-09-25$22.61$30.0035.2%10.1%47.7%30.3%41.4%13.2%0.5%-4.4K304.4K-2.7K0.4994.43N/AN/A18892402395
2015-09-28$21.81$30.0046.9%13.5%46.0%49.5%43.7%9.4%-8.2%-2.8K372.7K-2.5K0.52100.00N/AN/A18897402395
2015-09-29$21.55$30.0044.2%12.7%46.0%44.9%47.9%9.5%-6.2%-4.0K419.3K-2.4K0.61102.55N/AN/A188114402420
2015-09-30$21.65$30.0043.9%12.6%45.7%44.4%69.0%6.6%-7.1%-3.9K442.2K-2.3K0.59106.06N/AN/A188110402413