WWW Options History — October 2015

In October 2015, WWW traded between $17.95 and $22.31. ATM implied volatility averaged 40.5%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 1.6% (HV 20d: 42.1%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.99.

Notable Days

  • 2015-10-23: Highest Volume — 3,182 contracts
  • 2015-10-12: Largest IV spike — 48.4% change
  • 2015-10-12: Highest IV Rank — 76.1%
  • 2015-10-28: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.06$17.95$22.31$21.38$18.56
Max Pain$22.95$20.00$30.00$30.00$20.00
ATM IV40.5%31.6%63.3%43.0%33.4%
Expected Move10.6%9.1%13.2%12.3%9.6%
HV 20d42.1%22.8%46.5%45.6%42.8%
HV 60d38.4%36.2%41.6%36.3%41.4%
IV Rank43.8%32.1%76.1%43.0%35.8%
IV Percentile83.5%65.5%99.6%91.3%69.0%
Term Structure-3.2%-24.3%0.4%-6.9%0.4%
VWIV37.1%25.3%61.1%46.1%34.6%
Skew 25d3.5%-5.1%12.7%3.3%12.7%
Skew 10d7.3%-6.3%26.1%7.0%18.6%
Call IV 25d36.0%21.6%42.8%42.8%21.6%
Put IV 25d39.4%31.6%49.0%46.0%34.3%
Bid-Ask Spread %88.3564.16127.23101.79106.22
Gamma HHI0.450.340.840.340.60
Net GEX-31.5K-114.2K4.4K-3.2K-112.7K
Net DEX1.0M414.4K2.3M445.3K2.2M
Net VEX-4.2K-11.2K-1.5K-2.2K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.990.009.100.482.72
Total Volume866.909113,1822781,109
Total OI1,891.3188154,7698154,726

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$21.38$30.0043.0%12.3%45.6%43.0%46.1%3.3%-6.9%-3.2K445.3K-2.2K0.48101.79N/AN/A18890402413
2015-10-02$21.90$30.0036.5%10.5%46.5%32.5%61.1%10.3%-2.8%-4.2K414.4K-2.4K0.99103.77N/AN/A188186402414
2015-10-05$22.31$22.5040.9%10.4%46.2%39.5%25.3%5.7%-2.1%-11.6K471.4K-2.8K0.0079.80N/AN/A110402518
2015-10-06$21.84$22.5041.6%10.6%46.3%40.7%37.8%5.3%-1.5%-10.4K500.2K-2.7K0.9682.17N/AN/A194186413518
2015-10-07$21.70$22.5045.4%10.1%46.2%46.9%35.1%4.3%-1.0%-10.3K553.9K-2.6K1.2881.13N/AN/A145186415518
2015-10-08$21.63$22.5045.0%10.2%45.9%46.3%35.9%4.1%-1.6%-10.4K553.3K-2.5K1.8281.44N/AN/A97177415511
2015-10-09$21.24$22.5042.6%11.5%46.0%42.4%37.8%5.2%-2.1%-9.9K601.8K-2.3K1.8283.41N/AN/A97177418524
2015-10-12$20.95$22.5063.3%11.6%45.8%76.1%37.0%6.4%-1.9%-9.7K625.8K-2.2K1.7281.33N/AN/A97167418524
2015-10-13$20.37$22.5060.5%10.6%46.1%71.5%27.1%7.2%-1.8%-9.5K655.9K-2.0K1.8385.02N/AN/A90165418524
2015-10-14$20.30$22.5037.9%10.9%44.9%34.6%43.0%6.2%-0.6%-9.0K710.7K-1.8K1.6588.97N/AN/A102168425528
2015-10-15$20.37$22.5037.6%10.8%43.6%34.2%41.0%4.9%-1.4%-8.4K703.2K-1.8K6.1185.83N/AN/A38232436528
2015-10-16$20.27$22.5035.9%10.3%30.5%41.3%32.8%2.7%-1.4%-10.7K783.4K-2.0K2.5086.83N/AN/A102255450620
2015-10-19$20.24$22.5037.2%10.7%22.9%44.0%33.0%6.5%-2.7%-7.3K724.8K-2.2K1.5473.08N/AN/A117180514614
2015-10-20$20.26$22.5033.4%9.6%22.8%35.8%45.5%-1.4%-0.7%-2.8K701.9K-2.2K1.5264.16N/AN/A105160597642
2015-10-21$18.18$22.5035.9%10.3%42.4%41.3%29.6%-1.3%-1.0%-785952.3K-1.5K0.7272.61N/AN/A299215622660
2015-10-22$17.95$22.5031.6%9.1%42.4%32.1%32.2%-4.3%-0.4%4.4K897.3K-2.0K4.8494.94N/AN/A3011,457817671
2015-10-23$18.40$22.5033.8%9.7%44.3%36.8%32.3%-1.1%-1.9%-56.9K1.6M-5.7K9.1097.07N/AN/A3152,8678211,946
2015-10-26$18.28$22.5038.5%11.0%43.2%46.8%32.7%-5.1%-10.3%-86.9K2.0M-8.8K4.7587.51N/AN/A3051,4508223,344
2015-10-27$18.16$22.5033.8%9.7%43.2%36.8%33.5%0.4%0.3%-96.3K2.1M-9.1K6.4690.23N/AN/A3051,9698243,344
2015-10-28$18.52$22.5045.9%13.2%44.2%62.7%43.5%-0.2%-24.3%-112.2K2.3M-11.2K6.28127.23N/AN/A3161,9838243,945
2015-10-29$18.52$20.0036.6%10.5%44.2%42.9%38.5%4.0%-4.9%-114.2K2.1M-11.1K6.6589.14N/AN/A2981,9838343,888
2015-10-30$18.56$20.0033.4%9.6%42.8%35.8%34.6%12.7%0.4%-112.7K2.2M-11.0K2.72106.22N/AN/A2988118383,888