WWW Options History — November 2015

In November 2015, WWW traded between $17.40 and $19.41. ATM implied volatility averaged 31.2%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 9.3% (HV 20d: 40.5%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 7.87.

Notable Days

2015-11-18: Highest Volume — 2,247 contracts
2015-11-30: Largest IV spike — 23.8% change
2015-11-10: Highest IV Rank — 40.9%
2015-11-16: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.69	$17.40	$19.41	$18.97	$18.19
Max Pain	$24.47	$20.00	$25.00	$20.00	$25.00
ATM IV	31.2%	27.1%	35.8%	28.3%	35.1%
Expected Move	8.9%	8.0%	10.2%	8.1%	10.1%
HV 20d	40.5%	31.8%	50.1%	43.1%	34.6%
HV 60d	41.6%	41.0%	42.7%	41.9%	41.6%
IV Rank	31.1%	22.3%	40.9%	25.0%	39.5%
IV Percentile	59.2%	36.9%	78.6%	46.0%	77.8%
Term Structure	1.1%	-4.9%	10.2%	-2.2%	-2.4%
VWIV	32.7%	27.2%	38.2%	38.2%	35.2%
Skew 25d	3.2%	-8.8%	9.1%	4.5%	6.1%
Skew 10d	4.5%	-4.4%	12.6%	4.2%	6.8%
Call IV 25d	30.3%	26.2%	35.8%	31.7%	28.6%
Put IV 25d	33.5%	26.4%	36.9%	36.2%	34.7%
Bid-Ask Spread %	91.72	74.42	104.47	92.17	93.71
Gamma HHI	0.58	0.55	0.66	0.57	0.58
Net GEX	-141.7K	-208.3K	-85.4K	-95.2K	-208.3K
Net DEX	2.6M	1.6M	4.1M	2.1M	3.0M
Net VEX	-14.4K	-18.4K	-10.1K	-11.4K	-15.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.87	1.04	12.89	2.73	6.00
Total Volume	1,127.053	0	2,247	1,111	70
Total OI	5,930.263	4,756	6,798	4,756	6,553

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2015-11-02	$18.97	$20.00	28.3%	8.1%	43.1%	25.0%	38.2%	4.5%	-2.2%	-95.2K	2.1M	-11.4K	2.73	92.17	N/A	N/A	298	813	838	3,918
2015-11-04	$19.33	$20.00	32.6%	9.4%	43.8%	34.2%	34.7%	-8.8%	-4.9%	-95.2K	1.6M	-10.4K	1.04	104.47	N/A	N/A	195	203	888	3,938
2015-11-05	$19.29	$25.00	30.4%	8.7%	43.9%	29.4%	29.7%	9.1%	0.3%	-85.4K	1.7M	-10.7K	1.04	91.64	N/A	N/A	195	203	901	3,938
2015-11-06	$19.23	$25.00	27.1%	8.6%	43.9%	22.3%	0.0%	7.6%	0.7%	-88.8K	1.7M	-10.1K	0.00	93.22	N/A	N/A	0	0	897	3,938
2015-11-09	$19.01	$25.00	29.6%	8.8%	43.7%	27.8%	0.0%	5.5%	1.0%	-94.0K	1.9M	-10.7K	0.00	87.87	N/A	N/A	0	702	897	3,938
2015-11-10	$19.41	$25.00	35.8%	8.3%	44.5%	40.9%	29.9%	8.8%	2.0%	-112.2K	2.0M	-12.4K	4.62	96.58	N/A	N/A	195	901	901	4,638
2015-11-11	$19.41	$25.00	27.8%	8.0%	43.6%	23.9%	27.2%	6.2%	3.2%	-115.2K	2.0M	-12.3K	4.62	101.73	N/A	N/A	195	901	901	4,638
2015-11-12	$18.90	$25.00	31.3%	9.0%	44.4%	31.4%	35.0%	3.8%	0.9%	-118.7K	2.3M	-13.1K	3.94	94.30	N/A	N/A	200	788	901	4,638
2015-11-13	$18.14	$25.00	34.6%	9.9%	46.3%	38.6%	34.2%	-1.2%	0.3%	-145.5K	2.8M	-13.3K	10.46	99.16	N/A	N/A	190	1,988	901	4,638
2015-11-16	$17.97	$25.00	35.5%	10.2%	46.3%	40.5%	34.4%	6.1%	-0.9%	-188.1K	3.6M	-18.4K	12.33	99.36	N/A	N/A	6	74	894	5,825
2015-11-17	$17.40	$25.00	33.8%	9.7%	47.2%	36.7%	33.8%	-3.6%	0.3%	-194.1K	4.1M	-18.2K	11.32	98.40	N/A	N/A	179	2,026	900	5,830
2015-11-18	$18.11	$25.00	33.0%	9.5%	50.1%	35.1%	33.3%	-1.0%	1.9%	-178.2K	3.5M	-18.2K	11.55	87.09	N/A	N/A	179	2,068	902	5,896
2015-11-19	$18.01	$25.00	32.8%	9.4%	32.2%	34.5%	32.4%	-3.2%	0.8%	-186.1K	3.5M	-17.8K	11.34	86.32	N/A	N/A	180	2,042	900	5,877
2015-11-20	$18.42	$25.00	30.1%	8.6%	32.8%	28.8%	31.1%	2.4%	7.7%	-164.2K	3.1M	-17.1K	10.89	85.32	N/A	N/A	186	2,026	901	5,883
2015-11-23	$18.59	$25.00	28.5%	8.2%	31.8%	25.5%	32.9%	0.7%	10.2%	-165.8K	2.9M	-16.7K	12.20	74.42	N/A	N/A	5	61	783	5,726
2015-11-24	$18.85	$25.00	28.0%	8.0%	32.0%	24.4%	29.2%	3.1%	-1.0%	-157.7K	2.7M	-16.5K	4.00	85.01	N/A	N/A	2	8	778	5,736
2015-11-25	$19.16	$25.00	29.3%	8.4%	32.3%	27.2%	32.7%	8.0%	0.9%	-143.8K	2.4M	-15.4K	12.73	82.98	N/A	N/A	157	1,998	778	5,736
2015-11-27	$18.79	$25.00	28.3%	8.1%	32.5%	25.0%	32.8%	6.2%	1.2%	-155.8K	2.5M	-15.5K	12.89	88.91	N/A	N/A	157	2,023	783	5,747
2015-11-30	$18.19	$25.00	35.1%	10.1%	34.6%	39.5%	35.2%	6.1%	-2.4%	-208.3K	3.0M	-15.3K	6.00	93.71	N/A	N/A	10	60	783	5,770