WWW Options History — December 2015

In December 2015, WWW traded between $16.74 and $18.47. ATM implied volatility averaged 34.1%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 4.4% (HV 20d: 29.7%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 5.72.

Notable Days

  • 2015-12-18: Highest Volume — 1,617 contracts
  • 2015-12-14: Largest IV spike — 18.3% change
  • 2015-12-14: Highest IV Rank — 53.6%
  • 2015-12-14: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.55$16.74$18.47$18.47$16.74
Max Pain$18.25$17.50$25.00$25.00$17.50
ATM IV34.1%30.4%41.7%37.1%33.2%
Expected Move9.6%8.7%11.9%10.6%9.5%
HV 20d29.7%23.0%35.1%35.1%24.4%
HV 60d37.8%34.3%41.6%41.6%34.4%
IV Rank37.5%29.6%53.6%43.8%35.4%
IV Percentile69.7%52.8%92.5%83.3%63.9%
Term Structure0.5%-5.6%3.9%-1.4%1.3%
VWIV33.7%30.3%42.8%34.6%32.9%
Skew 25d1.7%-8.8%14.7%14.0%-5.4%
Skew 10d3.0%-10.0%20.4%14.9%-0.4%
Call IV 25d32.9%24.9%44.9%25.0%34.4%
Put IV 25d34.6%27.4%45.7%39.0%29.0%
Bid-Ask Spread %97.8565.73118.9366.52118.93
Gamma HHI0.560.430.710.570.46
Net GEX-205.9K-394.7K-104.3K-180.6K-116.7K
Net DEX3.1M1.9M5.1M2.8M2.4M
Net VEX-14.7K-16.4K-13.4K-15.6K-13.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.721.688.698.191.94
Total Volume892.63601,6170153
Total OI5,900.4554,6506,5926,5534,808

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$18.47$25.0037.1%10.6%35.1%43.8%0.0%14.0%-1.4%-180.6K2.8M-15.6K0.0066.52N/AN/A007935,760
2015-12-02$18.31$25.0032.6%9.3%34.2%34.1%34.6%-1.5%1.2%-200.4K2.9M-15.4K8.1987.82N/AN/A1651,3517935,763
2015-12-03$17.83$0.0033.5%9.4%34.4%36.1%0.0%-8.8%1.0%-233.5K3.5M-16.4K8.28110.16N/AN/A1651,3667935,783
2015-12-04$18.01$0.0035.8%9.4%34.7%41.1%32.8%-1.9%0.5%-216.7K3.2M-15.9K8.1395.89N/AN/A1651,3427955,781
2015-12-07$18.15$17.5037.3%9.6%34.9%44.3%0.0%-0.9%0.5%-218.5K3.1M-15.6K0.0094.95N/AN/A027955,794
2015-12-08$17.99$17.5038.8%9.3%34.9%47.4%32.3%0.4%1.3%-237.3K3.3M-15.4K8.2297.37N/AN/A1651,3567955,797
2015-12-09$17.72$17.5033.9%9.7%34.0%37.0%33.9%-6.0%-0.9%-273.8K3.6M-15.1K8.25104.42N/AN/A1651,3627955,788
2015-12-10$17.78$17.5035.3%10.1%34.1%39.9%35.3%4.7%-0.3%-273.9K3.5M-15.5K8.25102.68N/AN/A1651,3627955,788
2015-12-11$17.51$17.5035.2%10.1%33.3%39.8%37.0%1.1%-0.2%-286.0K3.9M-15.8K8.4665.73N/AN/A1611,3627955,788
2015-12-14$17.22$17.5041.7%11.9%30.7%53.6%42.8%0.8%-3.4%-287.1K4.3M-15.5K8.69103.52N/AN/A1601,3908015,788
2015-12-15$17.45$17.5035.0%10.0%31.1%39.3%35.8%4.2%-0.4%-352.1K3.9M-15.0K8.57100.50N/AN/A1601,3728025,759
2015-12-16$17.29$17.5033.8%9.7%29.1%36.8%34.2%0.2%0.3%-364.5K4.3M-14.4K8.65111.11N/AN/A1581,3678025,743
2015-12-17$17.25$17.5031.4%9.0%24.9%31.5%31.8%14.7%2.2%-394.7K4.1M-14.4K8.3797.75N/AN/A1581,3228045,710
2015-12-18$16.89$17.5034.3%9.8%25.7%37.8%34.6%5.6%-0.1%-114.4K5.1M-14.0K6.5997.59N/AN/A2131,4048045,707
2015-12-21$16.82$17.5030.7%8.8%23.9%30.1%31.2%11.7%-5.6%-116.5K2.5M-14.1K2.1796.82N/AN/A811764984,152
2015-12-22$17.36$17.5030.4%8.7%26.7%29.6%30.3%2.5%3.9%-113.5K2.2M-14.1K1.88101.68N/AN/A661245374,153
2015-12-23$17.74$17.5031.6%9.1%27.5%32.1%31.5%3.9%2.2%-104.3K1.9M-13.7K1.6899.90N/AN/A601015854,153
2015-12-24$17.63$17.5032.5%9.3%26.6%33.9%32.3%2.1%1.2%-108.9K1.9M-13.4K1.68100.59N/AN/A601015854,160
2015-12-28$17.42$17.5032.9%9.4%26.1%34.8%32.8%-0.5%1.8%-110.2K2.0M-13.6K2.2198.29N/AN/A29645854,160
2015-12-29$17.35$17.5032.6%9.4%23.9%34.3%32.6%-1.7%2.2%-112.0K2.1M-13.4K2.00104.05N/AN/A32645954,164
2015-12-30$17.20$17.5031.7%9.1%23.0%32.2%31.6%-1.7%3.7%-114.2K2.1M-13.4K2.1996.44N/AN/A531166004,164
2015-12-31$16.74$17.5033.2%9.5%24.4%35.4%32.9%-5.4%1.3%-116.7K2.4M-13.6K1.94118.93N/AN/A521016314,177