WWW Options History — January 2016

In January 2016, WWW traded between $15.26 and $16.92. ATM implied volatility averaged 47.1%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 17.8% (HV 20d: 29.3%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.51.

Notable Days

  • 2016-01-27: Highest Volume — 3,537 contracts
  • 2016-01-08: Largest IV spike — 67.7% change
  • 2016-01-12: Highest IV Rank — 100.0%
  • 2016-01-15: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.94$15.26$16.92$16.60$16.91
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV47.1%36.8%83.5%44.4%43.3%
Expected Move12.0%10.0%13.4%10.3%12.4%
HV 20d29.3%23.1%37.3%23.1%37.3%
HV 60d33.1%29.0%36.1%34.3%31.9%
IV Rank52.1%33.5%100.0%59.5%39.8%
IV Percentile92.3%81.0%100.0%95.2%91.3%
Term Structure-1.6%-5.6%6.4%0.4%-5.6%
VWIV44.7%35.1%68.2%35.6%68.2%
Skew 25d1.7%-4.2%12.7%2.2%9.4%
Skew 10d4.5%-8.2%66.3%66.3%15.9%
Call IV 25d40.2%30.2%45.1%38.9%39.2%
Put IV 25d41.9%38.7%48.6%41.1%48.6%
Bid-Ask Spread %96.9073.31114.0091.1790.75
Gamma HHI0.490.400.560.460.40
Net GEX-97.2K-128.9K27.4K-114.4K27.4K
Net DEX2.7M-534.6K3.6M2.6M-534.6K
Net VEX-14.4K-26.1K-11.4K-13.7K-26.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.022.831.930.15
Total Volume669.632753,53726775
Total OI5,638.1584,8429,1514,8429,151

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$16.60$0.0044.4%10.3%23.1%59.5%35.6%2.2%0.4%-114.4K2.6M-13.7K1.9391.17N/AN/A911766624,180
2016-01-05$16.92$17.5036.8%10.0%24.0%43.3%35.5%12.7%1.1%-106.7K2.3M-13.9K2.8393.85N/AN/A411167144,192
2016-01-06$16.44$17.5050.7%11.2%25.3%72.9%39.3%5.1%-1.4%-101.2K2.7M-14.1K2.82114.00N/AN/A391107234,203
2016-01-07$16.43$17.5037.7%11.1%25.3%45.2%39.0%5.5%-1.0%-110.5K2.6M-13.6K2.1293.40N/AN/A681447284,210
2016-01-08$15.73$17.5063.2%11.6%28.6%99.9%35.1%-0.4%3.8%-116.4K2.9M-13.1K2.1298.69N/AN/A691467484,250
2016-01-11$15.60$17.5059.6%12.1%28.4%92.1%38.9%-0.2%-3.2%-114.5K3.2M-13.0K2.5699.78N/AN/A681747514,263
2016-01-12$15.73$17.5083.5%12.2%28.7%100.0%40.3%-1.6%-4.5%-121.2K3.2M-13.1K2.5690.22N/AN/A681747824,315
2016-01-13$15.28$17.5042.2%12.1%29.7%38.3%46.4%-1.3%0.2%-107.7K3.2M-12.9K2.28108.33N/AN/A721647824,315
2016-01-14$15.53$17.5043.3%12.4%29.9%39.8%46.9%-2.7%-1.7%-112.7K3.4M-12.7K1.9999.46N/AN/A721437844,315
2016-01-15$15.41$17.5046.7%13.4%29.9%45.0%53.5%-4.2%-2.2%-111.3K3.6M-12.1K1.99102.00N/AN/A721437844,315
2016-01-19$15.26$17.5042.9%12.3%29.9%39.3%49.1%-1.9%-3.3%-119.8K3.6M-11.4K1.80103.67N/AN/A611107744,309
2016-01-20$15.43$17.5044.0%12.6%30.0%41.0%41.2%-0.6%-0.6%-110.5K3.3M-12.3K1.0799.64N/AN/A1081167804,309
2016-01-21$15.67$17.5043.9%12.6%30.8%40.8%43.8%0.6%-3.5%-116.6K3.3M-12.3K0.7794.28N/AN/A102798304,328
2016-01-22$16.04$17.5043.8%12.6%29.7%40.7%41.9%3.3%-3.8%-123.2K3.0M-12.3K0.77108.45N/AN/A102798504,342
2016-01-25$15.72$17.5045.1%12.9%28.6%42.6%44.8%0.7%-3.6%-128.9K3.3M-11.4K0.8473.31N/AN/A94798504,342
2016-01-26$16.17$17.5039.0%11.2%31.0%33.5%44.5%1.3%6.4%-125.3K2.9M-12.3K0.0291.51N/AN/A3,456808484,342
2016-01-27$15.77$17.5043.2%12.4%31.8%39.8%58.0%-0.9%-4.7%-26.3K1.8M-20.5K0.02109.53N/AN/A3,456814,1514,342
2016-01-28$16.29$17.5041.6%11.9%34.5%37.3%47.0%5.2%-3.7%-7.1K1.0M-22.3K0.0479.12N/AN/A2,409864,2244,337
2016-01-29$16.91$17.5043.3%12.4%37.3%39.8%68.2%9.4%-5.6%27.4K-534.6K-26.1K0.1590.75N/AN/A65104,8274,324