WWW Options History — February 2016

In February 2016, WWW traded between $16.15 and $18.98. ATM implied volatility averaged 43.0%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 4.3% (HV 20d: 38.6%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.79.

Notable Days

  • 2016-02-26: Highest Volume — 2,614 contracts
  • 2016-02-10: Largest IV spike — 46.9% change
  • 2016-02-11: Highest IV Rank — 54.4%
  • 2016-02-11: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.32$16.15$18.98$17.27$18.98
Max Pain$17.25$12.50$17.50$12.50$17.50
ATM IV43.0%33.6%53.0%48.2%37.7%
Expected Move12.6%9.7%15.2%13.8%10.8%
HV 20d38.6%33.9%49.4%36.7%48.3%
HV 60d33.0%31.5%37.8%31.9%37.5%
IV Rank39.4%25.4%54.4%47.3%31.5%
IV Percentile86.1%61.1%98.0%97.2%73.8%
Term Structure-3.2%-9.2%1.6%-9.2%-0.5%
VWIV45.2%32.2%60.1%48.5%60.1%
Skew 25d4.4%-1.0%16.1%16.1%10.1%
Skew 10d8.4%-8.2%47.2%23.5%47.2%
Call IV 25d44.9%33.6%53.3%40.6%35.1%
Put IV 25d49.4%37.4%56.7%56.7%45.2%
Bid-Ask Spread %87.6675.6298.0494.2880.12
Gamma HHI0.390.310.470.400.31
Net GEX41.4K566101.7K33.2K45.2K
Net DEX-1.6M-4.7M427.9K-1.4M-4.3M
Net VEX-24.7K-26.2K-22.3K-25.8K-25.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.089.780.089.78
Total Volume985.8502,6142,0132,350
Total OI10,405.29,21912,1679,21912,050

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$17.27$12.5048.2%13.8%36.7%47.3%48.5%16.1%-9.2%33.2K-1.4M-25.8K0.0894.28N/AN/A1,8631504,8824,337
2016-02-02$17.17$17.5040.8%11.7%36.6%36.1%41.2%14.0%-1.3%25.8K-1.2M-25.6K0.8284.56N/AN/A105864,8884,387
2016-02-03$17.59$17.5040.8%11.7%36.9%36.2%42.0%0.8%-0.3%38.4K-2.1M-26.2K0.8792.29N/AN/A1911674,9354,408
2016-02-04$17.43$17.5040.4%12.0%35.4%35.5%40.0%1.7%-3.0%35.4K-1.8M-26.1K0.5183.70N/AN/A5042585,1324,483
2016-02-05$16.79$17.5040.0%12.4%38.2%35.0%45.6%2.2%-3.9%29.8K-654.2K-26.1K0.6375.62N/AN/A2051295,4504,656
2016-02-08$16.59$17.5044.5%14.1%34.8%41.7%49.9%1.1%-8.1%18.9K-57.3K-25.1K0.6793.19N/AN/A1991335,5224,681
2016-02-09$16.52$17.5033.6%13.1%34.7%25.4%48.2%2.5%-2.8%23.4K-52.3K-25.1K0.7287.00N/AN/A1801305,5354,709
2016-02-10$16.51$17.5049.4%14.2%34.6%49.1%0.0%3.5%-4.4%38.1K-422.4K-25.3K0.0089.57N/AN/A005,6484,688
2016-02-11$16.15$17.5053.0%15.2%33.9%54.4%51.1%-1.0%-5.2%14.9K427.9K-24.4K0.7285.98N/AN/A1801305,6484,708
2016-02-12$16.70$17.5046.4%13.3%35.3%44.6%46.8%2.9%-0.3%26.8K-191.2K-24.5K0.1687.69N/AN/A8301315,6484,708
2016-02-16$16.87$17.5045.2%13.0%35.1%42.7%45.2%1.7%-1.8%44.1K-776.1K-23.9K0.1883.02N/AN/A8301515,6724,732
2016-02-17$17.61$17.5044.0%12.6%37.2%41.0%44.2%3.6%-3.3%92.5K-2.6M-23.9K0.1792.05N/AN/A8301395,6724,750
2016-02-18$17.51$17.5046.3%13.3%37.4%44.4%45.8%1.7%-4.8%101.7K-2.4M-23.5K0.3489.94N/AN/A4971715,6724,750
2016-02-19$17.28$17.5044.7%12.8%37.9%41.9%47.3%7.5%-3.7%38.7K-863.7K-22.8K0.7386.72N/AN/A4943615,6874,771
2016-02-22$17.61$17.5047.0%13.5%37.6%45.4%47.2%4.2%-5.4%47.7K-2.2M-22.6K3.6780.93N/AN/A5281,9395,0004,444
2016-02-23$16.78$17.5042.4%12.1%41.2%38.5%43.3%0.9%-2.1%566-97.5K-24.1K0.4696.01N/AN/A5012325,0965,901
2016-02-24$17.50$17.5041.4%11.9%42.6%37.0%40.1%12.4%-2.4%36.0K-1.6M-25.4K0.4998.04N/AN/A4542235,1846,146
2016-02-25$18.98$17.5033.8%9.7%49.2%25.7%32.2%-0.7%-2.4%72.4K-4.7M-22.3K5.6189.87N/AN/A2771,5555,2116,146
2016-02-26$18.61$17.5039.8%11.4%49.4%34.6%39.2%3.5%1.6%64.0K-4.2M-25.5K7.4682.58N/AN/A3092,3055,2206,947
2016-02-29$18.98$17.5037.7%10.8%48.3%31.5%60.1%10.1%-0.5%45.2K-4.3M-25.1K9.7880.12N/AN/A2182,1325,1576,893