WWW Options History — March 2016

In March 2016, WWW traded between $17.73 and $19.99. ATM implied volatility averaged 35.3%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 9.4% (HV 20d: 44.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 10.06.

Notable Days

  • 2016-03-04: Highest Volume — 4,061 contracts
  • 2016-03-14: Largest IV spike — 19.6% change
  • 2016-03-10: Highest IV Rank — 33.5%
  • 2016-03-10: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.79$17.73$19.99$19.49$18.42
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV35.3%31.7%39.0%35.9%36.6%
Expected Move10.1%9.1%11.2%10.3%10.5%
HV 20d44.7%31.1%49.0%48.6%31.1%
HV 60d38.9%37.7%40.0%37.9%39.6%
IV Rank27.9%22.5%33.5%28.8%29.8%
IV Percentile63.5%47.2%76.6%68.7%67.1%
Term Structure1.5%-1.5%4.1%-0.8%1.4%
VWIV37.3%31.8%44.8%44.8%36.0%
Skew 25d4.9%-9.3%11.7%9.4%9.4%
Skew 10d8.0%-15.1%19.3%15.3%16.5%
Call IV 25d32.3%27.6%39.7%35.0%27.6%
Put IV 25d37.2%29.7%44.9%44.5%36.9%
Bid-Ask Spread %102.3866.38120.4497.60116.18
Gamma HHI0.300.280.330.310.28
Net GEX23.7K-16.7K78.5K63.1K-5.8K
Net DEX-3.0M-6.6M-156.2K-5.4M-645.9K
Net VEX-15.0K-22.6K-11.7K-22.6K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.060.7014.7710.615.54
Total Volume1,928.5911,5394,0611,8341,799
Total OI9,192.2275,49812,06412,0645,694

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$19.49$17.5035.9%10.3%48.6%28.8%44.8%9.4%-0.8%63.1K-5.4M-22.6K10.6197.60N/AN/A1581,6765,1756,889
2016-03-02$19.99$17.5036.7%10.5%48.9%30.0%40.1%11.7%-1.0%75.4K-6.6M-20.0K8.8293.54N/AN/A1901,6765,1496,893
2016-03-03$19.93$17.5033.9%9.5%48.6%25.8%41.3%6.7%2.7%78.5K-6.5M-19.7K0.70105.48N/AN/A2,3801,6765,1236,893
2016-03-04$19.66$17.5034.3%9.6%48.8%26.4%38.5%4.0%3.0%42.3K-4.5M-16.8K0.7193.86N/AN/A2,3801,6814,0646,893
2016-03-07$19.54$17.5037.0%9.8%46.3%30.5%40.7%11.4%2.3%46.2K-4.5M-15.9K9.29100.73N/AN/A1811,6814,0646,918
2016-03-08$18.82$17.5033.7%10.0%48.6%25.5%38.2%4.5%2.3%44.7K-3.7M-16.6K14.49115.83N/AN/A1161,6814,0886,918
2016-03-09$18.79$17.5034.9%10.0%48.5%27.3%36.5%3.3%1.6%44.4K-3.6M-16.2K13.5095.55N/AN/A1161,5664,0936,918
2016-03-10$18.72$17.5039.0%11.2%48.6%33.5%37.9%3.0%-0.2%40.8K-3.4M-16.2K13.2799.50N/AN/A1181,5664,0936,928
2016-03-11$19.18$17.5032.0%9.2%47.8%23.0%36.1%9.4%2.9%43.1K-3.2M-16.2K13.2791.95N/AN/A1181,5664,0956,928
2016-03-14$18.70$17.5038.3%11.0%48.3%32.4%37.6%2.1%0.8%14.8K-2.6M-15.7K13.2766.38N/AN/A1181,5664,0956,928
2016-03-15$18.78$17.5031.7%9.1%48.2%22.5%36.3%2.8%2.6%23.9K-4.3M-13.6K13.2784.93N/AN/A1181,5664,0956,928
2016-03-16$18.20$17.5036.0%10.3%47.8%29.0%35.8%4.7%1.3%24.6K-3.9M-13.8K13.50117.25N/AN/A1161,5664,0956,928
2016-03-17$18.83$17.5035.4%10.1%49.0%28.0%31.8%2.0%3.2%15.4K-4.7M-11.8K12.91101.91N/AN/A1161,4974,0956,927
2016-03-18$19.10$17.5031.8%9.1%48.7%22.7%35.4%5.0%2.6%9.7K-5.0M-11.7K7.47105.82N/AN/A2031,5164,1137,004
2016-03-21$18.79$17.5032.9%9.4%49.0%24.4%36.9%0.1%2.4%8.5K-1.0M-11.7K11.04114.26N/AN/A1331,4681,6643,834
2016-03-22$18.49$17.5038.4%11.0%45.8%32.5%35.9%6.6%-1.5%-3.8K-679.7K-13.0K14.77107.25N/AN/A991,4621,6653,835
2016-03-23$17.84$17.5033.2%9.5%45.7%24.8%35.6%-9.3%3.6%-11.0K-346.1K-13.5K14.65103.45N/AN/A991,4501,7093,865
2016-03-24$17.73$17.5033.9%9.7%34.5%25.8%34.6%-0.8%4.1%-16.7K-156.2K-13.5K13.66103.84N/AN/A1051,4341,7093,865
2016-03-28$17.97$17.5037.2%10.7%34.5%30.7%36.5%7.1%-0.8%-7.6K-427.2K-12.4K5.60120.44N/AN/A2761,5461,6993,872
2016-03-29$18.24$17.5037.3%10.7%34.1%30.9%37.2%8.5%1.4%-2.3K-689.2K-12.6K5.54110.47N/AN/A2791,5461,8073,987
2016-03-30$18.22$17.5036.6%10.5%32.4%29.9%35.8%6.8%0.0%-6.1K-625.2K-12.4K5.54106.11N/AN/A2791,5461,7073,987
2016-03-31$18.42$17.5036.6%10.5%31.1%29.8%36.0%9.4%1.4%-5.8K-645.9K-12.9K5.54116.18N/AN/A2751,5241,7073,987