WWW Options History — April 2016

In April 2016, WWW traded between $16.61 and $19.57. ATM implied volatility averaged 36.8%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 5.2% (HV 20d: 31.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.74.

Notable Days

  • 2016-04-01: Highest Volume — 1,841 contracts
  • 2016-04-11: Largest IV spike — 28.0% change
  • 2016-04-11: Highest IV Rank — 38.8%
  • 2016-04-21: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.24$16.61$19.57$17.90$18.99
Max Pain$15.71$15.00$17.50$17.50$17.50
ATM IV36.8%31.8%42.5%34.8%36.7%
Expected Move10.7%10.0%11.7%10.0%10.5%
HV 20d31.6%29.0%35.2%32.3%29.0%
HV 60d39.1%37.8%40.0%39.9%37.8%
IV Rank30.2%22.7%38.8%27.2%30.0%
IV Percentile66.6%43.3%84.9%59.5%65.5%
Term Structure-2.3%-6.0%2.2%2.2%-6.0%
VWIV41.6%35.8%51.7%35.8%37.0%
Skew 25d5.1%-2.3%13.3%0.3%-2.3%
Skew 10d8.7%-5.5%19.0%-1.5%-0.2%
Call IV 25d35.8%30.0%40.6%33.0%39.7%
Put IV 25d40.9%33.3%45.0%33.3%37.4%
Bid-Ask Spread %104.8591.16116.69108.16109.48
Gamma HHI0.320.290.370.320.30
Net GEX-3.4K-37.9K23.6K-7.5K22.7K
Net DEX-605.8K-1.6M735.9K-468.5K-1.3M
Net VEX-10.9K-13.2K-8.7K-11.9K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.775.695.690.80
Total Volume341.6191871,8411,841364
Total OI5,7765,6505,8735,7005,811

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$17.90$17.5034.8%10.0%32.3%27.2%35.8%0.3%2.2%-7.5K-468.5K-11.9K5.69108.16N/AN/A2751,5661,7103,990
2016-04-04$17.49$15.0035.1%10.8%32.8%27.6%39.7%1.1%-2.1%-20.9K-25.9K-12.5K0.99106.69N/AN/A2772731,7104,034
2016-04-05$17.35$15.0034.4%10.6%32.8%26.6%41.2%3.6%-0.4%-27.5K186.8K-13.2K2.0291.16N/AN/A801621,7134,055
2016-04-06$17.40$15.0031.8%10.5%30.7%22.7%41.3%4.9%-1.0%-27.5K145.1K-13.0K2.15116.69N/AN/A651401,7264,081
2016-04-07$17.07$15.0037.3%10.9%31.1%30.9%42.2%6.4%-1.4%-28.8K413.3K-13.2K1.77102.89N/AN/A801421,7334,094
2016-04-08$16.65$15.0033.2%10.5%31.9%24.8%41.7%1.7%-0.5%-35.9K735.9K-12.5K1.6692.17N/AN/A881461,7494,112
2016-04-11$16.61$15.0042.5%11.1%29.9%38.8%43.2%7.6%-3.1%-33.9K728.6K-12.5K1.8193.44N/AN/A811471,7614,112
2016-04-12$17.30$15.0037.5%10.8%33.6%31.1%38.9%13.3%-1.7%-30.5K158.1K-11.8K1.81105.36N/AN/A811471,7594,113
2016-04-13$17.77$15.0037.2%10.7%35.2%30.7%43.8%6.3%-0.7%-37.9K-244.6K-11.6K1.81112.91N/AN/A811471,7594,113
2016-04-14$18.02$15.0038.0%10.9%34.0%32.0%51.7%4.3%-2.3%-13.7K-489.9K-11.6K1.80108.77N/AN/A811461,7594,113
2016-04-15$18.50$15.0037.9%10.9%33.1%31.8%46.5%4.6%-1.3%6.8K-851.9K-11.2K1.80110.32N/AN/A811461,7594,112
2016-04-18$18.75$15.0039.4%11.3%33.0%34.1%38.2%2.3%-3.3%14.1K-1.1M-10.0K2.00100.32N/AN/A681361,6963,977
2016-04-19$18.83$15.0035.1%10.1%32.5%27.6%38.8%4.8%-1.9%14.9K-1.1M-10.0K2.11104.95N/AN/A661391,7003,977
2016-04-20$18.94$15.0034.9%10.0%32.0%27.3%39.0%4.8%-2.4%17.1K-1.2M-9.7K1.83108.85N/AN/A661211,7013,995
2016-04-21$19.24$15.0040.7%11.7%29.2%36.1%40.8%5.2%-5.9%16.5K-1.3M-9.6K1.38106.97N/AN/A881211,7013,995
2016-04-22$19.39$15.0035.0%10.0%29.0%27.6%40.7%9.7%-1.8%15.6K-1.4M-9.4K1.37104.32N/AN/A1021401,6733,977
2016-04-25$19.18$17.5038.6%11.1%29.3%32.8%42.4%5.8%-4.5%21.7K-1.4M-9.2K1.03105.85N/AN/A1511561,6993,997
2016-04-26$19.57$17.5036.4%10.4%29.6%29.6%42.6%12.5%-2.7%23.6K-1.6M-8.7K1.03100.15N/AN/A1521561,7414,017
2016-04-27$19.14$17.5037.6%10.8%31.0%31.4%43.3%5.6%-3.6%19.7K-1.3M-9.2K0.77115.78N/AN/A2021561,7444,017
2016-04-28$18.95$17.5039.0%11.2%31.1%33.4%43.7%5.1%-4.2%20.9K-1.3M-9.6K0.7796.58N/AN/A2021561,7944,017
2016-04-29$18.99$17.5036.7%10.5%29.0%30.0%37.0%-2.3%-6.0%22.7K-1.3M-9.3K0.80109.48N/AN/A2021621,7944,017