WWW Options History — May 2016

In May 2016, WWW traded between $16.71 and $19.32. ATM implied volatility averaged 33.4%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 4.5% (HV 20d: 29.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2016-05-02: Highest Volume — 610 contracts
  • 2016-05-04: Largest IV drop — 16.5% change
  • 2016-05-02: Highest IV Rank — 34.1%
  • 2016-05-02: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.01$16.71$19.32$18.87$18.21
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV33.4%29.5%39.4%39.4%32.7%
Expected Move9.5%8.4%11.3%11.3%9.4%
HV 20d29.0%20.6%32.2%27.6%32.2%
HV 60d35.2%30.7%38.4%37.8%31.1%
IV Rank25.1%19.2%34.1%34.1%24.1%
IV Percentile44.7%25.0%77.0%77.0%38.5%
Term Structure0.6%-7.4%2.8%-6.5%1.0%
VWIV36.9%30.7%52.6%44.0%34.9%
Skew 25d6.3%0.5%14.7%7.0%10.3%
Skew 10d8.9%-4.9%23.0%9.1%19.6%
Call IV 25d31.6%23.2%40.5%40.5%23.3%
Put IV 25d37.8%26.7%47.4%47.4%33.6%
Bid-Ask Spread %77.3050.29117.76108.2599.04
Gamma HHI0.350.300.420.300.41
Net GEX23.2K-18.3K50.4K22.9K50.4K
Net DEX-586.7K-1.6M711.1K-1.2M-953.2K
Net VEX-7.6K-9.1K-5.8K-9.1K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.742.980.741.44
Total Volume349.905193610610193
Total OI5,734.0485,6825,8165,8165,702

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$18.87$17.5039.4%11.3%27.6%34.1%44.0%7.0%-6.5%22.9K-1.2M-9.1K0.74108.25N/AN/A3502601,7944,022
2016-05-03$19.07$17.5038.9%11.1%27.3%33.3%42.4%3.8%-7.4%27.5K-1.3M-8.4K1.28105.14N/AN/A2383041,7373,991
2016-05-04$18.95$17.5032.5%9.3%27.6%23.7%35.5%2.5%-3.2%29.8K-1.3M-8.2K2.22112.14N/AN/A1373041,7444,001
2016-05-05$18.93$17.5031.8%9.1%26.3%22.6%35.6%1.7%1.7%34.7K-1.4M-7.9K2.1680.14N/AN/A1413041,7534,001
2016-05-06$18.93$17.5034.3%9.0%23.9%26.4%34.8%1.8%1.6%30.8K-1.3M-7.7K2.1662.65N/AN/A1413041,7414,001
2016-05-09$19.28$17.5036.2%9.1%24.0%29.3%36.1%2.6%1.7%37.5K-1.6M-7.1K2.1666.88N/AN/A1413041,7414,001
2016-05-10$19.32$17.5033.3%9.1%20.6%24.9%36.1%3.5%1.7%40.6K-1.6M-6.9K2.1664.95N/AN/A1413041,7414,001
2016-05-11$18.16$17.5034.2%9.8%30.2%26.3%34.8%5.0%2.5%23.8K-780.8K-8.1K2.9850.29N/AN/A1023041,7414,001
2016-05-12$17.89$17.5033.4%9.6%30.3%25.0%33.6%2.6%1.9%21.4K-573.2K-8.0K2.9858.44N/AN/A1023041,7434,001
2016-05-13$17.36$17.5033.0%9.5%30.4%24.5%33.3%3.4%1.8%12.9K-119.7K-7.9K2.9855.21N/AN/A1023041,7434,001
2016-05-16$17.20$17.5033.6%9.6%29.8%25.4%34.3%3.2%1.8%8.9K26.3K-7.8K2.9853.81N/AN/A1023041,7434,001
2016-05-17$17.22$17.5033.5%9.6%29.7%25.2%34.0%2.1%1.2%10.4K16.0K-7.6K2.9885.88N/AN/A1023041,7434,001
2016-05-18$16.71$17.5033.9%9.7%30.8%25.8%38.6%9.2%1.6%-18.3K711.1K-8.4K1.4761.39N/AN/A1021501,7434,004
2016-05-19$17.00$17.5034.0%9.7%30.9%25.9%40.0%14.7%0.9%-8.0K407.6K-8.3K1.6172.15N/AN/A931501,7434,004
2016-05-20$17.31$17.5032.2%9.2%31.7%23.3%33.5%12.6%2.8%5.6K131.4K-7.9K1.3263.91N/AN/A1141501,7424,004
2016-05-23$17.37$17.5032.1%9.2%31.8%23.2%35.4%14.2%1.3%16.8K-43.8K-7.4K1.3358.92N/AN/A861141,7153,967
2016-05-24$17.45$17.5031.4%9.0%30.6%22.1%40.7%14.4%2.0%23.6K-87.4K-7.2K1.3386.51N/AN/A861141,7343,967
2016-05-25$17.40$17.5030.7%8.8%30.0%21.0%30.7%0.5%1.7%24.8K-96.4K-7.1K1.3356.12N/AN/A861141,7343,967
2016-05-26$17.64$17.5029.5%8.4%30.7%19.2%33.5%6.4%0.9%40.9K-392.8K-6.5K1.33103.82N/AN/A861141,7343,967
2016-05-27$18.04$17.5031.5%9.0%32.0%22.3%52.6%10.1%1.4%49.7K-764.4K-6.1K1.44117.76N/AN/A791141,7343,967
2016-05-31$18.21$17.5032.7%9.4%32.2%24.1%34.9%10.3%1.0%50.4K-953.2K-5.8K1.4499.04N/AN/A791141,7353,967