WWW Options History — June 2016

In June 2016, WWW traded between $18.46 and $20.58. ATM implied volatility averaged 34.1%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 3.8% (HV 20d: 30.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.63.

Notable Days

  • 2016-06-17: Highest Volume — 495 contracts
  • 2016-06-02: Largest IV drop — 8.2% change
  • 2016-06-23: Highest IV Rank — 32.1%
  • 2016-06-23: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.63$18.46$20.58$18.46$20.31
Max Pain$19.20$17.50$20.00$17.50$20.00
ATM IV34.1%30.0%38.1%34.0%33.8%
Expected Move9.7%8.6%10.9%9.8%9.7%
HV 20d30.2%23.7%39.7%32.4%39.3%
HV 60d30.7%29.8%33.3%31.2%33.3%
IV Rank26.1%20.0%32.1%26.0%25.7%
IV Percentile46.9%23.4%72.2%50.0%41.3%
Term Structure0.6%-4.6%4.7%0.4%2.3%
VWIV35.2%29.0%48.2%31.0%33.6%
Skew 25d7.8%0.5%15.6%9.8%2.5%
Skew 10d12.2%-2.7%32.4%32.4%3.7%
Call IV 25d30.3%24.2%40.9%24.2%31.3%
Put IV 25d38.1%33.2%47.5%34.0%33.8%
Bid-Ask Spread %110.6388.40126.8388.40126.83
Gamma HHI0.390.330.570.410.39
Net GEX27.9K5.9K60.6K51.1K18.1K
Net DEX-1.2M-2.6M-208.5K-1.2M-569.9K
Net VEX-4.3K-5.4K-3.4K-5.4K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.803.160.862.62
Total Volume390.045198495240398
Total OI4,157.2731,6015,9175,7021,790

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$18.46$17.5034.0%9.8%32.4%26.0%31.0%9.8%0.4%51.1K-1.2M-5.4K0.8688.40N/AN/A1291111,7353,967
2016-06-02$18.86$17.5031.3%9.3%33.3%21.9%32.3%1.4%0.1%53.2K-1.3M-5.4K0.8096.94N/AN/A1381111,7873,982
2016-06-03$18.90$17.5032.9%9.6%33.4%24.3%31.4%2.9%1.0%60.6K-1.4M-5.1K0.80111.42N/AN/A1381111,7873,982
2016-06-06$18.90$17.5035.1%9.1%33.4%27.6%32.8%2.8%0.8%33.9K-1.3M-5.4K1.1696.29N/AN/A961111,7873,982
2016-06-07$19.14$17.5032.5%9.4%33.0%23.8%32.3%5.4%0.3%54.6K-1.6M-4.9K1.16109.14N/AN/A961111,7993,982
2016-06-08$19.70$17.5030.0%8.6%34.6%20.0%29.0%11.8%2.2%41.3K-2.1M-4.3K1.28102.18N/AN/A871111,7993,982
2016-06-09$20.06$17.5030.4%8.7%25.8%20.6%30.4%14.5%2.9%33.5K-2.4M-3.9K1.99111.31N/AN/A1533051,7973,982
2016-06-10$19.53$20.0032.8%9.4%27.3%24.1%32.5%10.0%1.2%33.7K-1.9M-4.6K1.99113.36N/AN/A1533051,7594,152
2016-06-13$19.08$20.0034.5%9.9%26.3%26.7%34.2%7.0%0.2%34.1K-1.6M-4.7K1.99102.59N/AN/A1533051,7594,148
2016-06-14$19.20$20.0032.4%9.3%25.8%23.6%33.3%6.5%0.7%33.6K-1.5M-4.8K1.99114.26N/AN/A1533051,7594,148
2016-06-15$19.69$20.0034.2%9.8%26.6%26.3%34.3%8.0%1.1%34.4K-2.0M-4.2K1.99121.35N/AN/A1533051,7594,148
2016-06-16$19.50$20.0033.1%9.5%23.7%24.7%34.0%9.3%1.0%25.2K-2.0M-4.1K2.06107.01N/AN/A1533151,7594,148
2016-06-17$20.28$20.0033.9%9.7%26.1%25.8%34.8%13.0%0.4%6.9K-2.6M-3.8K1.7599.73N/AN/A1803151,7594,158
2016-06-20$20.45$20.0034.5%9.9%25.8%26.7%34.5%0.5%1.8%8.7K-457.8K-3.4K1.24113.40N/AN/A2152675371,064
2016-06-21$20.51$20.0035.8%10.3%25.9%28.7%33.1%9.1%0.2%14.5K-556.5K-3.6K1.62126.38N/AN/A1652676401,064
2016-06-22$20.38$20.0036.4%10.4%26.4%29.6%35.5%3.5%-1.4%14.3K-530.4K-3.6K1.36123.13N/AN/A1972676411,064
2016-06-23$20.58$20.0038.1%10.9%26.1%32.1%40.0%10.8%-2.5%19.3K-645.1K-3.6K1.51122.52N/AN/A1772676961,064
2016-06-24$20.22$20.0036.9%10.6%27.5%30.3%38.3%10.3%-1.5%15.4K-529.0K-3.9K1.45118.39N/AN/A1852687061,064
2016-06-27$19.01$20.0034.7%10.0%36.1%27.1%44.9%15.6%4.7%5.9K-208.5K-4.1K1.45117.01N/AN/A1852687061,067
2016-06-28$19.08$20.0036.9%10.6%36.0%30.3%43.2%3.3%-4.6%7.3K-222.9K-4.1K1.5697.82N/AN/A1852887061,067
2016-06-29$20.07$20.0035.0%10.0%39.7%27.5%48.2%14.8%1.3%13.6K-456.1K-4.1K3.16114.40N/AN/A912887061,072
2016-06-30$20.31$20.0033.8%9.7%39.3%25.7%33.6%2.5%2.3%18.1K-569.9K-3.8K2.62126.83N/AN/A1102887181,072