WWW Options History — July 2016

In July 2016, WWW traded between $19.93 and $24.76. ATM implied volatility averaged 37.4%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 7.1% (HV 20d: 44.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.34.

Notable Days

  • 2016-07-11: Highest Volume — 3,677 contracts
  • 2016-07-12: Largest IV drop — 24.0% change
  • 2016-07-11: Highest IV Rank — 44.3%
  • 2016-07-25: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.68$19.93$24.76$20.69$24.51
Max Pain$21.75$20.00$22.50$20.00$22.50
ATM IV37.4%29.4%46.2%35.9%29.4%
Expected Move10.4%8.4%11.4%10.3%8.4%
HV 20d44.5%39.7%47.6%39.7%44.6%
HV 60d35.8%33.2%39.3%33.2%39.2%
IV Rank30.3%13.2%44.3%28.8%13.2%
IV Percentile60.7%9.9%94.0%57.5%9.9%
Term Structure-2.4%-5.7%0.8%0.8%-1.1%
VWIV38.1%33.6%43.2%37.5%34.9%
Skew 25d4.9%-5.5%9.3%7.8%7.2%
Skew 10d8.6%-5.5%21.8%13.2%6.1%
Call IV 25d35.4%28.0%41.0%29.0%30.7%
Put IV 25d40.3%35.4%44.1%36.8%37.9%
Bid-Ask Spread %93.6071.45126.25126.25101.41
Gamma HHI0.450.370.650.400.63
Net GEX59.8K18.1K115.9K20.1K113.3K
Net DEX-2.3M-4.9M-570.7K-714.4K-4.6M
Net VEX-11.2K-16.1K-3.0K-3.7K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.340.696.722.260.84
Total Volume1,034.13953,677417442
Total OI5,1471,8166,6671,8166,667

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$20.69$20.0035.9%10.3%39.7%28.8%37.5%7.8%0.8%20.1K-714.4K-3.7K2.26126.25N/AN/A1282897441,072
2016-07-05$19.93$20.0038.8%10.6%42.4%33.1%36.4%1.9%-1.1%18.1K-570.7K-3.7K2.2697.22N/AN/A1282897561,073
2016-07-06$20.25$20.0039.9%10.5%42.5%34.8%36.9%7.0%-1.0%20.1K-598.3K-3.8K2.26100.06N/AN/A1282897561,073
2016-07-07$21.42$20.0046.1%10.3%45.7%44.1%43.2%9.3%0.1%21.9K-893.4K-3.6K1.81101.77N/AN/A1592887561,073
2016-07-08$22.38$20.0037.5%10.6%47.6%31.2%38.0%5.3%-3.2%22.8K-1.1M-3.0K1.1787.57N/AN/A1,1231,3197591,083
2016-07-11$22.40$20.0046.2%10.8%46.1%44.3%37.5%4.3%-2.7%37.0K-1.2M-9.2K1.7698.61N/AN/A1,3322,3451,8252,114
2016-07-12$23.06$22.5035.1%10.5%45.3%27.7%37.1%5.9%-1.6%60.6K-2.4M-15.9K4.5691.82N/AN/A2911,3283,0623,123
2016-07-13$22.93$22.5037.6%10.8%45.6%31.4%37.7%4.7%-2.0%58.6K-2.2M-15.8K3.5489.90N/AN/A3751,3283,0913,139
2016-07-14$22.94$22.5038.5%11.0%45.3%32.8%39.2%4.6%-3.8%67.8K-2.3M-16.1K5.2190.20N/AN/A2601,3553,1853,139
2016-07-15$23.14$22.5038.6%11.1%44.8%32.8%37.1%5.5%-3.4%67.6K-2.4M-15.4K5.3983.50N/AN/A2511,3543,1523,166
2016-07-18$23.10$22.5039.0%11.2%43.4%33.5%41.1%4.5%-4.0%68.0K-2.5M-15.1K6.72104.70N/AN/A2051,3773,1403,143
2016-07-19$22.91$22.5039.8%11.4%43.7%34.7%41.7%4.6%-4.3%61.8K-2.2M-14.8K1.9489.82N/AN/A2104073,1423,213
2016-07-20$22.99$22.5036.5%10.5%43.7%29.7%40.2%3.2%-2.1%65.9K-2.4M-14.6K1.8798.35N/AN/A2184073,1523,243
2016-07-21$22.85$22.5038.7%11.1%43.7%33.0%40.3%4.7%-4.5%64.7K-2.0M-14.5K0.8491.46N/AN/A2452053,1433,243
2016-07-22$22.25$22.5038.8%11.1%45.2%33.1%40.0%4.0%-3.9%48.4K-1.3M-14.1K0.9071.45N/AN/A2081873,1693,253
2016-07-25$22.29$22.5039.9%11.4%44.5%34.9%40.2%4.2%-5.7%47.3K-1.5M-13.4K0.9871.52N/AN/A4374293,1713,262
2016-07-26$24.31$22.5031.9%9.2%46.2%22.9%33.6%-5.5%-2.7%101.7K-4.5M-12.0K0.6990.01N/AN/A2962033,2103,372
2016-07-27$24.76$22.5030.9%8.9%46.1%15.6%35.1%8.4%-2.1%113.8K-4.9M-12.1K1.0085.67N/AN/A2032023,2773,352
2016-07-28$24.57$22.5029.5%8.5%44.4%13.5%34.1%5.9%-0.3%115.9K-4.7M-11.7K0.84100.71N/AN/A2402023,2813,366
2016-07-29$24.51$22.5029.4%8.4%44.6%13.2%34.9%7.2%-1.1%113.3K-4.6M-12.3K0.84101.41N/AN/A2402023,3013,366