WWW Options History — August 2016

In August 2016, WWW traded between $23.10 and $25.20. ATM implied volatility averaged 30.0%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 5.2% (HV 20d: 35.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.10.

Notable Days

  • 2016-08-02: Highest Volume — 2,012 contracts
  • 2016-08-08: Largest IV spike — 23.6% change
  • 2016-08-03: Highest IV Rank — 26.6%
  • 2016-08-03: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.17$23.10$25.20$24.36$23.95
Max Pain$20.33$20.00$22.50$22.50$20.00
ATM IV30.0%22.6%37.7%31.1%22.6%
Expected Move8.5%6.5%10.8%8.9%6.5%
HV 20d35.2%24.1%44.8%44.8%24.9%
HV 60d37.5%36.5%39.9%39.3%37.8%
IV Rank10.2%0.0%26.6%16.1%0.0%
IV Percentile15.2%0.0%65.5%14.3%0.0%
Term Structure3.0%-8.5%29.2%-1.7%5.4%
VWIV31.7%26.0%36.5%36.5%26.4%
Skew 25d3.7%-3.9%8.8%-2.4%8.8%
Skew 10d11.4%-5.7%66.0%-4.1%5.5%
Call IV 25d29.5%25.5%39.6%39.6%25.7%
Put IV 25d33.2%25.0%37.9%37.2%34.6%
Bid-Ask Spread %93.2078.85104.99102.1897.10
Gamma HHI0.520.390.630.620.57
Net GEX95.7K44.7K145.5K109.7K113.2K
Net DEX-3.3M-6.2M-1.5M-4.4M-1.7M
Net VEX-12.5K-17.4K-9.0K-11.6K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.007.370.801.80
Total Volume509.56502,012456288
Total OI7,379.8266,0168,4146,6676,176

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$24.36$22.5031.1%8.9%44.8%16.1%36.5%-2.4%-1.7%109.7K-4.4M-11.6K0.80102.18N/AN/A2542023,3013,366
2016-08-02$23.63$22.5036.7%10.5%43.9%25.0%33.5%6.0%-4.5%104.7K-3.7M-11.3K6.9295.89N/AN/A2541,7583,3073,366
2016-08-03$23.59$22.5037.7%10.8%44.0%26.6%36.3%1.2%-8.5%78.9K-3.0M-14.6K7.33104.99N/AN/A2401,7583,3074,227
2016-08-04$23.43$20.0034.1%9.1%40.3%20.8%35.4%8.1%2.3%49.8K-2.6M-17.4K7.3785.56N/AN/A2401,7683,3004,927
2016-08-05$23.78$20.0028.4%8.5%37.8%11.6%33.3%5.9%2.6%69.7K-3.1M-16.5K0.9083.28N/AN/A2402153,3004,943
2016-08-08$23.60$20.0035.1%9.3%38.0%21.5%32.1%5.1%0.7%62.9K-3.2M-15.4K1.1878.85N/AN/A1641943,3004,939
2016-08-09$23.10$20.0034.9%9.1%37.5%21.2%33.0%5.1%1.1%44.7K-2.4M-15.6K1.4485.76N/AN/A1482133,3374,959
2016-08-10$23.28$20.0031.3%9.0%37.6%12.3%32.2%6.4%1.5%52.4K-2.6M-15.6K1.4187.60N/AN/A1482093,3815,004
2016-08-11$23.98$20.0029.0%8.3%38.9%8.4%33.7%6.4%2.2%86.8K-3.9M-14.8K1.3486.99N/AN/A1562093,3815,022
2016-08-12$23.90$20.0028.5%8.2%38.9%7.5%33.7%7.1%3.3%82.0K-3.8M-14.1K1.3388.28N/AN/A1572093,3815,032
2016-08-15$24.18$20.0028.8%8.3%39.0%8.1%32.6%7.8%2.6%88.0K-4.5M-13.5K1.1787.52N/AN/A1571833,3825,032
2016-08-16$24.49$20.0030.0%8.6%39.0%9.6%34.2%3.9%2.2%101.0K-4.4M-13.3K0.8099.57N/AN/A2251803,3825,021
2016-08-17$24.17$20.0029.4%8.4%39.4%8.7%0.0%4.5%2.2%93.0K-4.2M-13.0K0.0093.65N/AN/A003,3755,014
2016-08-18$24.52$20.0028.7%8.2%39.5%7.4%28.5%8.5%2.9%112.0K-5.0M-11.6K2.5090.01N/AN/A4103,3755,014
2016-08-19$25.20$20.0028.2%8.1%38.7%6.6%31.0%6.6%3.9%111.7K-6.2M-10.1K0.8799.57N/AN/A2081803,3795,031
2016-08-22$24.91$20.0030.2%8.6%39.2%9.9%32.6%5.3%29.2%106.1K-2.7M-10.7K1.37100.92N/AN/A1031412,1293,887
2016-08-23$25.08$20.0028.2%8.1%24.9%4.6%29.2%-0.4%5.4%122.5K-3.0M-9.9K1.3798.60N/AN/A1031412,1433,907
2016-08-24$25.14$20.0029.3%8.4%24.1%3.9%0.0%-0.6%4.9%127.2K-3.1M-9.6K0.0099.13N/AN/A602,1433,900
2016-08-25$24.70$20.0029.2%8.4%24.8%3.7%30.7%-3.9%3.4%114.7K-2.6M-10.2K1.5998.79N/AN/A951512,1493,907
2016-08-26$24.67$20.0027.9%8.0%24.8%1.5%26.0%-3.8%3.6%131.8K-2.6M-9.5K1.0592.73N/AN/A1441512,1493,921
2016-08-29$24.55$20.0026.7%7.7%24.7%0.0%28.2%-2.7%4.7%145.5K-2.5M-9.9K1.5988.75N/AN/A951512,1993,921
2016-08-30$23.80$20.0024.1%6.9%24.8%0.0%27.6%2.3%0.5%92.7K-1.5M-9.0K2.1297.92N/AN/A861822,1993,921
2016-08-31$23.95$20.0022.6%6.5%24.9%0.0%26.4%8.8%5.4%113.2K-1.7M-10.0K1.8097.10N/AN/A1031852,1993,977