WWW Options History — September 2016

In September 2016, WWW traded between $21.87 and $23.49. ATM implied volatility averaged 36.0%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 11.9% (HV 20d: 24.0%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.89.

Notable Days

  • 2016-09-15: Highest Volume — 328 contracts
  • 2016-09-13: Largest IV spike — 25.5% change
  • 2016-09-13: Highest IV Rank — 41.3%
  • 2016-09-29: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.86$21.87$23.49$23.34$23.10
Max Pain$22.26$20.00$22.50$20.00$22.50
ATM IV36.0%31.0%47.7%31.7%37.1%
Expected Move10.2%9.0%10.7%9.1%10.6%
HV 20d24.0%22.2%26.5%26.5%23.7%
HV 60d35.4%30.7%37.9%37.9%30.7%
IV Rank22.0%13.8%41.3%14.9%23.8%
IV Percentile52.0%13.9%96.4%17.9%64.3%
Term Structure-1.0%-2.8%4.0%4.0%-1.8%
VWIV36.4%32.5%39.3%35.4%37.2%
Skew 25d5.1%-0.8%14.4%-0.8%4.5%
Skew 10d8.7%0.0%18.3%0.0%7.7%
Call IV 25d35.4%26.7%44.5%34.4%36.7%
Put IV 25d40.5%33.6%45.7%33.6%41.2%
Bid-Ask Spread %93.8379.93116.36102.0590.59
Gamma HHI0.540.400.670.440.56
Net GEX-26.4K-51.4K37.8K37.8K-33.0K
Net DEX-158.7K-1.2M552.5K-1.2M275.5K
Net VEX-8.1K-9.2K-6.8K-9.2K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.891.022.552.282.55
Total Volume271.333222328269238
Total OI4,351.4292,2436,2606,1992,342

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$23.34$20.0031.7%9.1%26.5%14.9%35.4%-0.8%4.0%37.8K-1.2M-9.2K2.28102.05N/AN/A821872,2193,980
2016-09-02$23.29$20.0031.4%9.0%25.9%14.6%33.8%4.9%1.7%18.9K-1.0M-9.1K2.2895.21N/AN/A821872,2193,985
2016-09-06$23.02$22.5035.1%9.9%26.1%20.5%33.8%6.9%-1.7%-4.7K-822.8K-8.7K2.2379.93N/AN/A841872,2193,985
2016-09-07$23.22$22.5031.0%9.5%25.2%13.8%32.5%5.7%0.7%-4.5K-990.4K-8.3K1.8091.92N/AN/A1041872,2213,985
2016-09-08$22.99$22.5031.8%9.8%25.3%15.1%35.5%4.3%-1.2%-19.8K-847.0K-8.7K1.8091.65N/AN/A1041872,2413,985
2016-09-09$22.61$22.5035.3%10.1%23.2%20.9%35.7%4.2%-0.9%-24.0K-648.3K-8.6K1.6597.57N/AN/A1131872,2413,985
2016-09-12$22.69$22.5038.0%10.2%23.3%25.4%37.3%5.2%-1.9%-29.0K-616.7K-8.4K1.0289.19N/AN/A1601632,2063,985
2016-09-13$22.19$22.5047.7%10.5%23.6%41.3%39.1%2.2%-1.9%-51.4K-144.8K-9.0K1.0290.46N/AN/A1601632,2534,007
2016-09-14$21.87$22.5036.5%10.5%23.0%22.9%38.6%6.3%-1.7%-48.9K-88.8K-8.7K2.3786.61N/AN/A942232,2514,007
2016-09-15$22.31$22.5036.7%10.5%24.5%23.1%36.1%7.8%-2.8%-26.1K-316.4K-8.2K2.12101.97N/AN/A1052232,2533,979
2016-09-16$22.29$22.5035.5%10.2%23.6%21.3%34.8%14.4%-1.7%-41.7K-142.1K-8.1K1.8792.49N/AN/A1132112,2633,977
2016-09-19$22.71$22.5035.4%10.1%22.2%21.0%35.9%4.8%0.2%-40.4K552.5K-7.8K1.6081.32N/AN/A941504631,780
2016-09-20$22.92$22.5036.6%10.5%22.6%23.0%37.0%5.2%-0.4%-39.1K421.4K-7.6K1.6091.13N/AN/A941504791,780
2016-09-21$23.12$22.5035.8%10.3%22.7%21.8%39.3%1.1%-1.0%-36.3K395.8K-7.6K2.05116.36N/AN/A731504791,780
2016-09-22$23.49$22.5035.6%10.2%23.7%21.4%36.0%4.9%-1.1%-33.6K161.7K-6.8K2.08106.65N/AN/A721504911,780
2016-09-23$23.40$22.5036.9%10.6%23.1%23.5%36.7%7.0%-2.4%-33.3K182.0K-7.1K1.7092.41N/AN/A901535011,780
2016-09-26$22.84$22.5036.6%10.5%24.3%23.1%37.9%4.0%-1.3%-37.4K420.8K-7.7K1.74100.71N/AN/A901575211,790
2016-09-27$23.20$22.5036.5%10.5%25.3%22.8%37.0%4.0%-1.7%-33.1K296.9K-7.5K1.7490.71N/AN/A901575311,790
2016-09-28$22.98$22.5036.5%10.5%23.2%22.8%36.8%5.0%-1.7%-36.1K338.5K-7.3K2.0986.34N/AN/A751575311,790
2016-09-29$22.58$22.5037.1%10.7%23.6%23.9%38.5%4.8%-1.8%-39.6K439.5K-7.6K2.1195.15N/AN/A811715361,790
2016-09-30$23.10$22.5037.1%10.6%23.7%23.8%37.2%4.5%-1.8%-33.0K275.5K-7.4K2.5590.59N/AN/A671715521,790