WWW Options History — October 2016

In October 2016, WWW traded between $20.79 and $23.20. ATM implied volatility averaged 35.8%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 12.1% (HV 20d: 23.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.33.

Notable Days

  • 2016-10-17: Highest Volume — 2,791 contracts
  • 2016-10-18: Largest IV drop — 21.3% change
  • 2016-10-10: Highest IV Rank — 36.9%
  • 2016-10-04: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.97$20.79$23.20$22.93$21.30
Max Pain$22.14$20.00$22.50$22.50$22.50
ATM IV35.8%29.8%45.0%38.9%31.8%
Expected Move9.9%8.5%11.5%11.1%9.1%
HV 20d23.7%22.5%26.0%23.8%23.6%
HV 60d27.2%23.5%30.4%29.4%24.1%
IV Rank21.8%11.8%36.9%26.7%15.2%
IV Percentile51.0%9.9%92.1%77.0%22.2%
Term Structure-1.3%-3.7%1.3%-2.8%-2.7%
VWIV36.3%31.3%47.0%42.4%37.0%
Skew 25d4.6%1.8%8.7%5.4%5.9%
Skew 10d9.7%0.7%19.1%6.6%8.1%
Call IV 25d34.2%30.2%40.4%40.1%32.6%
Put IV 25d38.9%32.8%46.9%45.4%38.5%
Bid-Ask Spread %81.8536.56108.36105.8978.71
Gamma HHI0.630.480.870.570.70
Net GEX-74.9K-253.9K-31.3K-34.7K-74.2K
Net DEX1.1M223.0K3.3M316.2K1.1M
Net VEX-6.9K-8.1K-6.3K-7.2K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.8012.172.591.69
Total Volume417.2861932,791237207
Total OI2,838.5242,3424,7222,3422,601

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$22.93$22.5038.9%11.1%23.8%26.7%42.4%5.4%-2.8%-34.7K316.2K-7.2K2.59105.89N/AN/A661715521,790
2016-10-04$23.03$22.5040.0%11.5%23.5%28.7%41.2%6.5%-3.3%-32.9K299.1K-7.2K2.3082.16N/AN/A661525541,790
2016-10-05$22.79$22.5038.9%11.2%23.6%26.8%47.0%4.7%-3.7%-35.1K386.7K-7.4K2.12107.09N/AN/A681445541,790
2016-10-06$22.75$22.5039.0%10.1%23.3%26.9%35.3%5.5%-1.0%-35.9K378.9K-7.4K2.1269.84N/AN/A681445591,797
2016-10-07$22.72$22.5039.2%9.9%22.5%27.2%34.8%3.3%-1.0%-37.4K395.6K-7.0K1.9771.19N/AN/A731445591,797
2016-10-10$23.20$22.5045.0%10.4%23.7%36.9%35.5%8.7%-1.2%-31.3K223.0K-7.0K2.5777.64N/AN/A561445641,797
2016-10-11$22.68$22.5042.2%10.2%23.7%32.3%35.1%5.9%-0.2%-37.9K404.9K-6.8K2.3667.26N/AN/A611445651,797
2016-10-12$22.77$22.5034.9%10.0%23.0%20.3%35.1%2.9%-0.7%-36.4K340.6K-6.8K2.3236.56N/AN/A621445751,797
2016-10-13$22.48$20.0035.0%10.0%22.6%20.5%34.4%3.1%-1.6%-39.5K440.5K-6.9K1.3360.95N/AN/A1081445761,797
2016-10-14$22.60$20.0035.9%10.3%22.6%21.8%39.6%5.7%-1.1%-38.7K421.7K-6.6K0.8184.97N/AN/A108885681,797
2016-10-17$22.03$20.0037.8%10.8%23.4%25.0%37.8%1.9%-2.4%-46.4K586.3K-6.5K12.1797.01N/AN/A2122,5795681,797
2016-10-18$21.27$22.5029.8%8.5%25.9%11.8%31.3%7.5%0.6%-253.9K3.3M-8.1K4.2476.62N/AN/A2118946234,099
2016-10-19$21.49$22.5030.7%8.8%26.0%13.4%40.5%6.2%-0.4%-232.5K2.8M-7.8K1.09100.06N/AN/A2042226763,839
2016-10-20$21.20$22.5034.7%9.9%25.1%19.9%34.1%4.9%0.1%-140.0K3.1M-6.9K1.2380.67N/AN/A1992456713,804
2016-10-21$21.02$22.5035.2%10.1%25.2%20.7%34.5%4.1%-2.5%-71.8K3.0M-6.9K1.1587.81N/AN/A1992296813,817
2016-10-24$20.95$22.5034.3%9.8%24.1%19.2%33.9%2.3%-1.2%-76.6K1.2M-6.5K0.8076.61N/AN/A1421136221,909
2016-10-25$20.95$22.5034.1%9.8%23.0%18.9%33.3%2.0%-2.5%-78.7K1.2M-6.4K1.3091.95N/AN/A1511966221,929
2016-10-26$21.01$22.5033.6%9.6%23.1%18.0%33.6%3.3%0.1%-80.1K1.2M-6.5K1.6662.70N/AN/A771286311,949
2016-10-27$20.79$22.5031.4%9.0%22.8%14.5%32.1%1.8%1.3%-88.5K1.3M-6.4K1.5194.71N/AN/A771166421,949
2016-10-28$21.38$22.5030.2%8.6%23.6%12.4%34.8%5.5%-1.0%-70.3K996.0K-6.3K1.69108.36N/AN/A771306421,963
2016-10-31$21.30$22.5031.8%9.1%23.6%15.2%37.0%5.9%-2.7%-74.2K1.1M-6.3K1.6978.71N/AN/A771306321,969