WWW Options History — November 2016

In November 2016, WWW traded between $21.11 and $25.05. ATM implied volatility averaged 31.9%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.3% (HV 20d: 26.6%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.66.

Notable Days

  • 2016-11-15: Highest Volume — 296 contracts
  • 2016-11-15: Largest IV spike — 15.9% change
  • 2016-11-15: Highest IV Rank — 23.0%
  • 2016-11-15: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.09$21.11$25.05$21.11$22.57
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV31.9%27.9%36.6%36.1%31.0%
Expected Move9.0%8.0%10.5%10.3%8.9%
HV 20d26.6%23.1%35.8%23.5%35.8%
HV 60d25.1%23.1%28.2%24.1%28.2%
IV Rank15.2%8.7%23.0%22.2%13.8%
IV Percentile23.8%1.6%61.9%58.3%14.7%
Term Structure0.2%-2.7%2.3%-1.3%-0.9%
VWIV33.6%29.4%40.9%37.6%32.0%
Skew 25d5.3%-5.1%10.8%0.9%-5.1%
Skew 10d7.8%-7.8%25.6%5.8%-7.8%
Call IV 25d30.2%25.4%36.1%35.2%36.1%
Put IV 25d35.5%30.9%42.4%36.1%31.0%
Bid-Ask Spread %89.0569.36102.6482.45100.26
Gamma HHI0.500.340.730.730.54
Net GEX-27.2K-81.4K16.2K-81.4K-30.3K
Net DEX724-868.4K1.1M1.1M1.6K
Net VEX-4.1K-6.1K-1.9K-6.1K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.661.162.171.862.17
Total Volume241.429195296206209
Total OI2,578.9052,4862,6422,6012,530

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$21.11$22.5036.1%10.3%23.5%22.2%37.6%0.9%-1.3%-81.4K1.1M-6.1K1.8682.45N/AN/A721346321,969
2016-11-02$21.35$22.5031.8%9.1%24.0%15.1%40.9%8.2%-2.7%-73.0K967.1K-6.0K1.4694.73N/AN/A921346321,970
2016-11-03$21.14$22.5033.0%9.8%24.1%17.2%32.4%2.7%-0.0%-76.6K1.1M-5.9K1.4695.31N/AN/A921346221,970
2016-11-04$21.33$22.5034.6%8.9%24.5%19.7%32.1%4.8%1.3%-70.9K1.0M-6.0K1.6193.49N/AN/A831346221,970
2016-11-07$21.72$22.5035.2%8.5%24.1%20.7%32.2%3.2%1.6%-73.3K639.0K-5.4K1.1674.85N/AN/A1161346231,970
2016-11-08$21.81$22.5033.2%8.7%23.1%17.4%31.3%8.6%0.8%-58.3K726.4K-5.6K1.5676.14N/AN/A1021596631,970
2016-11-09$21.85$22.5030.1%8.6%23.1%12.3%30.9%10.5%0.8%-53.0K693.3K-5.5K1.6187.67N/AN/A1041676691,951
2016-11-10$22.73$22.5030.8%8.8%27.0%13.4%31.4%5.9%2.3%-32.0K3.1K-4.4K1.4198.29N/AN/A1211716721,964
2016-11-11$23.26$22.5031.7%9.1%28.1%14.9%34.2%8.1%2.0%-21.3K-156.9K-4.5K1.4988.00N/AN/A1131686471,971
2016-11-14$24.21$22.5031.6%9.1%29.4%14.8%37.3%6.7%0.4%-11.6K-404.9K-4.2K1.4494.06N/AN/A1171686511,983
2016-11-15$23.64$22.5036.6%10.5%27.6%23.0%34.5%2.3%-2.7%-16.5K-291.8K-4.1K1.31100.32N/AN/A1281686511,991
2016-11-16$23.67$22.5034.5%9.9%27.5%19.6%34.8%4.6%0.1%-13.0K-402.7K-3.8K1.5193.06N/AN/A1111686511,991
2016-11-17$23.83$22.5029.9%8.6%26.7%12.0%34.2%6.3%1.9%-13.2K-436.9K-3.6K1.5780.33N/AN/A1071686511,991
2016-11-18$23.86$22.5030.0%8.6%26.2%12.2%32.5%2.8%1.5%-8.1K-498.8K-3.5K1.6674.98N/AN/A1011686511,991
2016-11-21$24.16$22.5028.0%8.0%26.0%8.9%29.4%3.1%0.6%-2.4K-466.4K-3.1K1.6178.95N/AN/A821325931,893
2016-11-22$24.72$22.5027.9%8.0%26.4%8.7%30.8%7.4%1.0%5.6K-714.4K-2.5K2.0669.36N/AN/A641325941,893
2016-11-23$24.90$22.5028.8%8.3%26.4%10.3%32.6%8.6%-0.6%14.5K-857.4K-2.1K2.06102.64N/AN/A641325981,893
2016-11-25$25.05$22.5030.7%8.8%25.4%13.4%34.8%10.8%-0.6%15.1K-868.4K-2.2K2.1092.32N/AN/A631325981,893
2016-11-28$24.60$22.5030.5%8.7%26.2%12.9%34.1%7.5%-1.7%16.2K-736.5K-2.2K2.0092.86N/AN/A661325951,893
2016-11-29$23.38$22.5033.3%9.5%33.2%17.6%35.6%3.6%0.7%11.8K-451.2K-1.9K1.7899.96N/AN/A821465981,897
2016-11-30$22.57$22.5031.0%8.9%35.8%13.8%32.0%-5.1%-0.9%-30.3K1.6K-2.5K2.17100.26N/AN/A661435961,934