WWW Options History — December 2016

In December 2016, WWW traded between $21.89 and $25.11. ATM implied volatility averaged 33.0%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 4.2% (HV 20d: 37.2%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.90.

Notable Days

  • 2016-12-22: Highest Volume — 232 contracts
  • 2016-12-13: Largest IV spike — 55.5% change
  • 2016-12-13: Highest IV Rank — 61.3%
  • 2016-12-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.99$21.89$25.11$22.54$22.00
Max Pain$20.12$17.50$22.50$22.50$22.50
ATM IV33.0%28.4%59.9%32.1%29.7%
Expected Move8.7%8.1%9.2%9.2%8.5%
HV 20d37.2%31.8%40.5%35.7%31.8%
HV 60d30.2%28.1%31.2%28.1%30.6%
IV Rank17.1%9.5%61.3%15.6%11.7%
IV Percentile27.2%3.6%99.2%24.2%9.9%
Term Structure2.9%-2.0%11.6%-2.0%3.1%
VWIV32.0%25.1%35.5%33.7%33.8%
Skew 25d4.0%-6.1%8.2%-6.1%7.6%
Skew 10d7.5%-9.8%19.5%-9.8%12.5%
Call IV 25d30.5%25.8%39.5%39.5%28.4%
Put IV 25d34.5%32.5%36.7%33.4%36.1%
Bid-Ask Spread %99.0878.27113.60104.63113.53
Gamma HHI0.440.270.780.550.29
Net GEX8.8K-32.4K40.8K-31.5K2.8K
Net DEX-284.8K-1.0M318.6K20.7K-23.6K
Net VEX-1.3K-2.5K-744-2.5K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.901.242.642.382.22
Total Volume212.429170232189232
Total OI1,598.4292712,5552,538371

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$22.54$22.5032.1%9.2%35.7%15.6%33.7%-6.1%-2.0%-31.5K20.7K-2.5K2.38104.63N/AN/A561336001,938
2016-12-02$22.44$22.5031.9%9.2%35.5%15.4%35.4%0.5%-1.6%-32.4K50.1K-2.5K2.05103.11N/AN/A651336001,938
2016-12-05$23.16$17.5035.7%9.0%36.9%21.6%31.6%6.7%2.3%1.8K-345.8K-1.7K1.7390.71N/AN/A771336111,938
2016-12-06$23.34$17.5036.1%9.1%36.6%22.2%31.5%3.4%2.2%10.8K-438.3K-1.5K1.6888.64N/AN/A801346121,938
2016-12-07$24.52$17.5030.5%8.5%40.0%13.0%32.0%6.9%2.1%34.0K-813.0K-1.5K1.4398.85N/AN/A941346081,933
2016-12-08$25.11$17.5035.2%8.5%40.5%20.7%26.9%8.2%3.2%36.4K-1.0M-1.2K1.6093.66N/AN/A811306021,928
2016-12-09$24.97$17.5034.3%8.5%38.8%19.2%25.1%6.3%3.5%40.8K-1.0M-1.1K1.5997.92N/AN/A821306021,925
2016-12-12$24.56$17.5038.5%8.5%38.9%26.2%32.6%6.8%2.9%40.3K-872.4K-1.1K1.8191.61N/AN/A721306041,925
2016-12-13$23.91$17.5059.9%8.9%37.6%61.3%31.6%3.2%1.7%-3.8K-429.1K-1.5K1.7193.40N/AN/A791356041,925
2016-12-14$23.30$17.5031.8%9.1%37.7%15.1%32.2%4.5%2.5%20.7K-544.8K-9831.7198.56N/AN/A791356211,932
2016-12-15$22.88$17.5031.2%8.9%38.2%14.2%31.4%3.2%2.3%33.9K-478.9K-9321.9987.57N/AN/A681356211,932
2016-12-16$22.39$17.5031.0%8.9%38.7%13.9%35.5%3.3%2.1%3.7K318.6K-7442.6478.27N/AN/A611616231,932
2016-12-19$22.41$22.5029.0%8.3%38.7%10.6%31.8%2.5%11.6%2.3K-46.0K-8161.24105.25N/AN/A7694137134
2016-12-20$22.63$22.5029.5%8.5%38.6%11.3%32.5%2.5%2.7%5.0K-91.4K-9571.5196.25N/AN/A76115168138
2016-12-21$22.66$22.5028.4%8.1%37.4%9.5%31.4%3.4%3.7%5.1K-91.0K-9511.51105.30N/AN/A76115168156
2016-12-22$21.99$22.5028.6%8.2%38.2%9.9%31.3%6.0%3.2%4.0K-57.2K-9022.22110.62N/AN/A72160168151
2016-12-23$21.99$22.5029.9%8.6%38.0%12.0%32.3%-0.1%5.3%2.0K-20.9K-1.1K2.2293.57N/AN/A72160175196
2016-12-27$22.01$22.5030.3%8.7%37.8%12.7%34.0%1.2%3.7%2.6K-25.2K-1.1K2.22103.12N/AN/A72160175196
2016-12-28$21.89$22.5029.5%8.4%33.8%11.3%32.1%5.5%3.1%2.5K-18.5K-1.1K2.22112.42N/AN/A72160175196
2016-12-29$22.02$22.5029.7%8.5%31.8%11.7%33.4%7.5%3.5%2.8K-25.0K-1.1K2.22113.60N/AN/A72160175196
2016-12-30$22.00$22.5029.7%8.5%31.8%11.7%33.8%7.6%3.1%2.8K-23.6K-1.1K2.22113.53N/AN/A72160175196