WWW Options History — January 2017

In January 2017, WWW traded between $21.58 and $23.99. ATM implied volatility averaged 37.6%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 7.7% (HV 20d: 29.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.82.

Notable Days

  • 2017-01-09: Highest Volume — 3,740 contracts
  • 2017-01-26: Largest IV spike — 23.3% change
  • 2017-01-26: Highest IV Rank — 60.9%
  • 2017-01-26: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.86$21.58$23.99$21.96$23.49
Max Pain$20.25$20.00$22.50$22.50$20.00
ATM IV37.6%34.8%45.3%36.8%40.0%
Expected Move10.7%10.0%13.0%10.6%11.5%
HV 20d29.8%24.5%32.6%31.7%32.6%
HV 60d32.0%30.6%33.0%30.6%33.0%
IV Rank35.0%20.2%60.9%23.4%46.6%
IV Percentile68.9%46.4%96.0%65.5%88.9%
Term Structure-1.4%-13.3%1.9%-2.0%-2.1%
VWIV42.0%34.9%54.6%36.9%44.3%
Skew 25d3.8%-9.1%7.4%6.7%5.3%
Skew 10d7.0%-27.8%18.8%11.6%16.9%
Call IV 25d36.4%28.1%47.4%33.8%39.3%
Put IV 25d40.2%34.1%46.6%40.5%44.6%
Bid-Ask Spread %100.5090.89114.36103.88100.88
Gamma HHI0.720.280.980.280.39
Net GEX267.4K2.6K877.4K2.6K8.3K
Net DEX-2.8M-8.3M-23.7K-23.7K-314.9K
Net VEX-5.5K-7.4K-1.1K-1.1K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.820.0518.210.051.67
Total Volume1,243.62013,7403,738240
Total OI3,003.43714,3083712,084

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$21.96$22.5036.8%10.6%31.7%23.4%36.9%6.7%-2.0%2.6K-23.7K-1.1K0.05103.88N/AN/A3,560178175196
2017-01-04$22.66$22.5034.9%10.0%31.7%20.2%34.9%6.0%-0.4%400.8K-4.2M-7.4K0.05103.57N/AN/A3,5511783,439234
2017-01-05$22.21$20.0036.7%10.0%32.2%23.2%38.0%4.0%0.3%369.6K-3.2M-6.9K0.05101.02N/AN/A3,5511783,399234
2017-01-06$22.34$20.0035.3%10.1%26.0%20.9%36.0%5.1%-0.0%409.6K-3.4M-6.7K0.0596.42N/AN/A3,5511783,399234
2017-01-09$21.84$20.0039.9%10.5%24.5%28.5%37.3%0.5%-0.9%361.7K-2.7M-5.7K0.05100.40N/AN/A3,5581823,399234
2017-01-10$22.19$20.0037.7%10.4%25.8%24.8%41.7%3.5%-0.8%432.9K-3.0M-5.7K1.88101.19N/AN/A971823,399228
2017-01-11$21.80$20.0035.6%10.2%25.9%21.3%35.9%3.0%-0.5%384.6K-2.3M-5.1K1.8898.62N/AN/A971823,404228
2017-01-12$21.58$20.0034.8%10.0%24.7%32.6%39.8%2.5%-1.4%356.7K-1.4M-3.9K2.1292.11N/AN/A1002123,404228
2017-01-13$22.64$20.0034.9%10.0%29.9%33.0%38.0%3.4%1.9%603.8K-4.1M-5.3K0.36105.76N/AN/A6182223,409303
2017-01-17$23.34$20.0037.7%10.8%31.2%40.4%41.7%3.9%1.6%511.8K-7.1M-4.9K1.7599.28N/AN/A1061853,917344
2017-01-18$23.37$20.0038.6%11.1%30.1%42.8%42.2%6.2%-2.0%529.5K-7.5M-4.3K1.4396.98N/AN/A1061523,951333
2017-01-19$22.83$20.0035.1%10.1%31.4%33.5%39.9%1.4%1.5%877.4K-5.8M-4.6K1.94101.28N/AN/A781513,950356
2017-01-20$23.24$20.0036.7%10.5%31.8%37.9%42.3%6.0%-0.3%32.6K-8.3M-3.1K1.86103.08N/AN/A811513,952356
2017-01-23$23.42$20.0037.9%10.9%31.9%40.9%42.9%4.6%-1.4%32.3K-831.4K-3.1K14.6692.30N/AN/A771,129716304
2017-01-24$23.99$20.0035.6%10.2%30.5%34.8%42.0%3.9%-0.8%6.5K-475.6K-7.3K18.2199.52N/AN/A621,1297211,304
2017-01-25$23.99$20.0036.8%10.5%30.5%38.0%51.2%-9.1%-0.3%6.8K-555.7K-7.0K2.24114.36N/AN/A621397341,304
2017-01-26$23.70$20.0045.3%13.0%31.1%60.9%54.6%7.4%-13.3%7.0K-479.3K-7.0K2.5090.89N/AN/A581457341,314
2017-01-27$23.54$20.0040.3%11.5%31.1%47.3%50.2%5.5%-3.6%6.5K-408.5K-7.0K1.86106.00N/AN/A781457351,329
2017-01-30$23.08$20.0040.7%11.7%32.2%48.5%50.0%5.5%-3.2%6.5K-286.4K-7.2K1.86102.51N/AN/A781457551,329
2017-01-31$23.49$20.0040.0%11.5%32.6%46.6%44.3%5.3%-2.1%8.3K-314.9K-7.3K1.67100.88N/AN/A901507551,329