WWW Options History — February 2017

In February 2017, WWW traded between $21.03 and $25.55. ATM implied volatility averaged 39.9%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 3.4% (HV 20d: 43.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 4.56.

Notable Days

  • 2017-02-17: Highest Volume — 1,761 contracts
  • 2017-02-03: Largest IV spike — 101.4% change
  • 2017-02-03: Highest IV Rank — 100.0%
  • 2017-02-17: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.63$21.03$25.55$23.16$25.19
Max Pain$21.32$20.00$22.50$20.00$22.50
ATM IV39.9%32.1%79.0%37.4%33.3%
Expected Move10.7%9.2%11.9%10.7%9.6%
HV 20d43.3%31.5%47.2%33.1%44.8%
HV 60d37.1%33.1%38.8%33.1%36.3%
IV Rank32.2%16.8%100.0%39.7%19.0%
IV Percentile71.7%27.8%100.0%73.4%36.1%
Term Structure-1.4%-4.0%1.7%1.2%-0.3%
VWIV38.7%33.9%41.8%39.6%35.5%
Skew 25d5.1%-2.9%9.9%3.0%7.5%
Skew 10d7.4%-10.1%27.8%9.2%12.3%
Call IV 25d34.9%28.2%40.6%40.6%30.0%
Put IV 25d40.0%35.8%44.1%43.5%37.5%
Bid-Ask Spread %86.7370.73108.36108.3697.59
Gamma HHI0.380.290.490.400.29
Net GEX-4.7K-41.2K29.2K8.7K-27.2K
Net DEX-330.1K-946.4K633.5K-313.8K-284.5K
Net VEX-9.7K-15.5K-6.8K-7.2K-14.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.560.3039.021.650.92
Total Volume418.7372291,761244234
Total OI2,811.1052,1193,9992,1193,997

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$23.16$20.0037.4%10.7%33.1%39.7%39.6%3.0%1.2%8.7K-313.8K-7.2K1.65108.36N/AN/A921527701,349
2017-02-02$23.00$22.5039.2%10.6%31.5%44.6%34.6%4.6%-2.3%8.3K-262.8K-7.2K1.9779.44N/AN/A771527721,351
2017-02-03$21.21$22.5079.0%10.7%42.4%100.0%36.3%-1.1%1.7%-6.8K466.3K-7.5K3.0686.70N/AN/A692117711,351
2017-02-06$21.03$22.5045.8%11.4%42.3%41.1%39.6%-2.9%-1.7%-15.5K633.5K-7.5K0.3089.14N/AN/A6822087601,432
2017-02-07$22.26$20.0039.9%10.9%46.6%30.6%40.8%3.7%-2.8%29.2K-946.4K-8.8K0.3181.51N/AN/A6692081,3651,432
2017-02-08$22.81$20.0038.4%11.0%47.1%28.0%38.8%3.9%-1.9%12.4K-252.9K-7.7K2.7476.63N/AN/A762088631,427
2017-02-09$23.15$20.0040.5%11.6%46.7%31.7%39.7%6.8%-3.3%13.9K-433.6K-7.7K3.6572.46N/AN/A572088831,427
2017-02-10$23.79$20.0035.9%10.3%47.2%23.5%38.9%5.9%-1.1%16.4K-728.1K-7.0K2.9779.18N/AN/A702088861,427
2017-02-13$23.49$20.0039.8%11.4%44.7%30.6%40.9%3.8%-1.5%17.0K-638.0K-7.1K4.3392.89N/AN/A482088911,427
2017-02-14$23.66$20.0039.8%11.4%43.5%30.4%40.1%4.3%-1.9%16.0K-692.1K-6.8K4.3380.57N/AN/A482088911,427
2017-02-15$23.83$20.0036.7%10.5%43.6%25.1%38.2%1.8%-1.2%10.5K-720.6K-6.8K4.2491.47N/AN/A492088931,427
2017-02-16$23.71$20.0040.8%11.7%42.7%32.3%40.8%4.2%-3.8%14.9K-698.2K-7.0K10.0989.14N/AN/A444448941,427
2017-02-17$23.70$22.5041.5%11.9%42.3%33.6%41.6%7.1%-4.0%-2.5K-542.3K-7.2K39.0287.21N/AN/A441,7178971,658
2017-02-21$23.94$22.5038.9%11.1%42.3%28.9%41.8%9.4%-3.2%-41.2K500.5K-15.5K2.9770.73N/AN/A641908482,835
2017-02-22$25.21$22.5034.2%9.8%45.4%20.5%39.8%9.3%-1.3%-40.0K-185.8K-14.3K1.0093.76N/AN/A1491498652,939
2017-02-23$25.05$22.5032.1%9.2%45.5%16.8%33.9%8.5%1.3%-33.8K-215.2K-14.8K1.0975.59N/AN/A1511659742,888
2017-02-24$25.18$22.5032.2%9.2%45.1%17.0%39.7%7.6%-0.0%-35.1K-309.3K-15.0K1.04105.70N/AN/A1191241,0322,936
2017-02-27$25.55$22.5033.1%9.5%45.2%18.7%35.2%9.9%-0.2%-34.0K-648.7K-13.7K1.0289.77N/AN/A1221241,0472,952
2017-02-28$25.19$22.5033.3%9.6%44.8%19.0%35.5%7.5%-0.3%-27.2K-284.5K-14.7K0.9297.59N/AN/A1221121,0472,950