WWW Options History — March 2017

In March 2017, WWW traded between $24.37 and $26.25. ATM implied volatility averaged 31.7%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.4% (HV 20d: 29.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.92.

Notable Days

  • 2017-03-29: Highest Volume — 480 contracts
  • 2017-03-13: Largest IV spike — 19.2% change
  • 2017-03-13: Highest IV Rank — 23.4%
  • 2017-03-02: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.25$24.37$26.25$25.65$25.08
Max Pain$24.67$22.50$25.00$22.50$25.00
ATM IV31.7%29.3%35.8%34.0%30.2%
Expected Move9.0%8.4%9.9%9.7%8.6%
HV 20d29.3%19.6%46.6%44.8%19.6%
HV 60d34.9%33.9%36.9%36.5%34.0%
IV Rank16.2%11.9%23.4%20.2%13.4%
IV Percentile26.1%7.5%61.1%40.5%15.9%
Term Structure2.8%-1.5%5.8%-1.2%4.6%
VWIV33.6%30.3%40.8%36.0%30.8%
Skew 25d3.2%-7.4%10.5%10.4%-1.6%
Skew 10d3.6%-13.0%18.1%18.1%0.6%
Call IV 25d29.5%23.3%37.2%26.9%25.6%
Put IV 25d32.7%24.0%37.3%37.3%24.0%
Bid-Ask Spread %84.6775.8495.7385.5384.08
Gamma HHI0.370.310.460.310.41
Net GEX-45.1K-72.4K-3.6K-31.9K-72.4K
Net DEX45.8K-1.0M1.2M-616.8K1.2M
Net VEX-12.7K-14.2K-11.6K-14.2K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.927.510.927.51
Total Volume230.478124480234400
Total OI3,578.5222,8454,0474,0003,235

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$25.65$22.5034.0%9.7%44.8%20.2%36.0%10.4%-1.2%-31.9K-616.8K-14.2K0.9285.53N/AN/A1221121,0472,953
2017-03-02$26.25$22.5034.6%9.9%44.7%21.3%34.8%2.6%-1.5%-36.2K-1.0M-12.8K1.1387.75N/AN/A991121,0472,953
2017-03-03$25.42$22.5032.5%9.3%46.6%17.5%33.4%-7.4%0.4%-33.2K-649.1K-13.3K1.1991.76N/AN/A941121,0562,953
2017-03-06$25.63$25.0034.8%9.5%33.7%21.7%34.7%1.2%1.4%-34.9K-792.9K-13.0K1.2684.60N/AN/A931171,0542,953
2017-03-07$25.33$25.0032.9%9.3%34.0%18.3%32.7%0.8%1.6%-32.3K-626.2K-13.2K1.0078.19N/AN/A1071071,0552,955
2017-03-08$25.49$25.0033.3%9.3%29.0%19.0%34.3%1.7%1.7%-31.0K-801.3K-12.7K1.9177.25N/AN/A561071,0612,963
2017-03-09$25.13$25.0031.0%9.2%29.1%15.0%36.7%-0.4%2.1%-33.6K-602.5K-13.0K1.9177.73N/AN/A561071,0632,963
2017-03-10$25.20$25.0030.0%9.1%28.9%13.2%33.7%-0.4%2.2%-29.2K-634.3K-13.2K1.9180.25N/AN/A561071,0632,963
2017-03-13$24.94$25.0035.8%9.1%28.0%23.4%39.6%-1.3%2.3%-28.4K-484.9K-13.3K1.8279.54N/AN/A561021,0632,963
2017-03-14$24.90$25.0035.7%9.1%27.4%23.2%37.9%5.6%2.1%-29.6K-514.5K-12.7K2.1094.20N/AN/A491031,0632,974
2017-03-15$25.15$25.0031.7%9.1%27.5%16.2%33.6%7.9%2.3%-32.7K-706.1K-12.1K2.1592.79N/AN/A481031,0632,974
2017-03-16$25.09$25.0029.8%8.5%27.5%12.7%32.7%4.2%3.1%-3.6K-795.4K-11.9K1.7295.73N/AN/A601031,0712,974
2017-03-17$25.48$25.0030.0%8.6%27.7%13.2%30.6%6.0%3.2%-57.5K-1.0M-11.6K2.0281.34N/AN/A511031,0742,973
2017-03-20$25.34$25.0030.5%8.7%27.9%14.0%31.1%-4.3%4.4%-57.3K906.3K-11.6K1.7089.96N/AN/A46783172,528
2017-03-21$24.64$25.0029.4%8.4%29.9%12.0%40.8%5.1%4.9%-63.2K1.1M-12.1K1.5680.25N/AN/A50783412,534
2017-03-22$24.37$25.0030.3%8.7%23.5%13.7%30.7%3.4%4.6%-64.8K1.2M-12.5K1.7492.88N/AN/A50873412,534
2017-03-23$24.82$25.0029.3%8.4%24.5%11.9%30.3%5.0%5.8%-63.2K1.1M-12.3K1.9382.88N/AN/A45873412,544
2017-03-24$24.92$25.0029.4%8.4%24.4%12.1%31.2%8.7%5.2%-61.9K1.0M-12.0K1.9888.29N/AN/A45893392,544
2017-03-27$25.40$25.0032.8%9.4%24.8%18.1%33.9%10.1%3.4%-57.0K963.0K-11.7K1.6488.95N/AN/A1762893392,546
2017-03-28$25.48$25.0030.2%8.7%24.3%13.5%30.8%10.5%4.4%-59.2K958.5K-13.2K1.7275.84N/AN/A1763034142,746
2017-03-29$25.67$25.0030.4%8.7%23.6%13.9%30.8%3.8%4.0%-59.9K916.7K-13.2K1.7381.38N/AN/A1763044142,770
2017-03-30$25.41$25.0030.7%8.8%22.2%14.4%31.2%1.5%3.3%-64.6K989.3K-13.2K1.7376.34N/AN/A1763044142,771
2017-03-31$25.08$25.0030.2%8.6%19.6%13.4%30.8%-1.6%4.6%-72.4K1.2M-13.7K7.5184.08N/AN/A473534142,821