WWW Options History — April 2017

In April 2017, WWW traded between $23.55 and $24.54. ATM implied volatility averaged 35.2%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 11.9% (HV 20d: 23.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 5.07.

Notable Days

  • 2017-04-18: Highest Volume — 457 contracts
  • 2017-04-12: Largest IV spike — 20.8% change
  • 2017-04-24: Highest IV Rank — 30.2%
  • 2017-04-24: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.17$23.55$24.54$24.49$24.11
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV35.2%30.0%39.6%30.7%38.7%
Expected Move10.4%8.8%11.4%8.8%11.1%
HV 20d23.3%20.9%25.3%20.9%22.3%
HV 60d32.9%31.7%34.7%34.1%31.7%
IV Rank22.4%13.2%30.2%14.4%28.6%
IV Percentile58.7%14.7%90.9%21.0%85.7%
Term Structure-1.9%-5.3%5.2%5.2%-4.8%
VWIV37.7%31.5%41.4%31.5%38.6%
Skew 25d6.2%-6.1%9.4%-6.1%6.2%
Skew 10d11.7%-14.6%22.2%-2.8%-0.1%
Call IV 25d33.5%28.8%36.4%28.8%35.9%
Put IV 25d39.7%22.6%43.9%22.6%42.1%
Bid-Ask Spread %71.6128.9990.3984.4728.99
Gamma HHI0.480.430.510.430.49
Net GEX-77.4K-86.9K-70.2K-78.2K-77.9K
Net DEX1.4M1.2M1.8M1.3M1.4M
Net VEX-12.6K-14.0K-11.7K-13.6K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.073.487.264.156.84
Total Volume418.947350457438400
Total OI3,229.4213,1193,2853,2423,127

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$24.49$25.0030.7%8.8%20.9%14.4%31.5%-6.1%5.2%-78.2K1.3M-13.6K4.1584.47N/AN/A853534202,822
2017-04-04$23.79$25.0031.7%9.1%22.8%16.1%36.6%2.5%3.9%-82.8K1.6M-13.4K5.1284.96N/AN/A693534212,822
2017-04-05$23.55$25.0033.9%9.7%22.6%20.1%34.5%0.3%2.9%-86.9K1.8M-14.0K6.8578.41N/AN/A533634172,822
2017-04-06$23.99$25.0030.5%10.2%23.6%14.0%36.2%6.4%-3.1%-82.8K1.5M-13.3K7.2677.70N/AN/A503634172,832
2017-04-07$24.26$25.0030.1%10.2%24.0%13.3%36.9%7.9%-2.7%-81.4K1.5M-13.5K4.3280.41N/AN/A843634172,832
2017-04-10$24.27$25.0031.3%10.2%23.8%15.5%36.9%8.2%-1.4%-75.6K1.4M-12.8K4.3285.76N/AN/A843634422,832
2017-04-11$24.53$25.0030.0%10.2%24.2%13.2%36.9%8.8%-1.3%-70.2K1.3M-12.9K4.3286.08N/AN/A843634422,832
2017-04-12$24.35$25.0036.3%10.4%24.0%24.3%38.4%7.2%-1.5%-71.9K1.4M-12.7K4.0890.39N/AN/A893634422,832
2017-04-13$23.77$25.0036.4%10.4%25.3%24.5%37.8%5.9%-1.1%-80.9K1.6M-13.1K4.0882.61N/AN/A893634442,832
2017-04-17$23.76$25.0036.8%10.6%24.4%25.3%38.1%7.8%-2.8%-81.2K1.6M-13.0K4.0881.06N/AN/A893634442,832
2017-04-18$23.82$25.0038.3%11.0%24.4%27.9%39.3%7.5%-4.2%-82.2K1.6M-12.8K4.0867.49N/AN/A903674492,832
2017-04-19$24.11$25.0038.1%10.9%23.1%27.5%38.9%7.5%-3.6%-76.4K1.4M-12.4K4.0873.74N/AN/A903674492,836
2017-04-20$24.54$25.0037.1%10.6%23.7%25.8%38.1%8.1%-2.7%-71.4K1.3M-12.0K4.0883.92N/AN/A903674492,836
2017-04-21$24.19$25.0036.8%10.5%23.3%25.2%41.4%7.5%-3.3%-75.7K1.5M-12.1K3.4889.09N/AN/A903134492,836
2017-04-24$24.39$25.0039.6%11.4%23.5%30.2%41.1%7.5%-5.3%-74.5K1.3M-11.7K6.2950.49N/AN/A483023722,747
2017-04-25$24.42$25.0037.5%10.8%22.2%26.5%40.1%9.2%-3.1%-72.1K1.2M-11.7K6.2935.40N/AN/A483023802,747
2017-04-26$24.50$25.0037.5%10.7%22.2%26.4%37.1%6.5%-3.8%-73.3K1.3M-11.8K6.2968.69N/AN/A483023802,747
2017-04-27$24.47$25.0037.7%10.8%22.0%26.8%37.4%9.4%-3.5%-74.7K1.3M-11.8K6.2930.97N/AN/A483023802,747
2017-04-28$24.11$25.0038.7%11.1%22.3%28.6%38.6%6.2%-4.8%-77.9K1.4M-11.9K6.8428.99N/AN/A513493802,747