WWW Options History — May 2017

In May 2017, WWW traded between $23.78 and $26.24. ATM implied volatility averaged 34.5%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.2% (HV 20d: 29.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 3.10.

Notable Days

  • 2017-05-05: Highest Volume — 1,574 contracts
  • 2017-05-10: Largest IV drop — 39.5% change
  • 2017-05-09: Highest IV Rank — 50.8%
  • 2017-05-03: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.97$23.78$26.24$24.08$26.03
Max Pain$24.43$22.50$25.00$25.00$25.00
ATM IV34.5%28.3%51.2%40.3%32.6%
Expected Move9.3%8.1%12.3%11.6%9.3%
HV 20d29.3%16.1%36.5%21.9%36.0%
HV 60d27.1%23.1%31.6%31.6%26.6%
IV Rank21.2%10.1%50.8%31.4%17.7%
IV Percentile41.0%3.2%99.2%94.8%40.1%
Term Structure-0.5%-7.8%3.6%-5.8%-1.9%
VWIV33.7%28.8%47.4%40.1%32.7%
Skew 25d8.0%-7.7%12.0%8.0%7.2%
Skew 10d10.1%-14.4%21.0%2.7%2.3%
Call IV 25d27.8%20.9%43.6%36.7%24.7%
Put IV 25d35.9%28.1%49.7%44.7%31.9%
Bid-Ask Spread %22.268.9561.0128.029.67
Gamma HHI0.500.390.710.440.45
Net GEX-98.0K-188.0K-29.1K-85.7K-70.7K
Net DEX789.4K-348.2K2.5M1.5M44.6K
Net VEX-12.1K-14.1K-9.9K-11.9K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.101.207.926.841.79
Total Volume763.8184001,574400585
Total OI4,999.2273,1906,9323,1903,933

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$24.08$25.0040.3%11.6%21.9%31.4%40.1%8.0%-5.8%-85.7K1.5M-11.9K6.8428.02N/AN/A513493852,805
2017-05-02$24.13$25.0040.6%11.6%20.4%31.9%40.4%7.5%-5.3%-84.9K1.5M-11.5K6.8430.16N/AN/A513493852,805
2017-05-03$23.85$25.0042.8%12.3%18.0%35.8%47.4%6.1%-7.8%-90.5K1.6M-11.8K7.9261.01N/AN/A977683852,805
2017-05-04$23.79$22.5043.6%10.1%17.6%37.4%38.0%9.2%-2.4%-116.7K1.8M-12.3K7.4157.27N/AN/A1168604353,208
2017-05-05$23.78$22.5044.5%10.0%16.3%38.9%37.7%9.6%-2.9%-188.0K2.5M-13.9K5.9317.89N/AN/A2271,3475014,217
2017-05-08$24.01$22.5050.4%10.5%16.1%49.3%38.7%6.5%-3.4%-165.8K2.1M-14.1K1.8435.18N/AN/A3356186124,203
2017-05-09$24.34$22.5051.2%10.4%16.9%50.8%39.6%3.0%-4.0%-161.2K1.9M-14.0K6.8620.71N/AN/A1741,1947944,491
2017-05-10$26.05$22.5031.0%8.9%29.3%14.9%32.1%12.0%2.1%-51.4K-273.1K-11.6K2.5118.05N/AN/A2857169235,401
2017-05-11$25.19$25.0028.9%8.3%31.9%11.1%29.6%10.9%3.1%-138.1K649.2K-13.9K1.4814.69N/AN/A2914321,0815,718
2017-05-12$25.00$25.0028.3%8.1%30.6%10.1%28.8%10.0%3.5%-123.4K818.7K-14.0K1.3011.79N/AN/A3324321,0915,757
2017-05-15$25.68$25.0028.5%8.2%31.8%10.5%29.9%9.0%3.6%-55.6K-283.8K-12.2K1.7124.07N/AN/A2534321,1545,757
2017-05-16$24.64$25.0029.1%8.3%35.6%11.5%30.8%8.7%2.6%-171.1K1.3M-13.7K1.6815.93N/AN/A2594361,1545,757
2017-05-17$25.29$25.0029.2%8.4%36.5%11.8%31.3%11.2%3.2%-36.3K76.4K-12.5K1.6918.82N/AN/A2594381,1615,769
2017-05-18$25.27$25.0029.7%8.5%36.0%12.7%30.3%10.5%2.2%-29.1K80.8K-12.2K1.7116.39N/AN/A2594431,1615,771
2017-05-19$25.18$25.0030.1%8.6%35.6%13.3%31.3%9.9%1.9%-88.5K-348.2K-11.9K1.2018.61N/AN/A3384051,1615,721
2017-05-22$25.12$25.0030.4%8.7%35.6%13.9%31.0%10.3%-1.0%-93.0K695.8K-11.7K1.5817.16N/AN/A2363747313,166
2017-05-23$25.21$25.0029.5%8.4%35.6%12.2%30.7%9.3%0.2%-90.4K575.7K-11.2K1.5922.10N/AN/A2363757413,166
2017-05-24$25.14$25.0028.7%8.2%35.6%10.9%30.1%7.9%0.7%-92.8K625.0K-11.4K1.5919.84N/AN/A2363757413,167
2017-05-25$25.48$25.0029.2%8.4%35.8%11.7%29.7%8.7%0.4%-84.9K388.0K-10.9K1.5210.90N/AN/A2473757523,167
2017-05-26$25.95$25.0029.0%8.3%35.7%11.4%29.0%-7.7%0.2%-71.7K111.8K-10.2K1.458.95N/AN/A2593757523,167
2017-05-30$26.24$25.0032.2%9.2%35.8%17.0%32.3%9.1%-0.9%-65.2K-52.3K-9.9K1.7912.51N/AN/A2103757653,167
2017-05-31$26.03$25.0032.6%9.3%36.0%17.7%32.7%7.2%-1.9%-70.7K44.6K-9.9K1.799.67N/AN/A2103757663,167