WWW Options History — June 2017

In June 2017, WWW traded between $25.29 and $28.05. ATM implied volatility averaged 31.6%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 7.1% (HV 20d: 24.5%). 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 18 of 22 days. Put/call ratio averaged 1.86.

Notable Days

  • 2017-06-09: Highest Volume — 609 contracts
  • 2017-06-29: Largest IV spike — 34.6% change
  • 2017-06-13: Highest IV Rank — 34.7%
  • 2017-06-29: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.50$25.29$28.05$25.90$28.05
Max Pain$23.07$22.50$25.00$25.00$22.50
ATM IV31.6%24.0%42.1%30.2%24.0%
Expected Move8.7%6.9%9.9%8.7%6.9%
HV 20d24.5%13.9%35.8%35.7%23.7%
HV 60d26.6%25.8%27.4%26.5%26.4%
IV Rank16.0%2.6%34.7%13.6%2.6%
IV Percentile32.9%0.4%94.4%22.2%0.4%
Term Structure1.9%-4.3%12.4%-0.1%2.1%
VWIV30.2%23.6%33.5%30.4%28.2%
Skew 25d7.1%-9.9%16.0%4.7%-9.9%
Skew 10d6.6%-7.1%19.0%1.1%-6.5%
Call IV 25d23.5%17.2%33.5%24.8%28.5%
Put IV 25d30.6%18.6%34.7%29.5%18.6%
Bid-Ask Spread %40.0616.4979.2216.6931.35
Gamma HHI0.570.450.720.460.51
Net GEX-43.3K-74.7K-14.2K-74.3K-14.2K
Net DEX-137.7K-667.3K460.7K81.2K-406.7K
Net VEX-8.2K-9.8K-6.3K-9.8K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.861.442.511.782.51
Total Volume507.955390609586397
Total OI3,116.3182,0733,9953,9332,132

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$25.90$25.0030.2%8.7%35.7%13.6%30.4%4.7%-0.1%-74.3K81.2K-9.8K1.7816.69N/AN/A2113757663,167
2017-06-02$26.11$25.0032.0%9.2%35.6%16.7%32.3%-1.4%-1.1%-67.8K-49.8K-9.6K1.7378.65N/AN/A2173757693,167
2017-06-05$26.02$22.5033.9%8.8%35.7%20.0%31.1%-0.8%1.3%-71.4K-7.4K-9.4K1.8349.20N/AN/A2073787693,167
2017-06-06$25.88$25.0033.4%8.8%35.8%19.1%31.0%9.8%1.4%-74.7K41.0K-9.3K1.8767.63N/AN/A2023787693,170
2017-06-07$25.95$25.0032.3%8.4%35.6%17.3%30.1%9.5%2.0%-74.1K-13.5K-9.3K1.8765.96N/AN/A2023787713,170
2017-06-08$26.56$25.0034.5%9.1%27.5%21.1%31.8%3.7%0.7%-56.1K-324.3K-8.6K1.7236.69N/AN/A2203787713,170
2017-06-09$26.77$22.5030.0%8.8%24.3%13.1%29.5%11.3%2.3%-42.8K-534.8K-8.0K1.6739.87N/AN/A2283817793,170
2017-06-12$26.93$22.5035.1%8.4%24.0%22.1%28.2%2.2%3.2%-33.6K-638.2K-8.0K1.4428.37N/AN/A2383428003,174
2017-06-13$27.09$22.5042.1%8.8%22.4%34.7%30.2%10.7%1.4%-30.9K-667.3K-7.7K1.4477.77N/AN/A2383427883,203
2017-06-14$26.84$22.5030.9%8.9%16.1%14.8%29.2%11.2%2.2%-34.9K-577.5K-8.0K1.4479.22N/AN/A2383427883,207
2017-06-15$26.83$22.5030.6%8.8%13.9%14.2%29.6%10.7%1.0%-34.3K-528.6K-8.0K1.5316.49N/AN/A2233427873,207
2017-06-16$26.43$22.5030.7%8.8%15.3%14.4%31.7%11.2%1.2%-35.5K-429.8K-8.3K1.5826.88N/AN/A2243557823,207
2017-06-19$26.58$22.5028.8%8.3%15.2%11.1%28.1%9.5%4.3%-33.6K104.7K-7.8K2.5021.69N/AN/A1122804741,599
2017-06-20$25.65$22.5030.7%8.8%20.4%14.3%31.3%8.4%2.1%-44.3K373.7K-8.3K2.4825.28N/AN/A1122784741,599
2017-06-21$25.29$22.5029.7%8.5%21.0%12.7%30.7%8.7%3.0%-48.2K460.7K-8.5K2.4825.57N/AN/A1122784741,601
2017-06-22$26.01$22.5029.6%8.5%23.2%12.4%30.2%5.1%4.0%-39.7K268.3K-7.9K1.8544.68N/AN/A1502784741,601
2017-06-23$26.30$22.5031.0%8.9%23.1%14.9%30.4%2.9%2.1%-34.5K150.5K-8.2K1.8537.67N/AN/A1502785211,601
2017-06-26$26.58$22.5032.5%9.3%22.5%17.5%31.8%10.4%0.2%-31.0K37.0K-7.7K1.7617.73N/AN/A1582785211,601
2017-06-27$26.63$22.5032.7%9.4%22.2%18.0%32.2%10.3%-0.0%-30.7K18.9K-7.7K1.7638.11N/AN/A1582785211,601
2017-06-28$27.07$22.5025.6%7.3%22.6%5.4%23.6%12.6%12.4%-25.6K-127.5K-7.0K1.7322.22N/AN/A1612785211,601
2017-06-29$27.48$22.5034.5%9.9%22.9%21.1%33.5%16.0%-4.3%-20.2K-260.1K-6.7K1.9933.53N/AN/A1422835241,601
2017-06-30$28.05$22.5024.0%6.9%23.7%2.6%28.2%-9.9%2.1%-14.2K-406.7K-6.3K2.5131.35N/AN/A1132845261,606