WWW Options History — July 2017

In July 2017, WWW traded between $26.89 and $28.19. ATM implied volatility averaged 37.1%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 14.1% (HV 20d: 22.9%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 7.47.

Notable Days

  • 2017-07-21: Highest Volume — 1,159 contracts
  • 2017-07-05: Largest IV spike — 214.3% change
  • 2017-07-05: Highest IV Rank — 98.0%
  • 2017-07-05: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.51$26.89$28.19$27.85$28.19
Max Pain$24.50$20.00$25.00$22.50$25.00
ATM IV37.1%24.8%77.8%24.8%42.2%
Expected Move10.8%7.1%22.3%7.1%12.1%
HV 20d22.9%17.4%25.1%23.8%21.4%
HV 60d26.6%25.9%27.5%26.3%27.3%
IV Rank25.7%3.8%98.0%3.8%34.8%
IV Percentile60.1%1.2%99.6%1.2%94.8%
Term Structure-5.5%-54.3%9.7%9.7%-9.9%
VWIV40.9%29.8%92.3%29.8%42.8%
Skew 25d4.8%1.7%14.2%14.2%1.7%
Skew 10d9.3%-5.8%33.2%17.4%3.3%
Call IV 25d38.2%22.7%106.7%22.7%41.9%
Put IV 25d43.0%36.0%112.9%37.0%43.6%
Bid-Ask Spread %48.1825.86121.66113.7232.95
Gamma HHI0.420.370.530.500.46
Net GEX-67.3K-130.3K-14.1K-14.1K-80.8K
Net DEX148.7K-388.7K657.6K-388.7K282.3K
Net VEX-7.7K-8.7K-6.4K-6.4K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.472.519.442.515.46
Total Volume805.53331,159397349
Total OI2,977.72,1593,6022,1593,602

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$27.85$22.5024.8%7.1%23.8%3.8%29.8%14.2%9.7%-14.1K-388.7K-6.4K2.51113.72N/AN/A1132845521,607
2017-07-05$27.63$22.5077.8%22.3%24.0%98.0%92.3%6.3%-54.3%-18.9K-311.4K-6.5K2.51121.66N/AN/A1132845521,607
2017-07-06$27.15$20.0038.4%11.5%25.1%28.1%39.1%6.6%-6.4%-21.2K-236.8K-6.8K8.7644.23N/AN/A1139905521,607
2017-07-07$27.51$25.0025.9%9.5%24.2%5.8%37.1%3.1%-3.7%-61.3K102.7K-8.4K8.7629.52N/AN/A1139905522,313
2017-07-10$27.50$25.0034.1%10.5%24.1%20.5%38.2%4.3%-0.2%-62.4K59.8K-8.2K8.7629.41N/AN/A1139905522,313
2017-07-11$27.06$25.0033.1%10.7%24.8%18.6%37.6%4.2%-1.9%-70.8K236.9K-8.4K8.9230.00N/AN/A1119905512,313
2017-07-12$27.25$25.0037.3%10.7%24.9%26.2%37.9%2.2%-0.6%-67.3K155.7K-8.0K8.9230.37N/AN/A1119905512,313
2017-07-13$27.30$25.0036.4%10.4%24.6%24.4%38.3%3.3%1.4%-66.6K113.0K-8.2K8.9230.31N/AN/A1119905512,313
2017-07-14$27.30$25.0038.5%11.0%24.6%28.2%39.6%3.4%-2.9%-66.0K139.4K-7.8K8.9262.61N/AN/A1119905512,313
2017-07-17$27.28$25.0040.5%11.6%23.9%31.8%40.7%3.9%-4.1%-64.1K164.7K-7.8K8.9242.31N/AN/A1119905512,313
2017-07-18$27.07$25.0039.1%11.2%24.1%29.2%38.4%3.6%-4.7%-69.7K205.6K-7.7K8.9241.51N/AN/A1119905512,313
2017-07-19$27.12$25.0038.2%11.0%19.8%27.7%38.6%2.9%-3.2%-68.9K173.7K-7.6K8.9239.74N/AN/A1119905512,313
2017-07-20$27.60$25.0030.2%8.7%19.4%13.6%36.7%2.3%-4.9%-63.6K59.1K-7.4K8.9225.86N/AN/A1119905512,313
2017-07-21$27.54$25.0029.1%8.3%17.4%11.5%43.4%5.5%-4.5%-61.0K9.1K-7.0K9.4429.10N/AN/A1111,0485512,313
2017-07-24$26.89$25.0039.7%11.4%19.5%30.3%39.8%4.4%-1.5%-130.3K657.6K-8.7K5.8056.62N/AN/A492845233,058
2017-07-25$27.96$25.0034.9%10.0%23.5%21.8%37.6%9.8%-5.0%-100.0K288.7K-7.8K6.3563.95N/AN/A462925263,059
2017-07-26$27.86$25.0030.5%8.7%23.6%14.1%36.6%2.7%-4.4%-92.5K427.8K-8.6K6.8664.05N/AN/A432955313,068
2017-07-27$28.05$25.0035.2%10.1%23.1%22.4%37.3%5.5%-5.1%-84.3K448.1K-8.0K6.4144.08N/AN/A462955313,071
2017-07-28$28.09$25.0035.3%10.1%22.6%22.6%36.7%5.8%-4.7%-81.8K386.7K-7.9K6.4131.62N/AN/A462955313,071
2017-07-31$28.19$25.0042.2%12.1%21.4%34.8%42.8%1.7%-9.9%-80.8K282.3K-7.4K5.4632.95N/AN/A542955313,071