WWW Options History — August 2017

In August 2017, WWW traded between $25.68 and $28.40. ATM implied volatility averaged 34.5%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 8.3% (HV 20d: 26.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 9.58.

Notable Days

  • 2017-08-08: Highest Volume — 2,237 contracts
  • 2017-08-09: Largest IV drop — 38.1% change
  • 2017-08-08: Highest IV Rank — 56.4%
  • 2017-08-02: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.69$25.68$28.40$28.40$26.29
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV34.5%28.9%54.4%40.0%31.0%
Expected Move9.2%8.3%11.9%11.5%8.9%
HV 20d26.3%20.1%31.6%21.3%28.5%
HV 60d24.3%22.5%27.6%27.3%25.0%
IV Rank21.2%11.1%56.4%30.9%14.9%
IV Percentile44.8%6.3%98.8%90.5%31.3%
Term Structure-0.3%-8.3%2.8%-8.3%0.9%
VWIV32.9%28.6%54.2%40.3%32.1%
Skew 25d5.8%-2.3%10.8%8.2%7.8%
Skew 10d8.2%-9.6%19.9%18.0%5.4%
Call IV 25d27.7%20.9%42.2%28.6%23.5%
Put IV 25d33.5%26.9%53.0%36.8%31.3%
Bid-Ask Spread %23.879.9356.8821.5115.18
Gamma HHI0.550.390.840.440.39
Net GEX-146.5K-571.2K-30.0K-74.1K-30.0K
Net DEX420.4K-289.7K2.4M241.6K-135.8K
Net VEX-5.9K-9.7K-3.9K-7.3K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.580.3831.506.282.62
Total Volume765.9572452,237342315
Total OI4,932.2612,6178,0723,6222,779

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$28.40$25.0040.0%11.5%21.3%30.9%40.3%8.2%-8.3%-74.1K241.6K-7.3K6.2821.51N/AN/A472955513,071
2017-08-02$27.89$25.0041.7%11.9%22.2%33.8%54.2%10.8%-7.9%-91.8K375.6K-7.5K29.8456.88N/AN/A381,1345573,071
2017-08-03$27.75$25.0040.5%9.4%21.3%31.8%34.9%5.7%-1.4%-159.7K951.8K-9.0K31.5020.70N/AN/A361,1345574,113
2017-08-04$27.77$25.0041.0%9.7%20.8%32.6%35.2%6.1%-2.1%-162.9K890.3K-8.8K21.0018.34N/AN/A541,1345574,113
2017-08-07$27.98$25.0052.3%9.6%20.9%52.7%35.4%6.9%-1.4%-126.5K1.2M-8.4K4.5022.59N/AN/A542435704,113
2017-08-08$27.83$25.0054.4%10.5%20.1%56.4%36.7%5.0%-3.7%-165.3K688.7K-7.6K0.3825.43N/AN/A1,6236145694,186
2017-08-09$27.00$25.0033.7%9.7%22.9%19.7%32.3%3.7%-0.8%-216.1K603.6K-7.5K18.8546.71N/AN/A951,7912,1314,539
2017-08-10$26.08$25.0032.0%9.2%25.9%16.7%32.0%2.8%0.1%-571.2K2.4M-9.7K25.9641.80N/AN/A691,7912,1405,932
2017-08-11$26.70$25.0032.4%9.3%27.5%17.3%32.0%2.5%0.4%-402.9K1.2M-7.9K26.3435.04N/AN/A681,7912,1395,932
2017-08-14$27.15$25.0032.7%9.4%28.2%17.9%32.2%3.8%0.7%-57.9K-289.7K-4.6K25.9633.42N/AN/A691,7912,1395,932
2017-08-15$26.23$25.0030.8%8.8%30.6%14.5%30.7%-2.3%0.5%-567.9K1.3M-6.4K3.0323.01N/AN/A692092,1405,932
2017-08-16$26.74$25.0031.1%8.9%31.5%15.1%30.9%0.2%0.4%-179.5K42.4K-4.4K2.7823.57N/AN/A722002,1405,931
2017-08-17$26.32$25.0031.9%9.1%31.1%16.5%31.6%9.5%-0.4%-176.2K95.9K-4.4K2.7814.91N/AN/A722002,1405,931
2017-08-18$25.88$25.0030.2%8.7%31.6%13.5%30.0%9.3%1.3%-51.1K135.7K-4.3K1.5117.91N/AN/A1231862,1405,931
2017-08-21$26.00$25.0029.7%8.5%30.7%12.6%29.2%10.0%2.2%-45.7K72.2K-4.3K1.789.93N/AN/A881578511,766
2017-08-22$25.93$25.0029.3%8.4%26.7%11.9%29.0%6.4%2.8%-45.5K56.1K-4.1K1.4412.08N/AN/A1161678511,766
2017-08-23$25.79$25.0029.1%8.3%26.7%11.5%29.4%4.9%2.0%-50.0K68.9K-4.4K1.5811.50N/AN/A1061678791,781
2017-08-24$26.14$25.0029.8%8.5%27.1%12.8%29.9%8.8%2.0%-35.8K-79.6K-4.2K1.9214.79N/AN/A871678991,781
2017-08-25$26.28$25.0029.6%8.5%27.2%12.4%29.7%8.8%0.8%-32.5K-135.4K-4.0K1.9214.10N/AN/A871679001,781
2017-08-28$26.30$25.0031.6%9.1%27.2%15.9%31.5%9.0%0.8%-32.4K-127.2K-3.9K2.8412.08N/AN/A872479001,781
2017-08-29$25.85$25.0030.3%8.7%27.3%13.8%29.8%2.9%1.7%-46.5K52.9K-4.5K2.9310.58N/AN/A872559001,861
2017-08-30$25.68$25.0028.9%8.3%26.8%11.1%28.6%3.1%2.4%-47.8K64.7K-4.4K2.6246.94N/AN/A872289001,869
2017-08-31$26.29$25.0031.0%8.9%28.5%14.9%32.1%7.8%0.9%-30.0K-135.8K-4.0K2.6215.18N/AN/A872289001,879