WWW Options History — September 2017

In September 2017, WWW traded between $26.49 and $28.93. ATM implied volatility averaged 31.3%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 10.3% (HV 20d: 21.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 6.79.

Notable Days

  • 2017-09-29: Highest Volume — 1,832 contracts
  • 2017-09-11: Largest IV spike — 69.7% change
  • 2017-09-11: Highest IV Rank — 36.7%
  • 2017-09-19: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.37$26.49$28.93$26.59$28.85
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV31.3%18.9%44.2%28.2%32.7%
Expected Move8.9%5.4%10.0%8.1%9.4%
HV 20d21.0%17.7%29.0%29.0%17.7%
HV 60d23.8%22.7%24.7%24.6%23.1%
IV Rank15.6%0.0%36.7%7.6%23.0%
IV Percentile32.0%0.0%95.2%2.4%46.8%
Term Structure2.1%-1.3%15.0%5.6%-0.3%
VWIV32.0%21.5%42.5%28.5%42.5%
Skew 25d4.5%-6.0%16.5%8.5%10.2%
Skew 10d2.7%-11.2%14.9%9.0%12.6%
Call IV 25d28.5%17.0%32.6%21.3%31.1%
Put IV 25d33.0%22.2%41.4%29.8%41.4%
Bid-Ask Spread %36.2316.1094.6655.8438.71
Gamma HHI0.380.310.480.310.43
Net GEX-765-20.1K8.0K-14.0K3.4K
Net DEX-415.9K-669.4K-233.2K-245.7K-499.3K
Net VEX-3.4K-3.7K-3.1K-3.7K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.792.5135.644.0535.64
Total Volume452.652071,8324391,832
Total OI1,901.78942,8312,7791,057

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$26.59$25.0028.2%8.1%29.0%7.6%28.5%8.5%5.6%-14.0K-245.7K-3.7K4.0555.84N/AN/A873529001,879
2017-09-05$26.80$25.0029.7%9.3%29.0%10.3%32.8%2.8%0.5%-10.2K-292.7K-3.6K4.0527.28N/AN/A873529001,879
2017-09-06$26.63$25.0032.6%9.6%29.0%15.6%33.4%4.4%-0.6%-20.1K-233.2K-3.6K4.0534.00N/AN/A873529001,879
2017-09-07$26.96$25.0028.1%9.7%27.4%7.5%33.9%3.6%-0.4%-1.4K-362.7K-3.3K4.0529.07N/AN/A873529021,879
2017-09-08$26.82$25.0026.0%9.6%24.3%3.6%30.8%2.9%-0.6%-3.5K-312.0K-3.2K2.6140.46N/AN/A1363559021,879
2017-09-11$26.93$25.0044.2%9.7%22.9%36.7%31.7%3.4%-0.3%-342-401.3K-3.5K2.6341.76N/AN/A1363579521,879
2017-09-12$26.83$25.0042.9%9.1%22.1%34.4%30.0%1.1%1.6%-1.2K-389.4K-3.5K2.6354.83N/AN/A1363579521,879
2017-09-13$27.05$25.0033.4%9.6%18.3%17.1%31.5%2.9%-0.6%1.2K-429.4K-3.3K2.6623.06N/AN/A1363629521,879
2017-09-14$26.49$25.0033.0%9.5%18.7%16.2%31.0%-1.4%-0.6%-3.4K-308.6K-3.5K2.6622.74N/AN/A1363629521,879
2017-09-15$26.85$25.0034.2%9.8%18.4%18.6%33.2%3.1%-1.3%1.8K-394.2K-3.4K2.5127.11N/AN/A1443629521,879
2017-09-18$27.24$25.0033.7%9.7%17.7%17.6%30.1%4.9%1.2%1.7K-399.6K-3.3K8.4145.28N/AN/A22185447447
2017-09-19$27.50$25.0034.8%10.0%17.9%19.6%31.2%4.2%1.3%3.4K-467.6K-3.1K7.1224.01N/AN/A26185451447
2017-09-20$27.50$25.0029.0%8.3%17.8%9.0%26.0%7.7%13.9%6.5K-459.7K-3.2K7.1294.66N/AN/A26185463447
2017-09-21$27.22$25.0032.8%9.4%18.2%16.0%32.2%3.5%2.5%1.2K-433.1K-3.2K7.2728.29N/AN/A26189463447
2017-09-22$27.55$25.0018.9%5.4%18.1%0.0%33.8%16.5%15.0%5.3K-492.8K-3.1K13.3138.58N/AN/A26346463459
2017-09-25$27.69$25.0024.7%7.1%18.1%9.6%34.2%5.4%2.0%-3.1K-405.5K-3.4K8.6536.07N/AN/A31268463617
2017-09-26$28.07$25.0028.3%8.1%18.5%15.7%34.1%5.4%1.0%1.8K-465.8K-3.5K5.4629.49N/AN/A50273468618
2017-09-27$28.93$25.0030.1%8.6%19.1%18.7%36.7%7.1%-0.3%8.0K-656.6K-3.5K5.4616.10N/AN/A50273490623
2017-09-28$28.90$25.0028.5%8.2%18.8%16.1%21.5%-6.0%1.5%7.6K-669.4K-3.4K5.5017.16N/AN/A50275487623
2017-09-29$28.85$25.0032.7%9.4%17.7%23.0%42.5%10.2%-0.3%3.4K-499.3K-3.4K35.6438.71N/AN/A501,782432625