WWW Options History — November 2017

In November 2017, WWW traded between $26.46 and $29.24. ATM implied volatility averaged 36.5%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.2% (HV 20d: 32.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-11-10: Highest Volume — 2,300 contracts
  • 2017-11-08: Largest IV drop — 63.2% change
  • 2017-11-07: Highest IV Rank — 86.4%
  • 2017-11-01: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.82$26.46$29.24$27.13$28.99
Max Pain$25.24$25.00$30.00$30.00$25.00
ATM IV36.5%22.3%70.8%63.5%29.6%
Expected Move9.2%6.4%18.2%18.2%8.5%
HV 20d32.3%24.2%36.1%24.4%32.8%
HV 60d24.9%22.2%26.1%24.6%26.1%
IV Rank29.3%5.7%86.4%74.3%17.8%
IV Percentile30.4%0.4%99.2%99.2%19.0%
Term Structure-0.9%-17.3%5.1%-17.3%-1.4%
VWIV35.8%29.3%58.6%58.6%29.3%
Skew 25d5.6%-2.5%9.7%8.2%-2.5%
Skew 10d9.1%-3.5%25.3%17.9%-3.5%
Call IV 25d31.9%26.2%55.6%55.6%29.6%
Put IV 25d37.5%27.0%63.8%63.8%27.0%
Bid-Ask Spread %49.0613.5986.1576.8313.99
Gamma HHI0.480.360.740.630.37
Net GEX-213.3K-866.2K-5.6K-580.8K-10.4K
Net DEX12.3M-710.2K21.9M17.6M-548.3K
Net VEX-20.2K-28.4K-15.9K-27.2K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.293.062.560.29
Total Volume1,202.195602,300825602
Total OI9,725.3334,07913,65612,3524,140

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$27.13$30.0063.5%18.2%24.4%74.3%58.6%8.2%-17.3%-580.8K17.6M-27.2K2.5676.83N/AN/A2325931,90210,450
2017-11-02$26.85$25.0063.1%12.5%24.4%73.5%43.5%4.9%-4.6%-541.3K18.5M-24.5K3.0643.36N/AN/A2327091,90210,291
2017-11-03$26.60$25.0064.6%12.8%24.4%76.1%45.3%5.2%-2.5%-514.7K18.6M-22.4K0.7441.58N/AN/A7215311,90310,285
2017-11-06$26.47$25.0069.6%13.2%24.2%84.4%47.4%6.5%-7.0%-488.8K18.8M-28.4K0.7236.38N/AN/A7395292,41010,796
2017-11-07$26.46$25.0070.8%13.0%24.2%86.4%50.2%7.0%-8.0%-488.9K18.8M-27.8K1.4161.20N/AN/A9451,3342,43710,796
2017-11-08$28.05$25.0026.0%7.5%32.2%11.9%32.7%6.2%5.1%-866.2K19.0M-26.8K1.3083.24N/AN/A9451,2272,33610,878
2017-11-09$27.00$25.0033.8%9.7%34.6%24.9%33.4%3.4%0.3%-530.2K18.1M-27.3K1.4786.15N/AN/A9301,3682,32710,766
2017-11-10$27.77$25.0022.3%6.4%36.1%5.7%36.0%6.0%4.6%-40.3K21.5M-17.8K1.4762.51N/AN/A9311,3692,32711,321
2017-11-13$27.81$25.0028.9%8.3%35.9%16.6%30.9%5.9%1.9%-48.7K21.7M-17.9K0.9070.00N/AN/A9318392,32711,321
2017-11-14$28.00$25.0029.2%8.4%35.9%17.2%30.5%4.7%1.6%-129.6K21.8M-18.6K0.9073.12N/AN/A9348382,32711,321
2017-11-15$27.78$25.0028.1%8.0%36.0%15.3%30.8%6.6%2.3%-53.0K21.7M-17.9K0.9147.08N/AN/A9238432,33011,323
2017-11-16$28.03$25.0025.6%7.3%36.1%11.2%29.4%7.5%3.6%-30.3K21.9M-17.5K0.3762.44N/AN/A9233412,33011,322
2017-11-17$28.26$25.0025.3%7.3%34.6%10.7%30.0%6.2%5.0%-22.8K21.8M-17.4K0.5241.82N/AN/A4272212,33011,326
2017-11-20$28.75$25.0027.6%7.9%35.1%14.5%31.6%8.7%0.7%-11.5K-413.0K-17.7K0.3057.31N/AN/A4331311,7102,369
2017-11-21$28.55$25.0027.4%7.9%35.0%14.2%33.3%8.2%-0.2%-15.8K-243.2K-17.2K0.3021.81N/AN/A4301301,7232,371
2017-11-22$28.17$25.0027.0%7.7%35.3%13.5%30.4%7.3%-0.1%-23.2K23.5K-17.1K0.3023.43N/AN/A4301301,7242,372
2017-11-24$28.18$25.0022.9%6.6%35.0%6.7%34.1%4.6%0.5%-22.8K-60.1K-16.4K0.3062.83N/AN/A4301301,7242,372
2017-11-27$27.77$25.0023.5%6.7%35.2%7.6%32.1%4.4%-1.1%-33.1K130.0K-15.9K0.3330.34N/AN/A4301401,7242,372
2017-11-28$28.36$25.0027.8%8.0%34.3%14.7%31.5%9.7%-0.1%-21.0K-133.2K-16.2K0.3821.14N/AN/A4801801,7242,382
2017-11-29$29.24$25.0029.4%8.4%32.7%17.6%31.2%-1.6%-1.5%-5.6K-710.2K-16.2K0.3013.59N/AN/A4741411,7192,422
2017-11-30$28.99$25.0029.6%8.5%32.8%17.8%29.3%-2.5%-1.4%-10.4K-548.3K-16.1K0.2913.99N/AN/A4651371,7172,423