WWW Options History — December 2017

In December 2017, WWW traded between $28.59 and $31.93. ATM implied volatility averaged 28.2%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.9% (HV 20d: 27.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.70.

Notable Days

  • 2017-12-15: Highest Volume — 1,006 contracts
  • 2017-12-12: Largest IV drop — 19.2% change
  • 2017-12-11: Highest IV Rank — 20.3%
  • 2017-12-26: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.30$28.59$31.93$28.84$31.84
Max Pain$29.75$25.00$30.00$25.00$30.00
ATM IV28.2%25.1%31.1%28.1%29.8%
Expected Move8.1%7.8%8.9%8.1%8.6%
HV 20d27.3%22.5%34.5%32.5%24.0%
HV 60d27.3%26.1%28.4%26.1%27.4%
IV Rank15.4%10.4%20.3%15.4%18.2%
IV Percentile14.5%2.8%39.7%7.1%27.4%
Term Structure2.0%-1.2%5.2%-0.3%0.2%
VWIV30.2%27.8%34.7%30.3%30.1%
Skew 25d10.6%-1.8%14.2%-1.8%10.6%
Skew 10d18.6%-4.3%27.8%-4.3%14.6%
Call IV 25d21.5%19.1%28.3%28.3%19.1%
Put IV 25d32.1%26.5%36.1%26.5%29.6%
Bid-Ask Spread %25.4210.3657.4310.7613.34
Gamma HHI0.360.330.390.380.39
Net GEX32.7K-19.4K78.1K-14.5K77.5K
Net DEX-1.1M-1.9M-278.6K-410.5K-1.7M
Net VEX-15.3K-16.3K-13.7K-16.2K-14.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.103.490.290.10
Total Volume578.052051,006602463
Total OI3,925.33,6134,1874,1403,661

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$28.84$25.0028.1%8.1%32.5%15.4%30.3%-1.8%-0.3%-14.5K-410.5K-16.2K0.2910.76N/AN/A4651371,7172,423
2017-12-04$29.22$30.0030.1%8.2%32.3%18.7%30.8%10.6%2.8%-2.5K-769.9K-16.0K0.2922.01N/AN/A4651371,7172,423
2017-12-05$28.59$30.0026.2%8.1%33.5%12.2%29.4%5.7%3.7%-19.4K-278.6K-15.5K1.8934.79N/AN/A711341,7172,423
2017-12-06$29.38$30.0027.9%8.0%34.5%14.9%33.1%13.1%3.1%7.7K-857.6K-15.2K2.8921.77N/AN/A571651,7172,423
2017-12-07$29.53$30.0026.9%8.2%28.2%13.4%31.9%11.5%3.0%10.4K-947.7K-15.2K2.7523.59N/AN/A571571,7172,443
2017-12-08$29.71$30.0026.4%8.0%23.8%12.6%32.4%12.6%3.1%16.3K-1.1M-14.9K3.0714.78N/AN/A541661,7172,447
2017-12-11$29.46$30.0031.1%8.0%22.5%20.3%29.3%11.6%3.4%12.8K-902.4K-14.4K3.0713.28N/AN/A541661,7172,459
2017-12-12$29.27$30.0025.1%8.1%22.8%10.4%27.8%10.9%3.3%10.8K-865.6K-14.8K3.1115.36N/AN/A541681,7172,459
2017-12-13$29.60$30.0028.0%8.0%22.9%15.2%32.3%12.2%3.9%16.2K-958.8K-14.3K3.1726.55N/AN/A541711,7172,459
2017-12-14$29.03$30.0027.1%7.8%24.0%13.6%28.1%11.0%3.2%2.8K-635.5K-14.0K3.4918.08N/AN/A491711,7172,463
2017-12-15$30.40$30.0027.2%7.8%28.6%13.9%34.7%14.2%3.6%32.7K-1.9M-13.7K1.2940.41N/AN/A4395671,7242,463
2017-12-18$30.81$30.0027.1%7.8%28.7%13.6%27.8%13.3%5.2%49.6K-1.1M-16.0K1.0521.96N/AN/A4284511,7461,884
2017-12-19$31.04$30.0027.3%7.8%28.3%14.0%29.8%13.0%1.0%53.9K-1.3M-16.1K1.0318.53N/AN/A4294401,7521,884
2017-12-20$31.20$30.0028.1%8.1%28.1%15.4%29.6%12.7%0.7%56.9K-1.4M-16.3K1.0348.64N/AN/A4384511,7531,893
2017-12-21$31.33$30.0027.9%8.0%27.3%15.0%28.1%10.8%0.8%57.9K-1.5M-16.0K1.1236.22N/AN/A4384901,7321,913
2017-12-22$31.31$30.0028.4%8.1%27.3%15.9%28.4%8.9%1.1%62.3K-1.3M-15.6K1.0757.43N/AN/A4384691,7321,881
2017-12-26$31.77$30.0031.0%8.9%26.4%20.2%31.1%11.3%-1.2%69.9K-1.6M-16.0K1.0747.01N/AN/A4384691,7321,898
2017-12-27$31.72$30.0029.1%8.3%26.0%17.0%29.2%9.5%0.6%74.4K-1.5M-15.1K1.0610.36N/AN/A4384631,7321,898
2017-12-28$31.93$30.0030.2%8.7%24.3%18.8%30.2%10.2%-0.8%78.1K-1.6M-15.3K1.0513.58N/AN/A4194411,7321,904
2017-12-29$31.84$30.0029.8%8.6%24.0%18.2%30.1%10.6%0.2%77.5K-1.7M-14.8K0.1013.34N/AN/A419441,7321,929