WWW Options History — January 2018

In January 2018, WWW traded between $31.41 and $33.58. ATM implied volatility averaged 28.9%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.1% (HV 20d: 22.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.37.

Notable Days

  • 2018-01-02: Highest Volume — 463 contracts
  • 2018-01-03: Largest IV spike — 114.3% change
  • 2018-01-08: Highest IV Rank — 35.9%
  • 2018-01-08: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.50$31.41$33.58$32.51$32.81
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV28.9%14.8%37.8%14.8%28.4%
Expected Move8.2%4.2%9.8%4.2%8.1%
HV 20d22.8%17.5%27.0%24.3%23.3%
HV 60d27.9%26.8%28.8%27.7%26.8%
IV Rank22.0%0.0%35.9%0.0%21.2%
IV Percentile26.9%0.0%76.6%0.0%17.5%
Term Structure3.6%-0.6%16.1%11.6%3.9%
VWIV31.5%26.8%47.7%33.1%47.7%
Skew 25d6.5%1.3%13.8%13.8%10.7%
Skew 10d13.4%4.7%25.3%17.3%12.1%
Call IV 25d27.4%16.4%32.4%16.4%32.4%
Put IV 25d33.9%30.2%43.1%30.2%43.1%
Bid-Ask Spread %56.1613.27103.5115.73103.51
Gamma HHI0.450.380.540.420.48
Net GEX93.7K65.2K119.5K90.9K101.2K
Net DEX-2.2M-2.9M-1.4M-2.2M-2.4M
Net VEX-13.0K-14.6K-11.5K-14.2K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.370.108.140.104.26
Total Volume195.762107463463200
Total OI3,750.7143,6603,8113,6603,753

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$32.51$30.0014.8%4.2%24.3%0.0%33.1%13.8%11.6%90.9K-2.2M-14.2K0.1015.73N/AN/A421421,7321,928
2018-01-03$31.60$30.0031.7%9.1%27.0%26.3%31.8%9.9%-0.6%69.8K-1.6M-14.6K2.4513.27N/AN/A31761,7341,932
2018-01-04$31.41$30.0031.4%8.7%25.6%25.9%30.4%6.2%1.8%65.2K-1.4M-14.2K5.6620.76N/AN/A291641,7341,959
2018-01-05$31.65$30.0031.4%8.6%24.2%25.9%30.0%4.2%2.9%71.1K-1.7M-14.3K8.1023.22N/AN/A211701,7332,048
2018-01-08$32.09$30.0037.8%9.8%24.4%35.9%34.3%7.7%-0.5%84.2K-2.1M-13.9K8.1424.93N/AN/A211711,7412,054
2018-01-09$31.83$30.0032.0%9.5%24.8%26.8%33.1%6.1%0.3%75.6K-1.6M-14.1K8.1414.32N/AN/A211711,7412,055
2018-01-10$31.71$30.0031.6%9.1%24.6%26.2%31.6%4.7%0.7%77.1K-1.8M-13.5K7.7738.67N/AN/A221711,7412,055
2018-01-11$31.75$30.0030.3%8.7%24.3%24.1%30.3%1.3%2.6%78.8K-1.9M-13.4K7.7779.06N/AN/A221711,7442,055
2018-01-12$32.28$30.0031.0%8.9%24.6%25.3%31.0%3.1%4.1%89.6K-2.1M-13.4K5.8376.01N/AN/A231341,7442,055
2018-01-16$32.10$30.0032.1%9.2%23.3%27.0%29.8%5.5%2.8%89.1K-2.1M-12.9K3.3987.51N/AN/A411391,7452,055
2018-01-17$32.55$30.0027.0%7.7%17.9%19.1%29.4%3.2%2.2%100.8K-2.4M-12.2K3.3185.94N/AN/A421391,7412,062
2018-01-18$32.58$30.0026.9%7.7%17.5%18.8%29.9%4.7%2.4%100.9K-2.4M-12.4K2.4344.79N/AN/A541311,7452,062
2018-01-19$33.24$30.0025.8%7.4%18.5%17.1%26.8%5.8%3.3%114.3K-2.6M-12.8K2.2317.91N/AN/A611361,7452,066
2018-01-22$33.44$30.0026.8%7.7%18.5%18.8%30.8%9.3%3.1%118.4K-2.8M-11.8K2.4784.41N/AN/A451111,7261,954
2018-01-23$33.57$30.0025.5%7.3%18.5%16.6%27.1%9.5%6.0%119.5K-2.9M-12.2K2.7775.74N/AN/A401111,7261,954
2018-01-24$32.45$30.0031.2%9.0%22.8%25.6%31.6%6.6%16.1%90.0K-2.1M-12.7K3.1173.54N/AN/A461431,7301,954
2018-01-25$32.86$30.0027.1%7.8%22.6%19.1%30.9%1.8%0.2%102.6K-2.4M-12.6K3.1196.61N/AN/A461431,7401,997
2018-01-26$33.58$30.0028.0%8.0%23.7%20.6%32.4%7.7%4.8%117.2K-2.9M-11.7K3.1337.86N/AN/A461441,7401,998
2018-01-29$33.40$30.0029.8%8.5%23.8%23.4%29.5%6.5%5.8%106.8K-2.7M-12.2K3.2469.62N/AN/A501621,7272,002
2018-01-30$33.05$30.0026.7%7.7%24.2%18.6%29.7%7.9%2.8%103.6K-2.5M-12.1K4.2695.88N/AN/A381621,7322,026
2018-01-31$32.81$30.0028.4%8.1%23.3%21.2%47.7%10.7%3.9%101.2K-2.4M-11.5K4.26103.51N/AN/A381621,7272,026