WWW Options History — March 2018

In March 2018, WWW traded between $28.20 and $29.63. ATM implied volatility averaged 28.6%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.1% (HV 20d: 28.7%). 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 2.82.

Notable Days

  • 2018-03-09: Highest Volume — 439 contracts
  • 2018-03-14: Largest IV drop — 17.7% change
  • 2018-03-13: Highest IV Rank — 29.2%
  • 2018-03-01: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.09$28.20$29.63$28.98$28.90
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV28.6%26.0%33.2%30.7%26.3%
Expected Move8.0%7.4%8.8%8.8%7.5%
HV 20d28.7%19.3%34.6%34.0%19.3%
HV 60d27.0%25.8%28.3%28.3%26.3%
IV Rank22.0%17.7%29.2%25.3%18.3%
IV Percentile24.8%6.0%63.1%44.4%7.9%
Term Structure4.1%-1.9%6.7%-1.9%6.1%
VWIV29.1%24.3%37.4%33.5%27.0%
Skew 25d4.8%-5.8%13.4%13.4%-0.3%
Skew 10d8.0%-12.8%19.8%18.4%0.3%
Call IV 25d25.5%21.6%30.6%30.6%26.1%
Put IV 25d30.3%21.2%44.0%44.0%25.8%
Bid-Ask Spread %47.8514.1381.5525.2747.69
Gamma HHI0.550.450.730.480.50
Net GEX46.7K10.8K121.6K19.4K25.1K
Net DEX-233.3K-608.8K373.3K-100.8K-322.5K
Net VEX-6.9K-8.9K-5.8K-8.6K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.821.044.244.012.13
Total Volume346.619219439411219
Total OI4,345.2861,3686,5586,5021,483

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$28.98$30.0030.7%8.8%34.0%25.3%33.5%13.4%-1.9%19.4K-100.8K-8.6K4.0125.27N/AN/A823292,1724,330
2018-03-02$29.12$30.0029.1%8.3%33.7%22.7%29.4%-3.9%-0.9%41.0K-197.2K-8.9K3.8718.90N/AN/A853292,2234,315
2018-03-05$29.13$30.0031.9%8.2%33.7%27.1%31.3%10.5%3.6%50.4K-247.7K-8.3K3.8746.31N/AN/A853292,2234,315
2018-03-06$29.56$30.0029.8%8.2%34.2%23.9%29.4%11.8%2.8%78.8K-549.1K-8.1K3.1258.82N/AN/A1043242,2234,315
2018-03-07$29.63$30.0029.0%8.0%34.1%22.5%29.3%12.1%4.0%91.4K-608.8K-8.1K3.6869.29N/AN/A883242,2434,314
2018-03-08$29.01$30.0031.7%8.2%34.6%26.8%29.9%8.8%3.9%69.0K-102.3K-7.7K4.2448.45N/AN/A833522,2444,314
2018-03-09$29.36$30.0027.4%7.8%33.0%20.0%29.3%12.3%4.1%101.2K-355.2K-7.6K4.0549.83N/AN/A873522,2484,289
2018-03-12$29.51$30.0031.4%8.2%31.2%26.3%30.3%11.0%3.6%121.6K-439.7K-7.3K4.0559.21N/AN/A873522,2494,289
2018-03-13$29.42$30.0033.2%8.1%31.1%29.2%26.1%-0.5%3.7%119.6K-312.6K-7.1K3.9748.05N/AN/A873452,2494,289
2018-03-14$29.00$30.0027.4%7.8%31.5%19.9%24.3%-1.8%3.2%84.8K55.7K-6.7K2.3859.51N/AN/A1002382,2504,289
2018-03-15$28.78$30.0027.7%7.9%28.8%20.4%31.1%8.3%3.6%31.4K373.3K-6.3K2.8859.74N/AN/A1002882,2304,271
2018-03-16$29.42$30.0027.0%7.7%30.2%19.4%30.6%10.1%3.5%13.9K176.2K-6.2K2.4267.38N/AN/A1002422,2304,246
2018-03-19$29.32$30.0026.9%7.7%30.1%19.2%26.2%-1.2%6.7%13.2K-323.5K-6.1K2.3657.60N/AN/A73172632736
2018-03-20$29.28$30.0026.0%7.4%30.1%17.7%25.9%-1.4%6.4%13.5K-368.1K-6.0K2.3644.20N/AN/A73172643736
2018-03-21$29.30$30.0026.1%7.5%26.5%17.9%26.0%-1.2%6.0%13.5K-353.6K-6.1K2.3614.13N/AN/A73172643736
2018-03-22$28.89$30.0027.2%7.8%23.0%19.7%27.1%-5.2%6.2%10.8K-267.2K-5.9K1.1835.59N/AN/A159187643736
2018-03-23$28.20$30.0029.5%8.5%22.0%23.3%30.2%4.4%4.1%14.0K-129.7K-6.3K1.0462.49N/AN/A159166733740
2018-03-26$28.60$30.0027.8%8.0%20.9%20.6%28.3%10.5%5.5%21.1K-246.0K-5.9K1.0423.96N/AN/A159165733740
2018-03-27$28.60$30.0027.6%7.9%20.7%20.3%37.4%8.5%5.2%21.4K-229.3K-5.8K2.1326.96N/AN/A70149733741
2018-03-28$28.98$30.0027.7%7.9%19.6%20.5%27.7%-5.8%6.0%24.9K-352.2K-6.0K2.1381.55N/AN/A70149733750
2018-03-29$28.90$30.0026.3%7.5%19.3%18.3%27.0%-0.3%6.1%25.1K-322.5K-6.0K2.1347.69N/AN/A70149733750