WWW Options History — September 2018

In September 2018, WWW traded between $38.35 and $39.53. ATM implied volatility averaged 25.2%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 9.2% (HV 20d: 16.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.64.

Notable Days

  • 2018-09-27: Highest Volume — 3,018 contracts
  • 2018-09-06: Largest IV spike — 9.5% change
  • 2018-09-19: Highest IV Rank — 21.1%
  • 2018-09-19: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.94$38.35$39.53$39.21$39.06
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV25.2%23.3%26.6%23.3%24.1%
Expected Move7.2%6.7%7.6%6.7%6.9%
HV 20d16.0%14.2%18.6%18.6%16.5%
HV 60d22.2%21.6%22.7%22.3%21.7%
IV Rank18.6%15.2%21.1%15.2%16.7%
IV Percentile14.3%4.0%26.6%4.0%7.9%
Term Structure2.6%0.9%7.2%1.7%7.2%
VWIV27.1%23.3%34.3%23.3%26.5%
Skew 25d6.2%-1.2%9.7%-1.2%6.2%
Skew 10d10.3%-0.9%17.7%-0.9%10.9%
Call IV 25d22.6%20.3%27.2%22.6%21.9%
Put IV 25d28.8%21.4%30.8%21.4%28.0%
Bid-Ask Spread %30.5310.4884.0312.7311.32
Gamma HHI0.510.390.850.690.85
Net GEX-12.1K-401.2K69.6K17.2K-401.2K
Net DEX-2.8M-4.8M5.4M-4.7M5.4M
Net VEX-5.8K-20.5K-4.1K-5.3K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.2811.841.461.72
Total Volume484.6321573,018246590
Total OI2,952.8958843,7693,5393,769

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$39.21$35.0023.3%6.7%18.6%15.2%23.3%-1.2%1.7%17.2K-4.7M-5.3K1.4612.73N/AN/A1001461,4452,094
2018-09-05$39.06$35.0023.5%6.7%18.4%15.5%23.5%-0.9%1.3%31.1K-4.6M-5.9K1.2010.48N/AN/A1241491,5022,094
2018-09-06$38.72$35.0025.7%7.4%17.4%19.4%34.3%7.6%1.5%56.3K-4.5M-5.9K1.1049.54N/AN/A1351491,5022,098
2018-09-07$38.37$35.0025.4%7.3%16.0%18.9%28.9%7.4%1.7%63.5K-4.2M-6.5K1.3042.68N/AN/A1151491,5142,098
2018-09-10$39.09$35.0024.8%7.4%17.0%17.9%30.3%9.7%1.7%20.9K-4.7M-5.4K1.3016.00N/AN/A1151491,5092,098
2018-09-11$39.02$35.0025.3%7.3%17.0%18.7%28.6%8.4%2.2%69.6K-4.3M-6.5K1.0431.26N/AN/A1151201,5092,098
2018-09-12$39.21$35.0025.2%7.2%15.2%18.6%30.8%9.5%1.8%9.4K-4.8M-5.0K1.0229.34N/AN/A1151171,5092,097
2018-09-13$39.16$35.0025.2%7.2%14.4%18.6%26.3%8.9%2.2%-9.5K-4.8M-4.4K1.2522.51N/AN/A1251561,5002,097
2018-09-14$39.00$35.0025.3%7.2%14.4%18.7%25.8%9.3%2.1%1.3K-4.8M-4.5K0.4533.53N/AN/A3441561,5042,068
2018-09-17$38.91$35.0026.5%7.6%14.2%20.9%26.4%7.7%0.9%5.4K-3.7M-4.4K0.2916.38N/AN/A5441561,2332,068
2018-09-18$38.89$35.0025.9%7.4%14.2%19.9%26.1%7.8%1.4%5.8K-3.7M-4.2K0.2816.46N/AN/A5481561,2332,068
2018-09-19$38.35$35.0026.6%7.6%15.0%21.1%27.2%6.0%1.2%-19.0K-3.1M-4.4K0.9643.86N/AN/A1621561,1232,068
2018-09-20$38.88$35.0025.7%7.4%15.8%19.5%26.3%1.7%1.5%-5.0K-3.3M-4.1K0.5584.03N/AN/A2831561,1232,068
2018-09-21$38.88$35.0025.6%7.3%15.7%19.3%25.6%7.0%2.0%-26.7K-3.0M-4.2K0.6234.04N/AN/A1891171,0722,068
2018-09-24$38.54$35.0026.5%7.6%15.9%20.9%26.6%4.8%3.5%-33.4K234.0K-4.6K0.7519.27N/AN/A11989167717
2018-09-25$38.83$35.0025.5%7.3%15.6%19.1%27.3%7.2%3.7%-11.6K-21.8K-4.6K2.4917.95N/AN/A45112262704
2018-09-26$39.53$35.0023.9%6.9%16.5%16.3%24.6%7.1%6.1%-4.4K-102.5K-4.6K1.4915.12N/AN/A76113272727
2018-09-27$39.19$35.0024.6%7.0%16.7%17.5%25.6%3.5%5.9%-245-103.0K-4.5K11.8473.55N/AN/A2352,783299728
2018-09-28$39.06$35.0024.1%6.9%16.5%16.7%26.5%6.2%7.2%-401.2K5.4M-20.5K1.7211.32N/AN/A2173734683,301