WWW Options History — November 2018

In November 2018, WWW traded between $32.60 and $36.63. ATM implied volatility averaged 40.9%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 6.2% (HV 20d: 47.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 10.78.

Notable Days

  • 2018-11-06: Highest Volume — 7,299 contracts
  • 2018-11-12: Largest IV spike — 51.8% change
  • 2018-11-05: Highest IV Rank — 100.0%
  • 2018-11-02: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.10$32.60$36.63$36.05$34.74
Max Pain$35.48$35.00$40.00$40.00$35.00
ATM IV40.9%31.6%71.3%58.5%36.6%
Expected Move10.8%9.1%18.1%16.8%10.5%
HV 20d47.1%40.2%51.6%40.3%44.2%
HV 60d34.2%28.4%36.7%28.7%36.7%
IV Rank46.3%29.8%100.0%78.1%38.6%
IV Percentile76.7%64.7%100.0%98.0%71.8%
Term Structure-1.9%-20.8%3.1%-16.1%-3.0%
VWIV38.9%32.5%63.7%58.8%35.5%
Skew 25d6.5%2.5%15.6%9.2%15.6%
Skew 10d9.9%-3.7%26.1%14.3%25.1%
Call IV 25d36.5%28.6%62.7%58.8%28.6%
Put IV 25d43.0%35.2%68.8%68.0%44.2%
Bid-Ask Spread %43.9615.2078.2261.3764.67
Gamma HHI0.530.400.720.480.51
Net GEX-472.5K-865.4K-206.5K-770.9K-728.7K
Net DEX17.7M10.7M25.1M17.2M15.5M
Net VEX-37.7K-48.5K-30.6K-42.4K-48.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.780.4029.4110.512.30
Total Volume2,181.0953717,2992,913485
Total OI9,437.0956,62110,85410,8109,713

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$36.05$40.0058.5%16.8%40.3%78.1%58.8%9.2%-16.1%-770.9K17.2M-42.4K10.5161.37N/AN/A2532,6609049,906
2018-11-02$36.52$40.0063.2%18.1%40.6%86.5%63.7%6.2%-20.8%-794.7K16.3M-42.2K10.5166.55N/AN/A2532,6609049,907
2018-11-05$36.63$35.0071.3%12.7%40.2%100.0%45.2%8.5%-3.9%-828.5K16.1M-39.6K10.6142.85N/AN/A2512,6639049,912
2018-11-06$36.12$35.0063.1%12.1%40.6%85.5%42.7%5.1%-3.0%-865.4K17.2M-38.1K29.4121.18N/AN/A2407,0599059,949
2018-11-07$32.76$35.0031.6%9.6%50.0%29.8%36.8%3.7%2.7%-411.8K21.4M-36.5K11.5520.77N/AN/A2312,6689869,288
2018-11-08$33.75$35.0032.9%9.1%51.3%32.1%32.5%4.5%2.2%-488.7K23.7M-36.4K11.0618.96N/AN/A2312,5561,1219,599
2018-11-09$33.30$35.0031.8%9.2%51.3%30.1%32.6%5.1%2.6%-419.1K24.1M-35.9K20.4457.41N/AN/A1172,3911,2299,595
2018-11-12$33.81$35.0048.3%9.4%51.6%59.2%33.5%6.0%3.1%-497.5K23.0M-38.2K17.2377.44N/AN/A1392,3951,2309,595
2018-11-13$33.54$35.0039.5%9.3%50.6%43.7%32.7%4.9%3.1%-459.9K24.2M-34.7K18.8535.19N/AN/A1272,3941,2369,603
2018-11-14$32.93$35.0033.3%9.6%50.9%32.8%33.2%3.5%2.2%-379.3K24.2M-34.1K18.9942.33N/AN/A1262,3931,2359,593
2018-11-15$33.06$35.0032.6%9.3%50.8%31.5%34.4%8.2%2.9%-253.1K25.1M-30.6K18.9646.20N/AN/A1262,3891,2449,586
2018-11-16$33.28$35.0031.9%9.2%48.2%30.4%32.6%2.5%3.0%-262.0K25.0M-32.7K3.8231.15N/AN/A6252,3891,2449,582
2018-11-19$32.60$35.0033.5%9.6%48.0%33.1%36.0%6.0%-0.6%-206.5K12.0M-33.0K0.4015.20N/AN/A6172481,0795,616
2018-11-20$33.02$35.0034.8%10.0%48.1%35.4%40.7%9.7%-1.6%-216.5K11.5M-33.4K0.6539.63N/AN/A6173991,0665,555
2018-11-21$33.82$35.0033.8%9.7%49.0%33.6%40.2%5.7%-0.8%-244.5K10.8M-36.2K3.2729.04N/AN/A1223991,0665,555
2018-11-23$33.72$35.0034.4%9.9%47.8%34.8%37.0%4.2%-0.6%-240.2K10.7M-35.9K2.2535.11N/AN/A1142571,1045,555
2018-11-26$34.28$35.0034.4%9.9%47.8%34.8%36.3%5.0%-1.4%-258.0K10.7M-35.2K2.2528.87N/AN/A1142571,1045,555
2018-11-27$33.34$35.0038.6%11.1%48.8%42.1%38.5%3.8%-3.8%-225.2K10.9M-34.5K28.4878.22N/AN/A1223,4751,1045,555
2018-11-28$34.33$35.0038.1%10.9%44.7%41.2%38.2%4.6%-4.1%-671.6K16.4M-46.9K3.9837.88N/AN/A1355371,0948,521
2018-11-29$34.47$35.0036.6%10.5%44.8%38.6%36.2%15.0%-2.5%-701.2K15.8M-47.2K0.8473.20N/AN/A3102591,1068,574
2018-11-30$34.74$35.0036.6%10.5%44.2%38.6%35.5%15.6%-3.0%-728.7K15.5M-48.5K2.3064.67N/AN/A1473381,1418,572