WWW Options History — September 2019

In September 2019, WWW traded between $24.71 and $30.55. ATM implied volatility averaged 31.1%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 14.3% (HV 20d: 45.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 3.62.

Notable Days

  • 2019-09-06: Highest Volume — 259 contracts
  • 2019-09-09: Largest IV drop — 25.7% change
  • 2019-09-04: Highest IV Rank — 33.2%
  • 2019-09-06: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.05$24.71$30.55$24.71$28.37
Max Pain$24.75$22.50$25.00$25.00$25.00
ATM IV31.1%24.8%34.7%34.6%28.5%
Expected Move9.0%8.2%10.1%9.9%8.2%
HV 20d45.4%41.1%52.7%52.7%42.6%
HV 60d38.2%34.5%39.9%34.5%39.7%
IV Rank26.6%15.1%33.2%33.1%21.9%
IV Percentile36.3%3.2%56.7%56.7%17.5%
Term Structure4.1%-3.0%9.4%-3.0%9.4%
VWIV31.5%29.1%35.3%34.8%29.1%
Skew 25d1.3%-9.3%11.6%3.3%8.9%
Skew 10d1.0%-17.6%18.5%2.9%4.7%
Call IV 25d31.2%24.2%37.1%36.9%30.1%
Put IV 25d32.5%23.9%40.1%40.1%39.0%
Bid-Ask Spread %70.6237.4195.9375.9148.34
Gamma HHI0.420.350.520.430.52
Net GEX6.3K-3.0K17.0K9.7K12.2K
Net DEX-481.8K-956.3K-3.5K-26.9K-380.8K
Net VEX-2.7K-3.2K-2.4K-2.4K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.620.0052.501.000.09
Total Volume47.9502592012
Total OI1,816.88352,4051,935966

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$24.71$25.0034.6%9.9%52.7%33.1%0.0%3.3%-3.0%9.7K-26.9K-2.4K1.0075.91N/AN/A10101,535400
2019-09-04$24.96$25.0034.7%9.9%52.3%33.2%34.8%0.4%-2.9%11.3K-92.3K-2.5K0.5280.30N/AN/A67351,545410
2019-09-05$26.36$22.5034.1%9.2%52.3%32.1%0.0%5.1%2.6%17.0K-444.9K-2.4K0.0070.54N/AN/A0121,591442
2019-09-06$26.72$22.5033.4%10.1%48.9%30.8%35.3%4.0%2.9%15.4K-523.3K-2.5K0.0061.74N/AN/A02591,591430
2019-09-09$27.53$25.0024.8%8.4%46.8%15.1%0.0%4.8%3.3%409-491.1K-3.2K0.0064.74N/AN/A4701,591681
2019-09-10$28.48$25.0027.4%8.3%46.2%19.9%0.0%5.4%4.5%-304-662.7K-2.8K52.5066.71N/AN/A21051,580681
2019-09-11$29.18$25.0031.4%9.0%46.6%27.2%31.0%-4.6%2.2%3.0K-768.9K-2.7K0.0088.91N/AN/A3401,579686
2019-09-12$30.55$25.0031.8%9.1%43.3%27.9%0.0%11.6%4.3%8.8K-956.3K-2.6K0.0685.78N/AN/A8351,585686
2019-09-13$29.73$25.0029.9%8.6%42.5%24.4%29.9%-3.8%4.9%12.7K-853.2K-2.6K0.0052.97N/AN/A1001,593689
2019-09-16$29.41$25.0031.6%9.0%43.3%27.5%0.0%-3.5%3.4%10.1K-795.2K-2.6K0.0087.92N/AN/A031,588689
2019-09-17$28.90$25.0031.5%9.0%44.4%27.3%31.5%-6.8%3.1%966-698.6K-2.6K0.1093.92N/AN/A101101,588686
2019-09-18$28.61$25.0030.9%8.9%44.6%26.3%0.0%-6.2%4.8%11.0K-745.9K-2.9K0.0086.34N/AN/A021,688696
2019-09-19$28.51$25.0029.2%8.4%44.2%23.1%29.3%7.0%4.8%2.2K-709.9K-2.8K0.0095.93N/AN/A2601,688698
2019-09-20$27.84$25.0031.8%9.1%45.0%27.9%0.0%1.6%2.3%-3.0K-609.9K-3.0K0.0092.34N/AN/A501,707698
2019-09-23$28.48$25.0029.3%8.4%41.1%23.4%0.0%3.3%7.3%2.4K-135.1K-2.7K0.0063.83N/AN/A00338497
2019-09-24$27.70$25.0032.9%9.4%42.6%29.9%0.0%3.8%6.4%-2.7K-3.5K-2.9K0.0043.47N/AN/A500338497
2019-09-25$28.24$25.0030.1%8.6%42.7%24.8%0.0%8.5%8.2%3.3K-221.7K-2.8K0.0053.80N/AN/A30388497
2019-09-26$28.52$25.0032.0%9.2%42.6%28.3%0.0%-7.6%6.5%6.2K-268.1K-2.8K0.0037.41N/AN/A80391497
2019-09-27$28.28$25.0032.2%9.2%42.6%28.5%0.0%-9.3%6.3%5.3K-248.3K-2.8K0.0061.44N/AN/A600409497
2019-09-30$28.37$25.0028.5%8.2%42.6%21.9%29.1%8.9%9.4%12.2K-380.8K-2.9K0.0948.34N/AN/A111469497