WWW Options History — December 2019

In December 2019, WWW traded between $31.40 and $34.33. ATM implied volatility averaged 24.7%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.9% (HV 20d: 22.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2019-12-20: Highest Volume — 215 contracts
  • 2019-12-06: Largest IV drop — 45.7% change
  • 2019-12-04: Highest IV Rank — 33.8%
  • 2019-12-04: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.18$31.40$34.33$31.79$33.88
Max Pain$30.71$30.00$35.00$30.00$30.00
ATM IV24.7%17.4%34.4%32.8%26.2%
Expected Move7.3%6.4%9.9%9.4%7.5%
HV 20d22.8%19.4%31.5%29.7%19.4%
HV 60d25.8%23.5%29.2%29.2%23.5%
IV Rank15.5%1.7%33.8%30.6%18.1%
IV Percentile13.6%0.4%55.6%46.4%15.1%
Term Structure5.7%-2.2%9.0%-1.5%5.2%
VWIV27.0%22.3%33.7%33.7%24.3%
Skew 25d3.5%-4.9%19.1%12.1%-4.9%
Skew 10d3.3%-15.7%25.3%17.0%-15.7%
Call IV 25d24.4%18.2%32.8%19.9%28.3%
Put IV 25d28.0%19.0%43.6%32.0%23.4%
Bid-Ask Spread %71.4848.77101.6568.2682.34
Gamma HHI0.590.300.900.580.89
Net GEX9.1K-2.0K25.3K9.1K23.6K
Net DEX-264.0K-444.4K38.0K-241.2K-39.9K
Net VEX-1.3K-2.2K-835-1.4K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.002.710.001.50
Total Volume17.381021505
Total OI673.524480751736531

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$31.79$30.0032.8%9.4%29.7%30.6%0.0%12.1%-1.5%9.1K-241.2K-1.4K0.0068.26N/AN/A00311425
2019-12-03$31.40$30.0033.7%9.7%30.1%32.4%33.7%0.9%-2.2%10.5K-197.0K-1.3K0.0090.56N/AN/A30311425
2019-12-04$32.35$30.0034.4%9.9%31.5%33.8%0.0%13.6%1.0%6.6K-305.6K-1.3K0.0089.40N/AN/A00312425
2019-12-05$32.50$35.0032.8%9.0%31.5%30.6%0.0%5.1%2.9%5.7K-325.9K-1.2K0.0062.25N/AN/A00312425
2019-12-06$32.83$35.0017.8%7.2%28.8%2.4%0.0%4.7%6.5%3.5K-372.4K-1.0K0.0071.45N/AN/A00312425
2019-12-09$33.09$35.0017.4%7.0%20.5%1.7%30.8%8.5%7.0%453-389.9K-9160.0070.48N/AN/A100310425
2019-12-10$32.84$30.0022.4%7.2%20.2%11.1%32.0%5.8%6.4%4.3K-388.3K-9490.0070.63N/AN/A100320425
2019-12-11$32.59$30.0024.6%7.0%20.4%15.2%0.0%4.5%7.4%7.4K-364.2K-8900.0081.47N/AN/A00320425
2019-12-12$33.30$30.0024.4%7.0%21.5%14.8%0.0%5.0%6.1%-160-423.5K-9050.0082.52N/AN/A20320425
2019-12-13$33.19$30.0024.0%6.9%21.1%14.0%24.0%4.9%7.0%3.6K-409.8K-8360.0071.72N/AN/A20322425
2019-12-16$33.25$30.0022.2%6.4%21.1%10.7%31.2%6.5%8.6%1.2K-428.4K-8410.0748.77N/AN/A292324425
2019-12-17$33.03$30.0022.9%6.6%20.3%11.9%0.0%6.7%7.1%5.2K-356.8K-8350.0073.92N/AN/A00305416
2019-12-18$33.67$30.0023.7%6.8%20.1%13.5%31.8%5.0%7.7%-1.6K-418.6K-8530.0074.84N/AN/A02305416
2019-12-19$33.69$30.0022.3%6.4%19.6%10.8%22.3%-3.9%9.0%-2.0K-416.4K-8430.0063.78N/AN/A290305418
2019-12-20$34.33$30.0022.6%6.5%19.4%11.4%22.6%19.1%8.6%15.8K-444.4K-9072.7181.31N/AN/A58157333418
2019-12-23$33.67$30.0022.3%6.4%20.7%10.8%22.3%-3.6%9.0%12.5K38.0K-2.1K0.0051.13N/AN/A20210270
2019-12-24$33.91$30.0022.5%6.4%20.8%11.2%22.5%-4.8%7.2%14.3K8.1K-2.1K0.0051.16N/AN/A460212270
2019-12-26$33.89$30.0023.5%6.7%20.8%13.1%0.0%-4.3%4.1%23.6K-34.2K-2.2K0.0052.38N/AN/A10258270
2019-12-27$33.77$30.0023.9%6.9%20.8%14.0%24.3%-3.1%7.1%22.6K-20.9K-2.1K0.00101.65N/AN/A50259270
2019-12-30$33.75$30.0023.2%6.6%20.2%12.5%0.0%-3.2%6.3%25.3K-13.2K-2.0K1.0061.07N/AN/A11259270
2019-12-31$33.88$30.0026.2%7.5%19.4%18.1%0.0%-4.9%5.2%23.6K-39.9K-2.1K1.5082.34N/AN/A23260271