WWW Options History — January 2020

In January 2020, WWW traded between $31.64 and $34.38. ATM implied volatility averaged 32.0%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 15.1% (HV 20d: 16.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.02.

Notable Days

  • 2020-01-28: Highest Volume — 60 contracts
  • 2020-01-15: Largest IV spike — 70.7% change
  • 2020-01-31: Highest IV Rank — 77.7%
  • 2020-01-31: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.45$31.64$34.38$33.77$31.64
Max Pain$30.48$30.00$35.00$30.00$30.00
ATM IV32.0%18.2%57.8%23.6%57.8%
Expected Move10.2%6.8%16.6%6.8%16.6%
HV 20d16.8%15.4%18.7%18.7%17.8%
HV 60d22.8%22.2%23.5%23.5%23.0%
IV Rank29.1%3.1%77.7%13.4%77.7%
IV Percentile45.7%1.2%98.0%7.5%98.0%
Term Structure-2.3%-25.5%12.1%6.4%-25.5%
VWIV39.0%32.1%52.3%40.2%52.3%
Skew 25d7.3%-7.5%13.3%-3.4%3.5%
Skew 10d9.2%-17.0%22.1%-12.4%-1.5%
Call IV 25d32.5%25.9%42.3%25.9%42.3%
Put IV 25d39.9%22.5%50.3%22.5%45.8%
Bid-Ask Spread %78.4057.7293.4757.7271.22
Gamma HHI0.680.310.970.870.37
Net GEX18.0K-2.5K76.5K23.8K-566
Net DEX63.0K-107.1K217.2K-15.4K217.2K
Net VEX-1.8K-2.1K-1.5K-2.0K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.270.000.00
Total Volume1206000
Total OI541.571432655530494

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$33.77$30.0023.6%6.8%18.7%13.4%0.0%-3.4%6.4%23.8K-15.4K-2.0K0.0057.72N/AN/A00260270
2020-01-03$34.25$30.0026.3%7.5%16.5%18.4%0.0%-7.5%7.2%32.5K-107.1K-2.1K0.0070.05N/AN/A10270270
2020-01-06$33.95$35.0028.9%9.8%17.0%23.3%0.0%5.3%-1.6%29.7K-22.9K-1.9K0.0082.16N/AN/A500261269
2020-01-07$33.62$35.0020.2%9.7%17.2%6.9%40.2%5.1%-1.4%37.6K47.4K-1.9K0.2781.25N/AN/A308315269
2020-01-08$33.55$30.0028.3%9.9%17.1%22.2%0.0%6.5%-1.8%37.9K-18.0K-2.1K0.0083.26N/AN/A50345277
2020-01-09$33.56$30.0023.2%9.8%16.8%12.6%0.0%12.6%-1.6%45.4K-10.3K-2.1K0.0082.03N/AN/A00350277
2020-01-10$33.14$30.0018.2%9.9%17.2%3.1%0.0%10.5%-2.2%20.5K108.3K-1.8K0.0081.53N/AN/A00350277
2020-01-13$33.69$30.0020.1%9.6%16.5%6.7%0.0%12.1%-1.6%25.6K85.1K-1.8K0.0081.97N/AN/A20350277
2020-01-14$33.77$30.0020.3%9.7%16.4%7.0%0.0%11.3%-2.5%22.8K90.0K-1.8K0.0084.77N/AN/A20350277
2020-01-15$33.53$30.0034.6%9.9%16.7%34.0%34.6%9.1%-2.3%36.4K39.2K-1.8K0.0088.97N/AN/A310350277
2020-01-16$34.38$30.0032.1%9.2%18.6%29.3%32.1%2.9%-0.4%76.5K-27.9K-1.9K0.0093.47N/AN/A160378277
2020-01-17$34.16$30.0034.0%9.7%17.6%32.9%34.0%13.3%-2.6%-1.5K44.5K-1.8K0.0083.66N/AN/A120377277
2020-01-21$33.75$30.0035.6%10.2%18.2%36.0%0.0%12.8%-3.1%-1.2K68.0K-1.8K0.0082.55N/AN/A00169274
2020-01-22$33.68$30.0037.0%10.6%16.8%38.6%0.0%10.0%-4.4%-1.2K75.6K-1.8K0.0074.07N/AN/A30169274
2020-01-23$33.37$30.0036.2%10.4%15.7%37.1%40.6%6.8%-4.1%-1.2K108.7K-1.7K0.0075.77N/AN/A150169274
2020-01-24$33.30$30.0036.4%10.4%15.4%37.5%0.0%7.5%-4.0%-1.3K105.4K-1.7K0.0067.64N/AN/A00168274
2020-01-27$33.20$30.0039.4%11.3%15.4%43.1%39.4%7.1%-4.5%-1.1K106.2K-1.6K0.0074.46N/AN/A150168274
2020-01-28$33.08$30.0039.0%11.2%15.4%42.3%0.0%8.6%-5.2%-2.5K140.8K-1.5K0.0066.92N/AN/A600158274
2020-01-29$32.61$30.0038.4%11.0%16.1%41.2%0.0%6.9%-4.7%-80139.5K-1.9K0.0075.79N/AN/A00218274
2020-01-30$32.41$30.0041.5%11.9%16.1%47.1%52.3%13.1%12.1%69147.8K-1.8K0.0087.08N/AN/A02218274
2020-01-31$31.64$30.0057.8%16.6%17.8%77.7%0.0%3.5%-25.5%-566217.2K-1.7K0.0071.22N/AN/A00218276