WWW Options History — May 2020

In May 2020, WWW traded between $16.42 and $22.01. ATM implied volatility averaged 68.0%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 26.2% (HV 20d: 94.3%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.25.

Notable Days

  • 2020-05-01: Highest Volume — 110 contracts
  • 2020-05-11: Largest IV spike — 86.7% change
  • 2020-05-11: Highest IV Rank — 54.4%
  • 2020-05-01: Largest Expected Move — 25.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.43$16.42$22.01$19.96$21.12
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV68.0%55.4%105.1%88.7%62.6%
Expected Move18.2%15.9%25.4%25.4%18.0%
HV 20d94.3%78.7%120.2%120.2%78.7%
HV 60d116.1%112.3%119.3%112.3%119.3%
IV Rank31.6%23.8%54.4%44.3%28.3%
IV Percentile83.4%73.8%95.6%92.1%81.3%
Term Structure-1.7%-33.8%3.8%-33.8%-2.2%
VWIV67.7%55.0%90.5%88.6%90.5%
Skew 25d12.9%5.1%24.0%24.0%10.2%
Skew 10d32.1%-9.6%61.3%61.3%40.2%
Call IV 25d59.4%47.3%70.0%47.3%57.4%
Put IV 25d72.3%66.6%80.7%71.3%67.6%
Bid-Ask Spread %74.3945.16109.75109.7592.08
Gamma HHI0.240.200.260.240.25
Net GEX2.9K-1.3K9.1K9595.7K
Net DEX-193.4K-634.0K198.0K-243.1K-456.6K
Net VEX-3.3K-3.9K-2.6K-3.8K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.0035.6735.670.33
Total Volume33.851110110108
Total OI1,187.31,0901,2371,2361,226

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$19.96$20.0088.7%25.4%120.2%44.3%88.6%24.0%-33.8%959-243.1K-3.8K35.67109.75N/AN/A3107731505
2020-05-04$19.39$20.0061.2%18.3%118.1%27.4%0.0%5.7%-1.2%4.9K-186.9K-3.4K0.3869.23N/AN/A83734441
2020-05-05$18.84$20.0067.7%18.6%107.8%31.4%0.0%13.8%-2.9%3.8K-85.4K-3.2K0.0075.25N/AN/A20731444
2020-05-06$18.47$20.0069.8%18.7%107.5%32.7%0.0%6.2%-0.1%2.8K-59.6K-3.2K0.0076.20N/AN/A10733444
2020-05-07$18.72$20.0090.7%18.9%89.4%45.6%60.0%14.1%0.8%3.4K-62.4K-3.1K0.0070.25N/AN/A110732444
2020-05-08$20.08$20.0056.3%17.2%92.0%24.4%61.2%13.0%3.8%6.2K-277.0K-3.3K1.5075.86N/AN/A23743444
2020-05-11$18.77$20.00105.1%17.8%89.6%54.4%68.1%5.1%-3.1%3.1K-89.5K-3.1K4.2072.50N/AN/A1042743444
2020-05-12$17.85$20.0081.8%18.0%88.4%40.1%62.6%10.8%-0.4%-1.3K123.1K-2.8K0.2280.35N/AN/A92747484
2020-05-13$16.42$20.0068.2%19.6%93.1%31.7%73.3%13.8%-1.7%-1.3K198.0K-2.6K0.2474.42N/AN/A6616752485
2020-05-14$17.26$20.0066.5%19.1%95.0%30.7%83.1%12.8%-1.9%-2930.2K-2.9K0.3380.30N/AN/A31774453
2020-05-15$17.67$20.0064.9%18.6%88.2%29.7%67.5%12.6%-0.3%60418-2.9K0.6870.35N/AN/A4430775444
2020-05-18$19.80$20.0061.1%17.5%92.8%27.4%65.3%11.9%1.0%-800-187.1K-3.4K0.0066.45N/AN/A190684406
2020-05-19$18.90$20.0061.9%17.7%94.2%27.8%62.8%15.7%-0.5%-118-86.2K-3.1K0.2473.53N/AN/A174690406
2020-05-20$19.66$20.0060.5%17.3%93.8%27.0%58.8%17.1%-0.3%-497-189.5K-3.4K0.0872.29N/AN/A121692410
2020-05-21$20.26$20.0062.8%18.0%91.8%28.4%58.9%11.5%1.7%1.5K-233.4K-3.2K0.0069.84N/AN/A1010704411
2020-05-22$20.39$20.0061.8%17.7%88.5%27.8%59.3%21.6%-0.8%4.5K-347.1K-3.7K0.2545.16N/AN/A41812411
2020-05-26$21.35$20.0056.1%16.1%87.3%24.3%62.5%12.5%2.4%7.3K-495.2K-3.8K0.0466.56N/AN/A231809412
2020-05-27$22.01$20.0055.4%15.9%87.7%23.8%73.4%17.9%2.5%9.1K-634.0K-3.9K0.8672.53N/AN/A76810411
2020-05-28$21.71$20.0057.6%16.5%81.3%25.2%55.0%8.2%3.0%8.8K-586.0K-3.8K0.0074.97N/AN/A100812413
2020-05-29$21.12$20.0062.6%18.0%78.7%28.3%90.5%10.2%-2.2%5.7K-456.6K-3.6K0.3392.08N/AN/A8127813413