WWW Options History — June 2020

In June 2020, WWW traded between $21.61 and $27.11. ATM implied volatility averaged 67.9%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded below realized volatility by 5.5% (HV 20d: 73.3%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.04.

Notable Days

  • 2020-06-04: Highest Volume — 367 contracts
  • 2020-06-15: Largest IV spike — 34.0% change
  • 2020-06-15: Highest IV Rank — 48.2%
  • 2020-06-15: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.67$21.61$27.11$21.78$23.78
Max Pain$18.07$17.50$22.50$20.00$22.50
ATM IV67.9%57.8%95.0%57.8%60.8%
Expected Move19.1%15.8%27.2%16.6%17.4%
HV 20d73.3%66.7%81.7%78.5%72.7%
HV 60d105.3%91.1%120.0%119.1%91.1%
IV Rank31.5%25.4%48.2%25.4%27.2%
IV Percentile81.2%72.6%94.4%75.8%72.6%
Term Structure-3.2%-21.4%8.3%2.2%-3.6%
VWIV65.9%61.8%77.3%65.6%70.4%
Skew 25d16.6%-12.0%61.8%17.9%61.8%
Skew 10d49.2%10.4%137.9%10.4%137.9%
Call IV 25d64.6%41.5%118.3%54.8%61.7%
Put IV 25d81.2%67.7%123.5%72.7%123.5%
Bid-Ask Spread %96.7384.67109.6584.67103.68
Gamma HHI0.250.220.290.240.26
Net GEX11.8K6.3K18.8K9.3K11.5K
Net DEX-813.5K-1.5M-438.3K-619.6K-634.1K
Net VEX-4.2K-4.6K-3.9K-4.0K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.0014.500.220.04
Total Volume62.636036711104
Total OI1,338.7271,0521,5361,3031,193

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$21.78$20.0057.8%16.6%78.5%25.4%65.6%17.9%2.2%9.3K-619.6K-4.0K0.2284.67N/AN/A92864439
2020-06-02$22.34$20.0058.2%16.7%77.8%25.6%67.7%2.4%-1.2%11.2K-689.9K-3.9K2.3694.26N/AN/A2252864439
2020-06-03$23.48$20.0057.8%16.6%78.0%25.4%0.0%14.0%1.9%13.2K-872.0K-4.3K11.0099.05N/AN/A222866491
2020-06-04$24.84$17.5058.2%15.8%78.7%25.6%68.1%-1.4%2.6%15.8K-1.1M-4.3K1.4595.02N/AN/A150217867513
2020-06-05$26.82$17.5064.3%18.1%81.7%29.3%64.6%30.1%3.3%16.3K-1.4M-4.5K0.65101.53N/AN/A4630882533
2020-06-08$27.11$17.5083.9%18.1%79.3%41.3%62.4%22.3%-3.9%16.4K-1.5M-4.6K0.9492.18N/AN/A1817921554
2020-06-09$26.21$17.5063.0%17.6%75.5%28.5%0.0%13.2%-2.9%18.8K-1.4M-4.4K0.2192.87N/AN/A388925564
2020-06-10$24.94$17.5059.0%16.9%75.4%26.1%0.0%9.4%-2.6%16.9K-1.1M-4.4K0.3197.84N/AN/A165919564
2020-06-11$22.62$17.5063.3%18.2%78.0%28.7%63.8%9.7%-4.9%10.0K-670.3K-4.5K14.5093.15N/AN/A229925569
2020-06-12$22.84$17.5070.9%20.3%77.0%33.4%63.0%5.6%8.3%8.7K-674.1K-4.3K0.00100.82N/AN/A20927596
2020-06-15$22.90$17.5095.0%27.2%77.0%48.2%0.0%18.0%-21.4%10.2K-699.6K-4.4K0.5596.00N/AN/A116928596
2020-06-16$24.22$17.5080.7%23.1%69.3%39.4%0.0%24.2%-10.2%14.5K-1.0M-4.6K0.0093.09N/AN/A320939597
2020-06-17$23.36$17.5076.9%22.0%68.3%37.1%77.3%23.4%-5.8%12.4K-741.8K-4.3K1.00100.04N/AN/A77922597
2020-06-18$23.06$17.5075.5%21.6%67.9%36.2%0.0%8.7%-12.9%12.5K-710.0K-4.0K0.0094.43N/AN/A60925597
2020-06-19$22.87$17.5061.2%17.6%67.6%27.5%66.4%17.0%0.1%8.8K-732.1K-4.1K1.8092.54N/AN/A1018933597
2020-06-22$23.03$17.5060.6%17.4%67.6%27.0%61.8%9.4%0.4%10.6K-592.3K-3.9K5.1791.70N/AN/A631709343
2020-06-23$23.81$17.5065.1%18.7%66.8%29.8%65.2%32.0%2.5%9.0K-640.5K-4.1K1.7496.27N/AN/A107186689370
2020-06-24$23.32$17.5071.9%20.6%66.7%34.0%0.0%25.9%-7.4%8.7K-576.0K-4.0K0.00106.84N/AN/A00689376
2020-06-25$22.43$17.5061.2%17.5%68.1%27.4%62.6%6.2%-2.0%8.5K-481.7K-4.0K0.0999.37N/AN/A111689376
2020-06-26$21.61$17.5079.4%22.8%68.7%38.6%0.0%-12.0%-9.5%6.3K-438.3K-3.9K0.05109.65N/AN/A372695377
2020-06-29$23.27$17.5068.3%19.6%72.8%31.8%63.5%28.1%-3.6%10.2K-590.1K-4.1K0.7993.06N/AN/A6148715378
2020-06-30$23.78$22.5060.8%17.4%72.7%27.2%70.4%61.8%-3.6%11.5K-634.1K-4.1K0.04103.68N/AN/A1004767426