WWW Options History — September 2020

In September 2020, WWW traded between $25.02 and $27.34. ATM implied volatility averaged 60.4%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 20.7% (HV 20d: 39.8%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 22.09.

Notable Days

  • 2020-09-17: Highest Volume — 297 contracts
  • 2020-09-04: Largest IV spike — 108.6% change
  • 2020-09-08: Highest IV Rank — 57.2%
  • 2020-09-29: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.06$25.02$27.34$26.02$25.85
Max Pain$24.29$22.50$30.00$22.50$25.00
ATM IV60.4%33.7%110.0%53.8%71.3%
Expected Move16.8%14.7%23.9%15.4%20.4%
HV 20d39.8%36.7%42.7%41.2%40.9%
HV 60d46.4%42.9%51.8%51.8%42.9%
IV Rank26.6%10.1%57.2%22.4%33.2%
IV Percentile59.1%24.6%97.2%52.4%80.6%
Term Structure1.4%-24.1%13.8%0.3%-13.2%
VWIV58.3%46.1%72.7%59.0%72.7%
Skew 25d7.5%-37.1%38.0%13.8%7.2%
Skew 10d10.9%-62.1%67.5%23.5%-56.4%
Call IV 25d59.3%42.1%115.8%42.1%63.5%
Put IV 25d66.8%45.7%96.7%55.9%70.7%
Bid-Ask Spread %102.8287.56140.0891.67113.01
Gamma HHI0.540.410.680.630.44
Net GEX40.7K24.9K55.8K52.2K36.2K
Net DEX-2.2M-2.8M-1.5M-2.4M-1.9M
Net VEX-8.6K-9.3K-8.1K-8.6K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.090.00296.004.500.33
Total Volume39.61902971127
Total OI2,196.9522,1132,5902,1132,207

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$26.02$22.5053.8%15.4%41.2%22.4%59.0%13.8%0.3%52.2K-2.4M-8.6K4.5091.67N/AN/A291,722391
2020-09-02$26.45$22.5073.6%21.1%39.5%34.7%71.8%-37.1%-24.1%50.9K-2.5M-8.8K0.8099.37N/AN/A15121,724400
2020-09-03$25.38$30.0033.7%16.4%38.1%10.1%0.0%35.6%-4.3%43.5K-2.4M-8.2K0.00113.33N/AN/A0101,729410
2020-09-04$25.69$30.0070.3%15.1%37.7%32.6%61.0%-4.6%0.5%50.1K-2.3M-8.5K0.00104.36N/AN/A0151,729419
2020-09-08$26.29$22.50110.0%19.4%37.1%57.2%0.0%17.7%0.6%39.6K-2.4M-8.6K0.4597.65N/AN/A53241,729433
2020-09-09$26.05$22.5058.9%16.9%36.7%25.6%58.5%5.3%5.3%44.7K-2.3M-8.3K0.0091.89N/AN/A1601,685443
2020-09-10$25.91$22.5059.9%17.2%36.8%26.2%46.1%18.7%1.9%40.9K-2.2M-8.3K0.00103.23N/AN/A3101,693443
2020-09-11$25.93$22.5053.2%15.3%36.8%22.1%0.0%-4.5%6.5%45.9K-2.3M-8.3K0.0088.05N/AN/A091,711443
2020-09-14$27.34$22.5056.2%16.1%41.0%24.0%50.3%-4.6%3.1%43.5K-2.8M-8.2K0.0097.48N/AN/A11301,711450
2020-09-15$26.84$22.5052.9%15.2%41.6%21.9%56.8%13.5%12.5%55.3K-2.7M-8.3K2.50103.26N/AN/A251,807450
2020-09-16$26.49$22.5068.6%19.7%36.9%31.6%0.0%38.0%2.6%53.4K-2.5M-8.3K0.00140.08N/AN/A601,809455
2020-09-17$25.96$22.5052.4%15.0%37.9%21.6%52.9%23.8%13.8%55.8K-2.4M-8.1K296.00105.11N/AN/A12961,810455
2020-09-18$26.01$25.0052.0%14.9%37.8%21.3%57.6%13.4%10.4%32.6K-2.1M-9.1K4.69115.76N/AN/A16751,810780
2020-09-21$25.02$25.0051.1%14.7%40.7%20.8%0.0%10.1%6.4%24.9K-1.5M-9.0K0.0087.56N/AN/A2501,612557
2020-09-22$26.43$25.0052.5%15.0%41.9%21.6%54.9%6.5%8.9%31.6K-2.0M-9.3K0.0392.06N/AN/A3011,625557
2020-09-23$25.99$25.0053.8%15.4%42.1%22.5%57.8%6.9%3.1%29.8K-1.9M-9.2K0.0095.92N/AN/A501,625558
2020-09-24$25.52$25.0053.0%15.2%42.7%22.0%0.0%12.7%5.5%27.0K-1.7M-9.0K0.00101.66N/AN/A001,625558
2020-09-25$26.11$25.0052.9%15.2%42.5%21.9%0.0%-4.7%0.8%30.2K-1.9M-9.0K0.0095.36N/AN/A001,625558
2020-09-28$26.21$25.0055.5%15.9%42.4%23.5%0.0%-13.2%4.8%31.6K-2.0M-8.8K0.33117.80N/AN/A2481,625558
2020-09-29$25.67$25.0083.3%23.9%42.7%40.7%0.0%3.0%-16.7%34.1K-1.7M-8.7K0.00104.55N/AN/A021,639566
2020-09-30$25.85$25.0071.3%20.4%40.9%33.2%72.7%7.2%-13.2%36.2K-1.9M-8.7K0.00113.01N/AN/A0271,639568