WWW Options History — October 2020

In October 2020, WWW traded between $26.40 and $28.95. ATM implied volatility averaged 54.8%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 17.1% (HV 20d: 37.7%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.36.

Notable Days

  • 2020-10-01: Highest Volume — 124 contracts
  • 2020-10-13: Largest IV spike — 56.8% change
  • 2020-10-13: Highest IV Rank — 39.9%
  • 2020-10-02: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.75$26.40$28.95$26.64$26.40
Max Pain$24.55$20.00$30.00$25.00$30.00
ATM IV54.8%27.1%82.1%57.9%66.7%
Expected Move16.2%14.2%19.7%16.6%19.1%
HV 20d37.7%31.6%42.0%42.0%39.9%
HV 60d39.9%37.8%43.3%43.3%38.9%
IV Rank23.0%6.0%39.9%25.0%30.4%
IV Percentile49.0%13.5%86.5%56.0%72.6%
Term Structure-2.7%-23.0%26.2%5.6%-11.5%
VWIV58.2%44.0%80.6%55.6%65.6%
Skew 25d10.8%-18.1%22.9%7.9%5.9%
Skew 10d17.8%-71.9%70.9%-31.6%27.5%
Call IV 25d52.2%40.6%79.3%56.9%55.2%
Put IV 25d63.0%59.2%77.6%64.8%61.0%
Bid-Ask Spread %93.3181.95107.95107.95100.71
Gamma HHI0.430.370.540.420.50
Net GEX44.9K20.6K52.9K36.5K52.2K
Net DEX-2.6M-3.2M-2.1M-2.2M-2.1M
Net VEX-10.3K-11.5K-8.6K-8.6K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.0020.000.650.00
Total Volume29.22701241243
Total OI2,531.9552,2292,7522,2292,434

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$26.64$25.0057.9%16.6%42.0%25.0%0.0%7.9%5.6%36.5K-2.2M-8.6K0.65107.95N/AN/A75491,634595
2020-10-02$27.35$25.0068.7%19.7%39.9%31.6%0.0%-18.1%-23.0%36.1K-2.4M-10.3K0.00100.04N/AN/A0961,709753
2020-10-05$27.67$20.0053.1%15.9%39.9%22.0%55.6%12.5%-1.4%32.4K-2.5M-10.7K0.0088.02N/AN/A10301,702849
2020-10-06$26.95$20.0046.2%17.3%40.5%17.8%0.0%18.6%-1.5%23.3K-2.2M-11.3K0.0082.67N/AN/A6801,784849
2020-10-07$27.77$20.0057.2%15.6%41.6%24.5%0.0%4.9%1.7%42.2K-2.6M-11.5K0.0089.05N/AN/A201,847850
2020-10-08$27.69$20.0027.1%16.2%41.5%6.0%59.0%13.6%-4.7%39.5K-2.6M-11.3K0.0381.95N/AN/A4011,849850
2020-10-09$27.27$20.0036.5%17.2%42.0%11.8%60.1%21.2%26.2%20.6K-2.3M-11.5K0.0092.28N/AN/A101,881850
2020-10-12$27.99$20.0052.4%15.5%38.7%21.6%56.3%1.3%-4.5%46.7K-2.7M-11.0K0.0095.63N/AN/A601,883850
2020-10-13$27.73$20.0082.1%15.4%38.2%39.9%44.0%11.6%-4.2%48.9K-2.6M-10.7K0.9187.45N/AN/A11101,888850
2020-10-14$28.04$20.0053.3%15.3%37.9%22.2%63.4%12.6%-0.9%50.6K-2.8M-10.7K0.2587.56N/AN/A411,893859
2020-10-15$28.95$20.0053.0%15.2%38.3%22.0%57.9%7.1%-1.1%47.0K-3.0M-10.6K0.0096.54N/AN/A201,891860
2020-10-16$28.22$20.0049.7%14.2%39.8%19.9%49.7%19.8%-0.7%51.8K-2.9M-10.4K0.16100.50N/AN/A5181,891860
2020-10-19$28.15$25.0054.4%15.6%36.6%22.8%0.0%5.7%-3.9%51.3K-2.8M-10.0K0.0098.29N/AN/A301,757597
2020-10-20$27.90$25.0050.0%14.3%32.0%20.1%51.4%12.0%-0.2%51.8K-2.8M-9.9K0.7595.63N/AN/A861,759598
2020-10-21$27.57$30.0049.7%14.2%31.6%19.9%80.6%17.3%0.8%52.9K-2.6M-10.1K20.0090.31N/AN/A2401,764604
2020-10-22$28.52$30.0054.6%15.6%32.4%22.9%55.0%1.7%-6.0%49.7K-3.0M-9.6K0.0096.51N/AN/A201,763643
2020-10-23$28.19$30.0051.2%14.7%32.3%20.9%0.0%16.0%-6.9%51.6K-2.9M-9.9K0.0094.70N/AN/A001,765643
2020-10-26$28.06$30.0051.4%14.7%32.4%21.0%0.0%14.1%-0.5%50.0K-2.8M-9.5K0.0094.33N/AN/A001,764643
2020-10-27$28.86$30.0054.8%15.7%32.2%23.1%54.8%22.9%-4.9%51.5K-3.2M-9.3K2.0086.95N/AN/A5101,764643
2020-10-28$27.15$30.0066.7%19.1%40.0%30.4%61.4%19.5%-9.9%51.2K-2.4M-9.7K0.3899.11N/AN/A1351,769645
2020-10-29$27.41$30.0068.0%19.5%38.8%31.2%65.6%10.3%-8.7%50.9K-2.5M-9.7K0.8086.61N/AN/A1081,781640
2020-10-30$26.40$30.0066.7%19.1%39.9%30.4%0.0%5.9%-11.5%52.2K-2.1M-9.6K0.00100.71N/AN/A301,786648