WWW Options History — November 2020

In November 2020, WWW traded between $26.39 and $30.94. ATM implied volatility averaged 48.4%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 8.8% (HV 20d: 57.2%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.86.

Notable Days

  • 2020-11-03: Highest Volume — 367 contracts
  • 2020-11-06: Largest IV spike — 50.2% change
  • 2020-11-02: Highest IV Rank — 31.7%
  • 2020-11-02: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.70$26.39$30.94$27.45$28.92
Max Pain$25.25$22.50$30.00$30.00$25.00
ATM IV48.4%37.9%68.8%68.8%45.0%
Expected Move13.8%10.9%19.7%19.7%12.9%
HV 20d57.2%42.3%64.6%42.3%61.3%
HV 60d45.2%39.4%47.7%39.4%47.5%
IV Rank19.1%12.7%31.7%31.7%17.0%
IV Percentile34.8%22.2%77.0%77.0%25.4%
Term Structure-2.4%-9.0%9.3%-8.7%-9.0%
VWIV53.5%41.8%94.2%60.5%45.0%
Skew 25d10.8%-12.1%26.0%12.4%21.1%
Skew 10d24.9%-25.1%41.6%28.0%35.5%
Call IV 25d44.7%27.9%83.2%57.3%37.2%
Put IV 25d55.4%32.4%72.9%69.7%58.3%
Bid-Ask Spread %98.5492.10114.4192.10105.57
Gamma HHI0.420.370.480.470.40
Net GEX63.9K45.0K89.6K55.0K63.1K
Net DEX-3.4M-4.5M-2.1M-2.6M-3.8M
Net VEX-7.8K-9.5K-5.6K-9.3K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.0012.000.002.94
Total Volume921236784189
Total OI2,828.92,4333,0932,4332,771

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$27.45$30.0068.8%19.7%42.3%31.7%0.0%12.4%-8.7%55.0K-2.6M-9.3K0.0092.10N/AN/A8401,785648
2020-11-03$29.19$30.0057.8%16.6%46.4%24.9%60.5%-12.1%-2.4%51.8K-3.3M-8.7K0.1794.36N/AN/A313541,785648
2020-11-04$29.03$30.0056.2%16.1%45.5%24.0%66.9%11.8%-7.4%63.8K-3.5M-9.1K0.7993.84N/AN/A1351071,947702
2020-11-05$28.44$22.5043.5%15.2%46.2%16.1%48.7%7.9%9.3%73.7K-3.3M-9.3K0.0295.75N/AN/A6212,070736
2020-11-06$27.14$22.5065.4%15.1%48.9%29.6%50.4%12.5%-2.8%69.7K-2.6M-9.5K0.2794.42N/AN/A2262,088735
2020-11-09$29.42$22.5049.8%13.1%56.1%20.0%47.3%10.0%0.0%72.8K-3.7M-8.8K1.2595.99N/AN/A16202,102740
2020-11-10$28.72$22.5047.4%13.2%56.8%18.5%55.4%9.0%-1.4%73.6K-3.4M-8.4K1.4097.80N/AN/A721012,094744
2020-11-11$27.51$25.0037.9%10.9%58.8%12.7%47.8%10.3%0.3%64.7K-2.7M-9.1K0.0093.92N/AN/A1502,097844
2020-11-12$26.39$25.0049.0%14.0%59.2%19.5%51.4%4.2%-8.3%56.5K-2.1M-8.8K0.3097.80N/AN/A105322,097844
2020-11-13$26.86$25.0050.5%14.5%59.1%20.4%49.7%5.0%-4.5%59.1K-2.3M-8.9K12.0094.50N/AN/A3362,089874
2020-11-16$28.56$25.0041.8%12.0%63.3%15.1%78.9%6.9%2.8%76.3K-3.4M-7.6K7.8896.49N/AN/A8632,088885
2020-11-17$29.10$25.0043.4%12.4%63.5%16.0%43.4%18.7%2.0%78.3K-3.7M-7.3K0.0193.54N/AN/A12312,086946
2020-11-18$28.94$25.0043.6%12.5%63.4%16.2%46.0%18.3%-4.0%89.6K-3.7M-7.3K10.00101.69N/AN/A6602,124945
2020-11-19$28.51$25.0042.7%12.2%62.5%15.6%49.2%9.3%-0.3%62.0K-3.3M-7.3K0.0395.25N/AN/A3112,128965
2020-11-20$28.65$25.0040.5%11.6%62.4%14.3%41.8%-4.1%1.5%62.3K-3.4M-6.8K0.00103.22N/AN/A1202,121965
2020-11-23$29.45$25.0043.0%12.3%63.1%15.8%52.8%13.3%0.9%60.9K-3.9M-6.3K0.0098.70N/AN/A6601,892809
2020-11-24$30.94$25.0043.3%12.4%64.6%16.0%43.3%9.6%-5.6%45.0K-4.5M-5.6K0.05104.28N/AN/A2211,877811
2020-11-25$30.53$25.0044.7%12.8%60.4%16.9%43.2%25.4%-1.3%47.3K-4.5M-5.6K0.02107.26N/AN/A6011,920812
2020-11-27$30.24$25.0053.9%15.5%60.6%22.5%94.2%26.0%-8.9%53.3K-4.3M-6.2K0.00114.41N/AN/A1201,951813
2020-11-30$28.92$25.0045.0%12.9%61.3%17.0%45.0%21.1%-9.0%63.1K-3.8M-5.8K2.94105.57N/AN/A481411,958813