WWW Options History — December 2020

In December 2020, WWW traded between $29.31 and $31.90. ATM implied volatility averaged 45.3%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 5.6% (HV 20d: 39.7%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.71.

Notable Days

  • 2020-12-30: Highest Volume — 98 contracts
  • 2020-12-09: Largest IV drop — 6.5% change
  • 2020-12-08: Highest IV Rank — 19.3%
  • 2020-12-31: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.95$29.31$31.90$29.31$31.41
Max Pain$23.75$22.50$30.00$25.00$30.00
ATM IV45.3%43.7%48.6%44.2%46.6%
Expected Move12.9%12.5%13.3%12.7%13.3%
HV 20d39.7%26.8%60.1%60.1%28.0%
HV 60d45.8%44.3%47.7%47.5%44.3%
IV Rank16.9%16.1%19.3%16.5%17.6%
IV Percentile24.3%19.8%31.0%24.6%26.6%
Term Structure1.3%-2.0%3.4%-0.6%-0.8%
VWIV44.3%30.6%51.4%44.2%42.4%
Skew 25d8.0%-1.1%19.1%13.6%16.3%
Skew 10d14.2%-6.9%32.2%20.9%16.3%
Call IV 25d41.4%29.1%44.4%41.8%29.1%
Put IV 25d49.4%43.0%55.4%55.4%45.3%
Bid-Ask Spread %88.2261.79109.07109.0793.45
Gamma HHI0.410.340.550.380.36
Net GEX36.1K15.9K57.5K55.8K16.4K
Net DEX-3.2M-5.4M-349.6K-4.1M-445.9K
Net VEX-4.4K-6.0K-3.6K-6.0K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.0023.500.0723.50
Total Volume18.682098150
Total OI2,285.8189773,0542,9761,096

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$29.31$25.0044.2%12.7%60.1%16.5%44.2%13.6%-0.6%55.8K-4.1M-6.0K0.07109.07N/AN/A1411,982994
2020-12-02$29.40$25.0043.8%12.6%56.0%16.3%47.3%12.6%0.2%56.0K-4.1M-6.0K0.00103.98N/AN/A1501,988994
2020-12-03$29.70$22.5043.7%12.7%56.1%16.2%51.4%8.5%1.0%54.6K-4.3M-5.6K0.0085.89N/AN/A2501,993994
2020-12-04$30.68$22.5045.5%12.5%56.5%17.3%30.6%7.3%2.7%47.2K-4.7M-5.0K0.1379.53N/AN/A2431,977994
2020-12-07$30.87$22.5047.0%12.9%53.3%18.3%42.6%8.6%0.8%44.2K-4.8M-4.7K0.0068.73N/AN/A5801,965991
2020-12-08$31.38$22.5048.6%12.9%45.7%19.3%42.9%0.7%2.4%45.2K-5.0M-4.8K0.0079.31N/AN/A6302,020991
2020-12-09$31.87$22.5045.5%13.0%44.7%16.9%0.0%7.6%2.6%45.6K-5.2M-4.8K0.0081.71N/AN/A1202,063991
2020-12-10$31.00$22.5045.1%12.9%42.8%16.7%44.7%8.1%2.6%47.5K-4.9M-4.7K0.0070.01N/AN/A1102,053991
2020-12-11$30.70$22.5044.2%12.7%39.5%16.1%0.0%5.5%3.4%51.2K-4.8M-4.6K0.0082.18N/AN/A602,061991
2020-12-14$30.65$22.5046.3%13.3%39.5%17.4%45.7%7.4%2.0%57.5K-4.8M-4.4K0.5061.79N/AN/A422,056991
2020-12-15$31.48$22.5044.9%12.9%34.7%16.5%43.5%7.3%2.6%53.6K-5.1M-4.2K0.0081.50N/AN/A302,057989
2020-12-16$31.85$22.5045.9%13.1%34.4%17.2%45.5%5.6%2.6%31.2K-5.4M-4.2K0.7597.17N/AN/A432,058989
2020-12-17$31.38$22.5044.9%12.9%34.9%16.5%44.7%7.0%0.9%38.5K-5.2M-4.1K0.0389.64N/AN/A3312,055989
2020-12-18$30.94$22.5044.5%12.7%34.9%16.3%0.0%6.3%1.2%17.5K-5.1M-4.0K0.0087.85N/AN/A012,058990
2020-12-21$31.31$22.5045.8%13.1%35.0%17.1%45.8%7.6%1.7%19.8K-471.9K-4.0K0.0095.40N/AN/A01502475
2020-12-22$31.36$25.0045.5%13.0%33.9%16.9%45.8%-1.1%2.8%19.9K-483.5K-4.0K2.0096.72N/AN/A24506476
2020-12-23$31.90$25.0044.7%12.8%29.8%16.4%45.1%4.0%1.3%20.8K-556.3K-3.9K0.0096.97N/AN/A02505480
2020-12-24$31.30$25.0044.5%12.8%30.2%16.3%0.0%2.1%2.2%19.0K-470.6K-3.8K0.0098.93N/AN/A00505482
2020-12-28$31.38$25.0045.6%13.1%29.9%17.0%45.6%9.3%-0.6%19.7K-468.9K-3.7K1.1191.37N/AN/A910505482
2020-12-29$30.49$25.0045.1%12.9%27.1%16.7%45.1%11.8%-0.3%15.9K-349.6K-3.6K1.0098.03N/AN/A11513492
2020-12-30$30.62$25.0045.5%13.1%26.8%17.0%42.4%19.1%-2.0%16.5K-360.0K-3.6K23.5091.51N/AN/A494513491
2020-12-31$31.41$30.0046.6%13.3%28.0%17.6%0.0%16.3%-0.8%16.4K-445.9K-3.8K0.0093.45N/AN/A00513583