WWW Options History — September 2021

In September 2021, WWW traded between $30.01 and $36.40. ATM implied volatility averaged 36.0%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 2.5% (HV 20d: 33.5%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2021-09-08: Highest Volume — 775 contracts
  • 2021-09-20: Largest IV spike — 53.5% change
  • 2021-09-20: Highest IV Rank — 28.9%
  • 2021-09-20: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.40$30.01$36.40$36.20$30.01
Max Pain$38.10$30.00$40.00$30.00$35.00
ATM IV36.0%27.8%44.3%35.6%41.2%
Expected Move10.3%8.0%12.7%10.2%11.8%
HV 20d33.5%29.0%37.8%31.2%37.8%
HV 60d34.8%33.8%37.1%34.5%37.1%
IV Rank13.9%1.1%28.9%10.3%23.7%
IV Percentile20.0%0.4%55.2%13.5%44.8%
Term Structure3.2%-9.7%17.4%-0.9%1.3%
VWIV42.9%23.0%132.5%35.6%41.2%
Skew 25d7.0%1.5%24.7%5.9%1.5%
Skew 10d31.7%-16.5%102.4%16.4%2.1%
Call IV 25d34.9%31.3%39.5%34.3%37.1%
Put IV 25d41.9%37.5%61.3%40.1%38.7%
Bid-Ask Spread %88.2149.84112.0884.9695.44
Gamma HHI0.520.250.870.730.45
Net GEX117.5K-6.8K390.1K298.4K-6.8K
Net DEX-1.2M-5.3M234.3K-5.0M234.3K
Net VEX-4.3K-9.1K-1.8K-9.0K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.004.080.004.08
Total Volume74.38107752661
Total OI2,703.7147704,4224,238806

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$36.20$30.0035.6%10.2%31.2%10.3%35.6%5.9%-0.9%298.4K-5.0M-9.0K0.0084.96N/AN/A2602,5641,674
2021-09-02$36.28$40.0036.3%10.1%31.0%11.1%32.2%6.4%1.8%292.6K-5.1M-9.1K0.0082.28N/AN/A7802,5761,786
2021-09-03$36.40$40.0034.6%9.9%29.0%9.1%34.3%6.3%1.7%305.5K-5.3M-8.7K0.0049.84N/AN/A2802,5781,786
2021-09-07$35.60$40.0037.8%10.4%30.2%12.9%0.0%6.0%1.4%369.1K-4.3M-7.9K0.3353.19N/AN/A312,6171,786
2021-09-08$33.51$35.0043.1%12.4%34.3%19.3%42.6%3.1%-9.7%243.4K-1.4M-6.2K0.02112.08N/AN/A758172,6361,786
2021-09-09$34.26$35.0036.4%10.4%35.5%15.6%36.4%24.7%1.4%390.1K-2.4M-7.2K0.0094.13N/AN/A29102,6321,786
2021-09-10$34.10$35.0035.3%10.1%35.4%13.7%0.0%13.4%0.9%274.8K-1.6M-5.4K0.0064.87N/AN/A2502,2111,802
2021-09-13$33.19$40.0036.4%10.4%36.3%15.7%39.8%4.0%1.1%102.9K-608.8K-4.7K3.6582.25N/AN/A20732,1101,802
2021-09-14$33.31$40.0036.1%10.4%36.4%15.2%23.4%8.7%1.0%140.7K-240.1K-3.4K0.0091.01N/AN/A5002,0931,806
2021-09-15$33.07$40.0036.1%10.3%35.1%15.1%0.0%7.0%-0.5%48.6K46.1K-3.0K0.0095.15N/AN/A002,0921,780
2021-09-16$33.03$40.0035.8%10.3%34.8%14.6%39.3%6.4%1.4%3.9K45.6K-2.6K0.8892.51N/AN/A872,1261,780
2021-09-17$32.62$40.0028.9%8.3%34.7%3.0%0.0%5.7%3.8%2.0K96.9K-2.5K0.0099.37N/AN/A402,1251,780
2021-09-20$32.01$40.0044.3%12.7%33.0%28.9%23.0%5.0%8.7%-4156.0K-2.4K1.0089.12N/AN/A1010520250
2021-09-21$32.09$40.0032.8%9.4%32.7%9.6%0.0%3.1%17.1%-69744.1K-2.3K0.22104.14N/AN/A92521250
2021-09-22$32.88$40.0038.6%11.1%34.4%19.4%0.0%12.3%6.1%2.9K-62.2K-2.5K0.00108.22N/AN/A120521250
2021-09-23$33.36$40.0033.8%9.7%34.3%11.3%39.3%5.5%3.4%3.2K-44.0K-2.5K0.1187.56N/AN/A91520250
2021-09-24$32.57$40.0027.8%8.0%33.6%1.1%132.5%2.9%3.7%2.0K-45.8K-2.7K0.5376.56N/AN/A3217532250
2021-09-27$32.74$40.0030.7%8.8%31.3%6.0%37.9%4.0%3.4%1.2K-4.3K-2.3K0.3392.84N/AN/A31537250
2021-09-28$32.05$35.0032.8%9.4%31.3%9.6%0.0%4.8%17.4%-5.0K125.7K-1.9K0.0098.11N/AN/A60535267
2021-09-29$32.13$35.0042.7%12.2%31.1%26.2%0.0%10.4%3.5%-1.7K56.4K-2.1K0.0098.78N/AN/A00538267
2021-09-30$30.01$35.0041.2%11.8%37.8%23.7%41.2%1.5%1.3%-6.8K234.3K-1.8K4.0895.44N/AN/A1249539267