WWW Options History — January 2010

In January 2010, WWW traded between $13.07 and $13.96. ATM implied volatility averaged 31.3%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 12.1% (HV 20d: 19.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.05.

Notable Days

2010-01-21: Highest Volume — 470 contracts
2010-01-14: Largest IV drop — 37.0% change
2010-01-12: Highest IV Rank — 31.8%
2010-01-25: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.55	$13.07	$13.96	$13.80	$13.22
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	31.3%	23.8%	45.8%	26.5%	31.3%
Expected Move	9.0%	7.9%	9.9%	8.9%	9.0%
HV 20d	19.2%	15.0%	22.3%	18.9%	21.9%
HV 60d	30.1%	29.3%	32.2%	32.2%	29.8%
IV Rank	14.3%	5.2%	31.8%	8.5%	14.3%
IV Percentile	23.1%	2.8%	65.9%	5.6%	21.8%
Term Structure	4.7%	-0.5%	14.2%	0.9%	5.5%
VWIV	29.0%	20.9%	33.1%	20.9%	30.7%
Skew 25d	3.8%	-0.4%	6.9%	6.1%	1.6%
Skew 10d	10.4%	-2.2%	17.6%	17.6%	7.9%
Call IV 25d	32.2%	29.3%	36.6%	29.8%	33.8%
Put IV 25d	36.0%	33.2%	38.7%	35.9%	35.4%
Bid-Ask Spread %	58.44	21.58	99.23	51.63	31.45
Gamma HHI	0.47	0.46	0.47	0.47	0.46
Net GEX	-1.9K	-10.1K	4.7K	-2.1K	364
Net DEX	66.8K	-54.5K	217.4K	22.8K	101.4K
Net VEX	-8.5K	-8.9K	-7.8K	-8.9K	-8.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.00	5.00	0.05	0.00
Total Volume	51.053	0	470	0	4
Total OI	3,220	3,064	3,626	3,064	3,626

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$13.80	$12.50	26.5%	8.9%	18.9%	8.5%	0.0%	6.1%	0.9%	-2.1K	22.8K	-8.9K	0.00	51.63	N/A	N/A	0	0	1,292	1,772
2010-01-05	$13.61	$12.50	24.7%	9.6%	18.8%	6.3%	0.0%	4.9%	2.1%	-3.3K	86.0K	-8.7K	0.00	39.27	N/A	N/A	0	50	1,292	1,772
2010-01-06	$13.66	$12.50	23.8%	7.9%	18.8%	5.2%	0.0%	4.4%	13.3%	-4.2K	96.4K	-8.6K	0.00	27.19	N/A	N/A	0	0	1,292	1,772
2010-01-07	$13.85	$12.50	25.2%	9.0%	18.6%	6.9%	0.0%	6.9%	1.4%	-1.7K	8.0K	-8.6K	0.00	25.32	N/A	N/A	0	0	1,292	1,772
2010-01-08	$13.96	$12.50	28.0%	9.0%	18.7%	10.2%	0.0%	5.7%	0.4%	-1.2K	-46.5K	-8.5K	0.00	53.87	N/A	N/A	0	0	1,292	1,772
2010-01-11	$13.80	$12.50	33.8%	9.1%	19.3%	17.3%	0.0%	5.3%	0.3%	487	-36.1K	-8.6K	0.00	21.58	N/A	N/A	0	0	1,292	1,772
2010-01-12	$13.67	$12.50	45.8%	9.5%	19.5%	31.8%	0.0%	3.9%	2.4%	-3.1K	73.4K	-8.5K	0.00	61.55	N/A	N/A	0	0	1,292	1,772
2010-01-13	$13.70	$12.50	43.7%	9.8%	19.4%	29.2%	0.0%	3.0%	-0.5%	-3.4K	85.5K	-8.4K	0.00	70.21	N/A	N/A	0	0	1,292	1,772
2010-01-14	$13.73	$12.50	27.5%	7.9%	19.4%	9.7%	0.0%	3.5%	12.9%	-3.2K	7.0K	-8.2K	0.00	61.18	N/A	N/A	0	0	1,292	1,772
2010-01-15	$13.72	$12.50	27.8%	8.0%	16.0%	10.1%	0.0%	4.1%	14.2%	-2.1K	49.8K	-8.3K	0.05	62.49	N/A	N/A	40	2	1,292	1,772
2010-01-19	$13.82	$12.50	30.5%	8.7%	15.0%	13.3%	20.9%	5.5%	1.0%	1.2K	-11.4K	-8.4K	0.00	79.96	N/A	N/A	2	0	1,312	1,768
2010-01-20	$13.54	$12.50	33.2%	9.5%	16.0%	16.6%	0.0%	0.5%	2.6%	-4.7K	124.3K	-8.1K	5.00	71.45	N/A	N/A	4	20	1,314	1,768
2010-01-21	$13.07	$12.50	31.4%	9.0%	19.9%	14.4%	31.3%	-0.4%	3.8%	-10.1K	217.2K	-7.8K	0.48	77.65	N/A	N/A	318	152	1,314	1,788
2010-01-22	$13.10	$12.50	33.3%	9.5%	20.0%	16.6%	33.1%	2.9%	3.3%	-2.2K	217.4K	-8.4K	1.34	56.05	N/A	N/A	136	182	1,570	1,816
2010-01-25	$13.13	$12.50	34.6%	9.9%	19.9%	18.3%	0.0%	3.1%	1.4%	-3.4K	177.5K	-8.4K	0.00	78.41	N/A	N/A	0	0	1,670	1,896
2010-01-26	$13.29	$12.50	34.1%	9.8%	20.4%	17.6%	0.0%	3.0%	4.0%	1.1K	106.0K	-8.6K	0.00	77.37	N/A	N/A	0	0	1,670	1,896
2010-01-27	$13.54	$12.50	28.7%	8.2%	21.4%	11.2%	0.0%	4.8%	13.8%	4.7K	-54.5K	-8.7K	0.00	99.23	N/A	N/A	0	0	1,670	1,896
2010-01-28	$13.27	$12.50	30.5%	8.7%	22.3%	13.3%	0.0%	2.8%	7.2%	1.4K	44.4K	-8.5K	0.50	64.41	N/A	N/A	40	20	1,670	1,896
2010-01-29	$13.22	$12.50	31.3%	9.0%	21.9%	14.3%	30.7%	1.6%	5.5%	364	101.4K	-8.6K	0.00	31.45	N/A	N/A	4	0	1,710	1,916