WWW Options History — February 2010

In February 2010, WWW traded between $12.01 and $13.84. ATM implied volatility averaged 32.6%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 5.4% (HV 20d: 38.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 4.42.

Notable Days

2010-02-02: Highest Volume — 1,252 contracts
2010-02-02: Largest IV spike — 29.9% change
2010-02-02: Highest IV Rank — 22.4%
2010-02-02: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.09	$12.01	$13.84	$13.28	$13.79
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	32.6%	26.5%	38.1%	29.3%	26.5%
Expected Move	9.5%	7.6%	10.9%	8.4%	7.6%
HV 20d	38.0%	21.7%	42.1%	21.7%	38.5%
HV 60d	29.2%	27.8%	30.9%	29.7%	27.9%
IV Rank	15.9%	8.5%	22.4%	11.9%	8.5%
IV Percentile	32.1%	6.7%	55.2%	15.9%	6.7%
Term Structure	1.0%	-5.9%	12.5%	12.5%	3.3%
VWIV	33.3%	27.1%	38.5%	38.5%	33.8%
Skew 25d	4.4%	-2.1%	9.8%	1.4%	1.6%
Skew 10d	5.9%	-4.8%	21.4%	6.0%	2.2%
Call IV 25d	31.3%	24.6%	37.8%	36.3%	30.7%
Put IV 25d	35.7%	32.2%	38.2%	37.7%	32.2%
Bid-Ask Spread %	64.81	17.72	97.90	83.17	97.90
Gamma HHI	0.60	0.46	0.72	0.46	0.72
Net GEX	18.0K	-3.6K	34.6K	-3.6K	34.6K
Net DEX	-233.5K	-699.1K	335.8K	72.9K	-680.6K
Net VEX	-5.6K	-8.4K	-4.6K	-8.1K	-5.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.42	0.00	43.71	43.71	0.00
Total Volume	126.105	0	1,252	0	10
Total OI	3,008.316	2,782	3,630	3,630	2,954

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
2010-02-01	$13.28	$12.50	29.3%	8.4%	21.7%	11.9%	0.0%	1.4%	12.5%	-3.6K	72.9K	-8.1K	0.00	83.17	N/A	N/A	0	0	1,714	1,916
2010-02-02	$13.57	$12.50	38.1%	10.9%	22.7%	22.4%	38.5%	3.3%	-3.2%	1.2K	-44.1K	-8.4K	43.71	67.46	N/A	N/A	28	1,224	1,714	1,916
2010-02-03	$12.52	$12.50	28.9%	8.3%	36.2%	11.3%	28.9%	7.8%	1.8%	7.2K	105.1K	-5.1K	0.01	78.07	N/A	N/A	298	4	1,742	1,092
2010-02-04	$12.01	$12.50	33.4%	9.6%	38.5%	16.8%	33.7%	-2.1%	2.6%	8.6K	213.7K	-5.0K	0.00	48.42	N/A	N/A	24	0	1,892	1,092
2010-02-05	$12.07	$12.50	31.3%	9.6%	38.1%	14.2%	33.4%	0.0%	1.2%	4.9K	335.8K	-4.6K	11.00	35.46	N/A	N/A	2	22	1,892	1,088
2010-02-08	$12.45	$12.50	33.8%	9.6%	40.0%	17.3%	27.1%	9.0%	1.5%	11.9K	65.6K	-5.3K	0.12	34.98	N/A	N/A	120	14	1,894	1,110
2010-02-09	$12.51	$12.50	31.7%	9.9%	40.1%	14.8%	0.0%	9.7%	0.3%	13.0K	11.1K	-5.3K	0.67	22.30	N/A	N/A	6	4	1,814	1,124
2010-02-10	$12.50	$12.50	29.5%	9.5%	40.1%	12.1%	0.0%	9.8%	2.0%	12.5K	43.1K	-5.2K	0.00	17.72	N/A	N/A	0	0	1,820	1,124
2010-02-11	$12.68	$12.50	34.9%	10.0%	40.6%	18.6%	0.0%	9.0%	-0.6%	14.1K	-9.1K	-5.2K	0.00	50.03	N/A	N/A	4	0	1,820	1,124
2010-02-12	$12.95	$12.50	34.7%	10.0%	41.5%	18.4%	34.7%	0.9%	-2.2%	15.0K	-161.1K	-5.0K	0.00	32.89	N/A	N/A	136	0	1,816	1,124
2010-02-16	$13.15	$12.50	37.1%	10.6%	42.0%	21.2%	0.0%	3.7%	-2.3%	19.1K	-339.4K	-5.3K	0.33	38.88	N/A	N/A	134	44	1,792	1,124
2010-02-17	$13.28	$12.50	35.8%	10.3%	42.1%	19.7%	0.0%	1.8%	-5.9%	22.7K	-406.0K	-5.3K	0.00	93.13	N/A	N/A	0	4	1,864	1,168
2010-02-18	$13.48	$12.50	35.0%	10.0%	41.9%	18.8%	0.0%	4.1%	-1.3%	25.1K	-538.8K	-5.4K	0.00	89.05	N/A	N/A	0	0	1,864	1,168
2010-02-19	$13.50	$12.50	37.6%	10.8%	39.8%	21.9%	0.0%	5.3%	-1.9%	27.7K	-585.9K	-5.5K	0.00	91.79	N/A	N/A	0	8	1,864	1,168
2010-02-22	$13.63	$12.50	36.1%	10.3%	39.9%	20.1%	36.6%	4.3%	0.8%	29.8K	-549.4K	-5.3K	0.00	97.88	N/A	N/A	0	20	1,738	1,044
2010-02-23	$13.70	$12.50	32.9%	9.4%	39.9%	16.1%	0.0%	5.9%	7.9%	30.7K	-592.7K	-5.3K	0.76	96.97	N/A	N/A	82	62	1,738	1,044
2010-02-24	$13.77	$12.50	26.9%	7.7%	39.7%	9.0%	32.9%	2.8%	0.9%	33.4K	-699.1K	-5.7K	0.50	76.92	N/A	N/A	40	20	1,800	1,106
2010-02-25	$13.84	$12.50	26.5%	7.6%	39.2%	8.5%	0.0%	5.5%	2.1%	34.0K	-677.1K	-5.5K	0.30	78.35	N/A	N/A	66	20	1,808	1,086
2010-02-26	$13.79	$12.50	26.5%	7.6%	38.5%	8.5%	33.8%	1.6%	3.3%	34.6K	-680.6K	-5.7K	0.00	97.90	N/A	N/A	10	0	1,848	1,106