WWW Options History — March 2010

In March 2010, WWW traded between $14.03 and $14.75. ATM implied volatility averaged 28.4%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 10.6% (HV 20d: 17.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.13.

Notable Days

  • 2010-03-02: Highest Volume — 202 contracts
  • 2010-03-11: Largest IV spike — 24.7% change
  • 2010-03-16: Highest IV Rank — 16.0%
  • 2010-03-16: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.46$14.03$14.75$14.03$14.58
Max Pain$14.57$12.50$15.00$12.50$15.00
ATM IV28.4%23.6%32.7%27.5%29.3%
Expected Move8.5%7.5%9.4%7.9%8.4%
HV 20d17.8%13.0%38.9%38.8%13.4%
HV 60d27.2%26.5%27.8%27.5%26.5%
IV Rank10.8%5.0%16.0%9.7%11.9%
IV Percentile17.5%2.8%36.1%11.5%24.6%
Term Structure-0.3%-4.1%4.3%2.0%-1.8%
VWIV30.1%26.8%33.1%30.7%26.8%
Skew 25d17.1%-10.3%85.7%-10.3%4.2%
Skew 10d25.3%-11.8%95.2%-11.8%7.2%
Call IV 25d28.6%19.9%43.5%31.7%26.7%
Put IV 25d45.6%21.4%112.6%21.4%30.9%
Bid-Ask Spread %49.5016.4892.8580.1023.93
Gamma HHI0.720.660.770.730.70
Net GEX67.4K40.6K99.7K40.6K61.1K
Net DEX-1.1M-1.3M-834.7K-834.7K-942.6K
Net VEX-5.7K-6.0K-5.4K-5.5K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.001.100.000.25
Total Volume49.91302022410
Total OI3,163.4782,5483,6862,9542,794

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$14.03$12.5027.5%7.9%38.8%9.7%0.0%-10.3%2.0%40.6K-834.7K-5.5K0.0080.10N/AN/A2401,8481,106
2010-03-02$14.21$12.5030.3%8.7%38.9%13.0%0.0%-6.2%1.0%46.3K-950.6K-5.4K0.0092.85N/AN/A20201,8641,106
2010-03-03$14.24$12.5026.2%7.5%38.3%8.1%30.7%-6.9%3.6%57.7K-1.1M-5.8K0.0017.47N/AN/A14802,0621,106
2010-03-04$14.04$12.5026.2%7.5%23.5%8.1%0.0%-6.3%4.3%52.6K-974.6K-5.8K0.0021.72N/AN/A4002,1981,106
2010-03-05$14.35$15.0025.1%9.1%16.1%6.8%0.0%-5.8%-2.9%69.5K-1.2M-5.9K0.0064.03N/AN/A002,2381,106
2010-03-08$14.25$15.0023.6%8.9%17.0%5.0%31.3%55.3%-1.3%63.2K-1.1M-5.8K0.0061.15N/AN/A8002,2381,106
2010-03-09$14.30$15.0025.6%9.1%14.9%7.4%0.0%52.9%-1.2%68.4K-1.2M-5.8K0.0058.04N/AN/A802,3181,106
2010-03-10$14.42$15.0026.2%8.9%14.9%8.1%0.0%61.5%-1.9%76.8K-1.2M-5.6K0.0025.66N/AN/A3402,3181,106
2010-03-11$14.49$15.0032.6%9.4%14.6%15.9%32.7%68.3%-3.5%86.2K-1.3M-5.7K0.0034.16N/AN/A8202,3341,106
2010-03-12$14.46$15.0032.0%9.2%14.7%15.2%32.0%85.7%-2.2%84.5K-1.3M-5.8K1.1037.91N/AN/A40442,4021,106
2010-03-15$14.39$15.0031.5%9.0%14.2%14.5%33.1%5.7%-0.3%73.2K-1.2M-6.0K0.0060.74N/AN/A082,4421,150
2010-03-16$14.48$15.0032.7%9.4%13.6%16.0%0.0%9.8%-4.1%88.0K-1.2M-5.6K0.0070.59N/AN/A2002,4421,154
2010-03-17$14.47$15.0029.1%8.4%13.7%11.7%29.2%6.0%1.3%85.7K-1.2M-5.8K0.0054.87N/AN/A11002,4421,154
2010-03-18$14.49$15.0028.8%8.3%13.1%11.3%0.0%6.2%1.4%93.1K-1.3M-5.9K0.0051.76N/AN/A002,5321,154
2010-03-19$14.47$15.0028.4%8.1%13.1%10.8%0.0%9.7%2.2%99.7K-1.3M-5.7K0.0067.07N/AN/A2002,5321,154
2010-03-22$14.69$15.0027.6%7.9%13.6%9.8%27.6%12.9%1.7%49.5K-849.8K-5.5K0.0072.61N/AN/A5401,604944
2010-03-23$14.75$15.0028.5%8.2%13.6%10.9%28.5%9.9%-0.1%56.8K-948.5K-5.6K0.0071.01N/AN/A6801,646944
2010-03-24$14.68$15.0028.6%8.2%13.9%11.0%28.6%10.5%-0.2%58.8K-999.2K-5.7K0.6851.61N/AN/A80541,700944
2010-03-25$14.56$15.0027.0%7.8%14.4%9.1%26.8%11.0%1.4%56.4K-897.2K-6.0K0.4055.29N/AN/A1041,780998
2010-03-26$14.70$15.0028.6%8.2%14.4%11.0%0.0%10.0%-0.6%59.3K-967.9K-5.9K0.0025.30N/AN/A001,790998
2010-03-29$14.72$15.0028.9%8.3%13.4%11.4%0.0%4.3%-3.2%60.8K-939.4K-5.6K0.0016.48N/AN/A061,790998
2010-03-30$14.69$15.0029.3%8.4%13.0%11.8%0.0%4.1%-2.5%62.0K-984.2K-5.7K0.0024.13N/AN/A201,7901,004
2010-03-31$14.58$15.0029.3%8.4%13.4%11.9%0.0%4.2%-1.8%61.1K-942.6K-5.7K0.2523.93N/AN/A821,7901,004