WWW Options History — April 2010

In April 2010, WWW traded between $14.63 and $16.16. ATM implied volatility averaged 28.5%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 12.1% (HV 20d: 16.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 7.37.

Notable Days

  • 2010-04-20: Highest Volume — 386 contracts
  • 2010-04-20: Largest IV drop — 30.2% change
  • 2010-04-19: Highest IV Rank — 19.0%
  • 2010-04-19: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.41$14.63$16.16$14.63$15.30
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV28.5%22.2%35.2%30.5%23.8%
Expected Move7.8%6.4%10.1%8.7%6.8%
HV 20d16.4%10.6%27.5%12.1%27.5%
HV 60d26.2%21.8%26.8%26.3%21.8%
IV Rank10.9%3.3%19.0%13.3%5.2%
IV Percentile23.6%1.6%61.5%29.8%4.4%
Term Structure0.1%-4.7%9.4%-4.7%1.7%
VWIV27.4%22.4%35.2%29.4%22.4%
Skew 25d3.2%-3.6%8.8%8.8%-3.6%
Skew 10d6.7%-6.5%21.6%14.6%-6.5%
Call IV 25d25.0%21.0%27.6%21.0%27.2%
Put IV 25d28.2%23.3%33.7%29.8%23.5%
Bid-Ask Spread %55.5320.2188.6220.2175.19
Gamma HHI0.640.550.740.700.58
Net GEX53.6K38.8K74.4K61.6K41.4K
Net DEX-1.3M-2.1M-910.0K-910.0K-1.1M
Net VEX-5.3K-6.5K-4.4K-5.4K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.370.0072.000.001.83
Total Volume1000386042
Total OI3,023.2382,5483,2822,7963,222

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$14.63$15.0030.5%8.7%12.1%13.3%0.0%8.8%-4.7%61.6K-910.0K-5.4K0.0020.21N/AN/A001,7901,006
2010-04-05$14.89$15.0031.5%7.8%11.2%14.5%0.0%5.6%0.1%71.0K-1.1M-5.4K0.0039.13N/AN/A2001,7901,006
2010-04-06$14.95$15.0031.2%8.4%10.8%14.2%29.4%5.0%-2.1%73.5K-1.2M-5.3K14.2938.75N/AN/A142001,8101,006
2010-04-07$14.99$15.0032.6%8.0%10.7%15.8%28.0%6.6%-1.3%60.8K-1.1M-5.5K1.3646.03N/AN/A781061,8041,206
2010-04-08$14.98$15.0031.2%8.6%10.6%14.1%0.0%6.3%-3.0%63.2K-1.1M-5.5K0.0046.60N/AN/A001,8041,206
2010-04-09$15.20$15.0030.3%7.6%11.4%13.1%0.0%5.2%-0.0%64.4K-1.3M-5.3K0.0061.83N/AN/A001,8781,302
2010-04-12$15.43$15.0033.5%8.4%12.1%17.0%0.0%4.5%-1.4%62.2K-1.6M-5.1K0.0024.49N/AN/A16801,8781,302
2010-04-13$15.29$15.0034.2%8.3%12.5%17.7%0.0%3.3%-2.2%74.4K-1.5M-5.4K0.0041.88N/AN/A001,9801,302
2010-04-14$15.64$15.0032.8%8.3%14.3%16.1%0.0%-0.5%-2.4%58.6K-2.0M-4.6K0.0042.89N/AN/A1401,9801,302
2010-04-15$15.70$15.0029.2%8.4%14.2%11.8%0.0%-0.2%-2.1%48.8K-2.1M-4.7K0.0039.66N/AN/A001,9801,302
2010-04-16$15.45$15.0027.9%8.0%15.8%10.2%0.0%4.5%-1.0%66.2K-1.9M-4.7K0.0071.18N/AN/A1601,9801,302
2010-04-19$15.63$15.0035.2%10.1%16.0%19.0%35.2%6.2%-4.6%38.8K-1.3M-4.4K2.1370.58N/AN/A1222601,5021,046
2010-04-20$15.31$15.0024.6%7.0%17.7%6.1%24.5%6.2%2.5%39.5K-1.1M-4.8K0.6143.02N/AN/A2401461,5661,166
2010-04-21$15.55$15.0024.6%7.1%18.3%6.2%24.8%0.5%0.6%41.8K-1.2M-4.6K72.0073.14N/AN/A21441,5161,194
2010-04-22$15.75$15.0026.3%7.5%18.4%8.2%0.0%1.4%0.5%40.2K-1.3M-4.6K0.6573.22N/AN/A62401,5161,252
2010-04-23$16.16$15.0022.2%6.4%19.5%3.3%27.7%3.4%9.4%48.2K-1.5M-4.4K2.0784.12N/AN/A601241,5781,292
2010-04-26$15.81$15.0025.7%7.4%21.6%7.5%0.0%0.6%-0.1%42.3K-1.3M-5.7K0.8556.18N/AN/A94801,6381,416
2010-04-27$15.50$15.0022.2%6.4%23.2%3.3%22.4%-0.4%3.5%40.8K-1.1M-6.5K1.8388.62N/AN/A24441,7281,496
2010-04-28$15.57$15.0026.2%7.5%23.1%8.1%0.0%-0.3%0.2%40.9K-1.2M-6.5K0.0061.86N/AN/A001,7261,496
2010-04-29$15.87$15.0022.4%6.4%23.4%3.5%0.0%4.6%7.6%46.1K-1.3M-6.1K0.0067.64N/AN/A001,7261,496
2010-04-30$15.30$15.0023.8%6.8%27.5%5.2%0.0%-3.6%1.7%41.4K-1.1M-6.3K0.0075.19N/AN/A0421,7261,496