WWW Options History — May 2010

In May 2010, WWW traded between $13.78 and $15.76. ATM implied volatility averaged 32.7%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 1.3% (HV 20d: 34.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2010-05-18: Highest Volume — 182 contracts
  • 2010-05-07: Largest IV spike — 70.4% change
  • 2010-05-10: Highest IV Rank — 26.9%
  • 2010-05-21: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.59$13.78$15.76$15.76$14.35
Max Pain$13.00$12.50$15.00$15.00$12.50
ATM IV32.7%23.1%41.7%26.7%30.9%
Expected Move9.1%6.6%10.5%7.7%8.8%
HV 20d34.1%28.6%36.6%28.6%35.3%
HV 60d23.8%20.3%26.6%20.3%26.6%
IV Rank16.0%4.3%26.9%8.7%13.7%
IV Percentile49.5%3.6%86.1%15.1%38.5%
Term Structure-0.2%-5.1%6.1%0.8%2.6%
VWIV34.7%28.7%39.7%37.1%28.7%
Skew 25d2.1%-8.9%38.8%6.1%-5.6%
Skew 10d4.5%-15.5%56.3%24.3%-2.1%
Call IV 25d34.0%27.2%42.5%27.2%33.6%
Put IV 25d36.1%23.4%71.6%33.3%28.0%
Bid-Ask Spread %89.5623.12107.3472.32105.46
Gamma HHI0.520.420.760.610.60
Net GEX28.5K7.6K50.9K45.9K39.9K
Net DEX-457.1K-1.2M209.7K-1.2M-537.0K
Net VEX-6.4K-7.1K-5.2K-6.0K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.004.500.001.00
Total Volume65.101826240
Total OI3,447.43,2423,7583,2643,426

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$15.76$15.0026.7%7.7%28.6%8.7%0.0%6.1%0.8%45.9K-1.2M-6.0K0.0072.32N/AN/A6201,7261,538
2010-05-04$15.38$15.0028.7%8.2%30.2%11.2%0.0%-2.6%-2.2%39.4K-1.0M-6.5K0.0023.12N/AN/A0621,7041,538
2010-05-05$15.01$15.0025.8%7.4%31.5%7.7%0.0%-6.1%0.2%36.8K-720.7K-6.3K1.0076.96N/AN/A40401,7041,580
2010-05-06$14.59$15.0023.1%6.6%33.1%4.3%0.0%-8.9%2.0%25.2K-409.7K-6.8K0.0082.27N/AN/A0441,7441,620
2010-05-07$14.30$12.5039.3%10.5%33.2%23.9%37.1%-4.7%-3.3%16.5K-271.0K-7.0K0.0092.87N/AN/A3201,7441,604
2010-05-10$14.86$12.5041.7%10.2%35.8%26.9%35.5%2.5%-5.1%24.1K-539.0K-6.7K0.0093.24N/AN/A801,7601,604
2010-05-11$15.07$12.5038.8%9.3%36.1%23.3%0.0%-6.5%3.8%29.4K-752.6K-6.7K0.5060.47N/AN/A120601,7601,604
2010-05-12$15.15$12.5035.9%8.5%35.2%19.8%0.0%-5.0%-0.7%40.0K-829.6K-6.9K0.0093.82N/AN/A001,8601,656
2010-05-13$14.99$12.5032.8%9.4%35.2%16.1%33.2%-6.1%-2.0%31.4K-712.0K-7.1K0.4687.23N/AN/A26121,8601,656
2010-05-14$14.74$12.5032.3%9.3%35.3%15.5%32.3%0.4%-0.1%29.9K-545.9K-7.1K0.1489.66N/AN/A88121,8801,664
2010-05-17$14.72$12.5034.9%10.0%34.9%18.6%35.0%1.0%-2.6%33.5K-482.2K-6.4K1.55100.33N/AN/A40621,9681,652
2010-05-18$14.46$12.5032.4%9.3%34.8%15.6%32.7%8.6%1.8%37.5K-468.6K-6.8K0.34106.07N/AN/A136462,0081,680
2010-05-19$14.06$12.5027.4%7.9%35.1%9.6%36.9%2.7%-1.0%23.5K-51.0K-6.3K4.5096.42N/AN/A20901,9821,726
2010-05-20$13.81$12.5036.7%10.5%34.8%20.8%0.0%5.1%-4.3%12.3K203.6K-6.5K0.00107.03N/AN/A0442,0021,756
2010-05-21$14.03$12.5036.8%10.5%33.7%20.9%39.7%2.3%-4.7%7.6K209.7K-6.0K0.00103.81N/AN/A2002,0021,756
2010-05-24$13.78$12.5031.1%8.9%33.5%14.0%0.0%7.1%3.3%14.4K-102.8K-5.9K0.0097.73N/AN/A001,7561,496
2010-05-25$13.97$12.5036.3%10.4%33.9%20.3%35.6%5.4%6.1%8.3K-123.8K-5.2K0.00107.34N/AN/A4201,7561,496
2010-05-26$14.13$12.5029.4%8.4%34.2%12.0%28.7%8.0%3.3%24.0K-228.7K-5.8K0.4292.15N/AN/A96401,7781,496
2010-05-27$14.68$12.5033.9%9.7%36.6%17.4%0.0%38.8%-0.9%50.9K-555.6K-5.8K0.00102.83N/AN/A2001,8701,536
2010-05-28$14.35$12.5030.9%8.8%35.3%13.7%0.0%-5.6%2.6%39.9K-537.0K-6.0K1.00105.46N/AN/A20201,8901,536