WWW Options History — June 2010

In June 2010, WWW traded between $12.61 and $14.80. ATM implied volatility averaged 37.5%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 1.8% (HV 20d: 35.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2010-06-24: Highest Volume — 168 contracts
  • 2010-06-07: Largest IV spike — 50.1% change
  • 2010-06-30: Highest IV Rank — 40.2%
  • 2010-06-30: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.94$12.61$14.80$14.16$12.61
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV37.5%25.2%52.8%27.8%52.8%
Expected Move11.1%7.2%15.1%8.0%15.1%
HV 20d35.7%32.7%40.6%33.3%37.7%
HV 60d30.4%26.4%34.2%26.4%34.2%
IV Rank21.7%7.0%40.2%10.1%40.2%
IV Percentile67.2%7.9%97.6%21.0%97.6%
Term Structure-3.9%-12.9%10.5%10.5%-9.9%
VWIV39.4%25.9%47.0%46.5%37.9%
Skew 25d6.1%-2.9%47.4%-1.4%12.2%
Skew 10d7.4%-14.1%63.3%-2.2%14.4%
Call IV 25d36.0%29.1%47.9%29.4%44.4%
Put IV 25d42.1%26.2%77.8%28.0%56.6%
Bid-Ask Spread %88.8828.67109.76109.7690.71
Gamma HHI0.580.370.890.680.37
Net GEX42.7K-467175.2K44.9K824
Net DEX-148.5K-586.2K378.0K-342.7K341.7K
Net VEX-5.4K-6.2K-4.1K-5.7K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.002.500.632.50
Total Volume45.1820168104140
Total OI3,151.8182,0963,8143,4662,312

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$14.16$12.5027.8%8.0%33.3%10.1%0.0%-1.4%10.5%44.9K-342.7K-5.7K0.63109.76N/AN/A64401,9101,556
2010-06-02$14.56$12.5030.1%8.6%34.5%12.9%0.0%47.4%7.1%58.2K-500.3K-5.9K0.0093.18N/AN/A8001,9701,596
2010-06-03$14.54$12.5025.2%7.2%33.6%7.0%0.0%-2.9%8.2%63.7K-586.2K-6.2K0.0091.20N/AN/A4002,0101,596
2010-06-04$13.90$12.5025.5%11.1%35.8%7.3%0.0%8.6%-7.1%26.4K-186.6K-5.8K0.0077.30N/AN/A602,0501,596
2010-06-07$13.51$12.5038.3%13.9%36.5%22.8%46.5%3.0%-12.9%2.4K73.7K-5.4K0.0087.21N/AN/A0402,0561,596
2010-06-08$13.52$12.5031.8%12.3%33.1%14.9%0.0%5.8%-5.8%-448117.3K-5.1K1.0078.95N/AN/A60602,0561,614
2010-06-09$13.78$12.5044.7%10.4%33.5%30.4%0.0%5.4%-4.6%17.4K-58.8K-5.8K0.0085.33N/AN/A002,1161,654
2010-06-10$14.19$12.5037.2%10.7%35.5%21.4%0.0%5.1%-6.2%43.9K-287.4K-6.0K0.0084.36N/AN/A002,1161,654
2010-06-11$14.33$12.5035.9%10.3%35.7%19.8%0.0%6.2%-4.5%57.4K-343.5K-5.9K0.0093.73N/AN/A0202,1161,654
2010-06-14$14.45$12.5037.1%10.6%35.4%21.3%0.0%7.6%-5.6%66.9K-344.0K-5.7K0.3328.67N/AN/A30102,1161,654
2010-06-15$14.67$12.5035.0%10.0%35.9%18.7%0.0%8.2%-3.6%105.5K-514.7K-5.9K0.0078.80N/AN/A0202,1161,664
2010-06-16$14.66$12.5034.0%9.8%35.3%17.6%0.0%-1.6%-2.4%106.0K-512.5K-5.9K0.0098.94N/AN/A0202,1161,678
2010-06-17$14.74$12.5033.5%9.6%33.6%16.9%0.0%-1.9%-2.8%125.7K-575.9K-5.8K0.00101.19N/AN/A002,1161,698
2010-06-18$14.80$12.5033.8%9.7%32.7%17.2%0.0%-1.5%-3.5%175.2K-552.8K-5.7K0.0097.28N/AN/A2002,1161,698
2010-06-21$14.60$12.5033.2%9.5%33.0%16.6%33.2%9.5%-1.7%15.8K-245.8K-5.3K0.0495.07N/AN/A5021,200896
2010-06-22$13.89$12.5032.1%9.2%37.1%15.2%25.9%3.5%-4.3%11.2K-32.4K-5.1K0.0090.90N/AN/A021,220898
2010-06-23$13.69$12.5045.2%13.0%37.1%31.0%47.0%4.0%-3.7%8.9K88.4K-4.8K0.0092.55N/AN/A021,220900
2010-06-24$13.03$12.5045.6%13.1%40.6%31.5%45.7%1.8%-6.3%4.4K262.9K-4.3K1.10101.96N/AN/A80881,220902
2010-06-25$13.21$12.5045.6%13.1%38.0%31.5%0.0%3.5%-7.4%2.0K274.7K-4.6K0.0078.45N/AN/A001,238990
2010-06-28$13.21$12.5049.9%14.3%37.5%36.7%0.0%-1.3%-9.7%2.7K279.3K-4.5K0.00100.57N/AN/A001,238990
2010-06-29$12.66$12.5050.3%14.4%39.7%37.2%37.9%12.1%-9.5%-467378.0K-4.1K0.0999.33N/AN/A110101,238990
2010-06-30$12.61$12.5052.8%15.1%37.7%40.2%0.0%12.2%-9.9%824341.7K-4.3K2.5090.71N/AN/A401001,324988