WWW Options History — July 2010

In July 2010, WWW traded between $12.35 and $14.54. ATM implied volatility averaged 38.1%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 0.4% (HV 20d: 38.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2010-07-26: Highest Volume — 184 contracts
  • 2010-07-14: Largest IV spike — 55.7% change
  • 2010-07-14: Highest IV Rank — 63.7%
  • 2010-07-01: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.49$12.35$14.54$12.68$14.29
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV38.1%17.3%72.2%53.6%24.5%
Expected Move9.6%4.9%15.4%15.4%7.0%
HV 20d38.5%34.5%45.4%38.0%37.5%
HV 60d36.2%34.2%38.4%34.2%36.8%
IV Rank26.3%0.0%63.7%41.2%13.2%
IV Percentile56.6%0.0%99.6%97.6%7.9%
Term Structure-0.9%-10.7%9.4%-10.7%-0.7%
VWIV33.0%30.3%35.2%30.3%33.5%
Skew 25d7.9%-3.7%19.4%15.2%18.0%
Skew 10d6.4%-9.8%17.7%17.7%11.6%
Call IV 25d29.0%16.2%45.6%44.0%22.9%
Put IV 25d36.9%20.4%59.2%59.2%40.9%
Bid-Ask Spread %89.8935.29134.7592.57132.09
Gamma HHI0.420.360.570.380.55
Net GEX7.0K-5.5K25.7K-3.5K23.0K
Net DEX33.6K-508.5K530.3K443.8K-356.9K
Net VEX-4.4K-4.7K-4.1K-4.4K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.003.000.000.00
Total Volume39.8101844064
Total OI2,513.6192,3622,5982,4062,596

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$12.68$12.5053.6%15.4%38.0%41.2%0.0%15.2%-10.7%-3.5K443.8K-4.4K0.0092.57N/AN/A4001,3241,082
2010-07-02$12.57$12.5051.0%14.6%35.2%38.1%0.0%11.2%-9.9%-2.3K414.0K-4.5K0.0086.86N/AN/A0401,3621,082
2010-07-06$12.35$12.5053.2%12.4%34.5%40.7%0.0%3.3%-5.2%-5.5K530.3K-4.1K0.0052.45N/AN/A1601,3621,122
2010-07-07$12.79$12.5054.0%11.6%37.2%41.7%0.0%7.2%-3.3%-3.5K405.8K-4.4K0.0035.29N/AN/A6001,3621,122
2010-07-08$13.09$12.5051.7%11.4%37.5%38.8%0.0%7.3%-3.9%1.7K254.6K-4.6K0.0067.02N/AN/A1401,4221,122
2010-07-09$13.26$12.5047.3%10.5%36.1%33.6%0.0%4.4%-3.0%2.9K184.5K-4.7K0.0066.63N/AN/A1801,4341,122
2010-07-12$13.12$12.5055.9%11.1%35.8%43.9%0.0%4.9%-3.3%3.3K171.0K-4.7K0.0035.44N/AN/A0121,4481,122
2010-07-13$13.53$12.5046.4%11.4%37.8%32.5%0.0%8.2%-4.0%4.2K60.0K-4.7K0.0088.93N/AN/A2001,4481,134
2010-07-14$13.54$12.5072.2%11.7%37.1%63.7%0.0%5.2%-4.3%5.3K65.9K-4.7K0.0090.02N/AN/A021,4481,134
2010-07-15$13.46$12.5033.4%9.6%37.1%26.4%30.3%13.3%-0.9%3.5K96.9K-4.5K0.0094.75N/AN/A2001,4481,130
2010-07-16$12.96$12.5035.3%10.1%38.8%30.0%35.2%7.0%-0.6%1.1K181.4K-4.2K0.2891.01N/AN/A80221,4681,130
2010-07-19$12.86$12.5035.3%10.1%38.6%30.1%0.0%4.1%-0.1%-2.6K247.3K-4.1K0.00105.36N/AN/A001,3241,038
2010-07-20$13.67$12.5028.8%8.3%45.4%17.7%33.5%19.4%7.8%3.9K2.5K-4.2K3.0097.26N/AN/A401201,3241,038
2010-07-21$13.48$12.5030.0%8.6%42.3%19.9%0.0%13.3%1.6%1.8K28.6K-4.3K0.0091.58N/AN/A601,3041,156
2010-07-22$13.94$12.5019.3%5.5%43.8%0.0%0.0%12.5%8.8%7.3K-90.7K-4.4K0.00113.82N/AN/A001,3101,156
2010-07-23$14.29$12.5017.3%4.9%40.2%0.0%0.0%4.2%7.2%17.8K-251.5K-4.2K0.0098.98N/AN/A5001,3101,156
2010-07-26$14.54$12.5023.6%6.8%40.4%11.6%0.0%7.3%1.2%20.9K-390.9K-4.3K0.00110.13N/AN/A18401,3101,156
2010-07-27$14.45$12.5021.5%6.2%40.6%7.8%0.0%-3.7%0.1%25.7K-508.5K-4.5K0.00108.50N/AN/A2801,4321,156
2010-07-28$14.22$12.5018.9%5.4%37.6%3.0%0.0%3.6%9.4%20.8K-370.1K-4.4K0.00134.75N/AN/A001,4401,156
2010-07-29$14.33$12.5027.6%7.9%37.4%18.7%0.0%-0.0%-4.3%21.3K-411.7K-4.1K0.0094.19N/AN/A001,4401,156
2010-07-30$14.29$12.5024.5%7.0%37.5%13.2%0.0%18.0%-0.7%23.0K-356.9K-4.1K0.00132.09N/AN/A6401,4401,156