WWW Options History — August 2010

In August 2010, WWW traded between $12.63 and $14.73. ATM implied volatility averaged 29.1%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 7.1% (HV 20d: 36.1%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.16.

Notable Days

  • 2010-08-24: Highest Volume — 122 contracts
  • 2010-08-10: Largest IV spike — 70.0% change
  • 2010-08-11: Highest IV Rank — 32.0%
  • 2010-08-30: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.50$12.63$14.73$14.73$12.63
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV29.1%18.7%34.8%29.4%32.2%
Expected Move8.1%5.8%9.5%8.4%9.2%
HV 20d36.1%30.1%42.0%38.0%30.1%
HV 60d37.1%35.8%37.9%36.8%35.8%
IV Rank21.5%2.6%32.0%22.0%27.2%
IV Percentile36.5%0.4%73.8%35.3%56.3%
Term Structure5.8%-5.4%13.5%-3.1%4.6%
VWIV24.0%17.1%30.8%17.1%30.7%
Skew 25d5.4%-7.1%23.5%10.2%-3.1%
Skew 10d4.7%-11.2%32.8%15.5%-5.8%
Call IV 25d24.7%17.7%31.8%28.4%31.8%
Put IV 25d30.1%18.3%44.4%38.6%28.7%
Bid-Ask Spread %106.4756.12122.8684.75119.08
Gamma HHI0.440.360.630.590.43
Net GEX8.1K-9.8K34.2K28.5K-9.8K
Net DEX-76.5K-639.9K334.7K-639.9K334.7K
Net VEX-3.7K-4.6K-2.8K-4.3K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.100.000.00
Total Volume29.7270122440
Total OI2,707.9092,5402,8142,6162,636

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$14.73$12.5029.4%8.4%38.0%22.0%0.0%10.2%-3.1%28.5K-639.9K-4.3K0.0084.75N/AN/A401,4601,156
2010-08-03$14.18$12.5027.7%7.9%40.4%18.9%0.0%2.6%-3.1%24.1K-408.7K-4.2K0.0098.98N/AN/A401,4601,156
2010-08-04$14.39$12.5027.3%7.8%39.2%18.3%0.0%8.3%-5.4%23.9K-438.0K-4.0K0.0089.65N/AN/A4001,4561,156
2010-08-05$14.36$12.5020.3%5.8%38.8%5.5%17.1%23.5%7.6%25.7K-472.5K-4.3K0.00101.85N/AN/A5601,4961,156
2010-08-06$14.29$12.5030.4%7.1%38.8%23.9%0.0%-5.1%5.3%25.5K-451.8K-4.6K1.10105.59N/AN/A20221,5521,156
2010-08-09$14.49$12.5018.7%6.9%38.5%2.6%0.0%-5.3%4.8%34.2K-554.5K-4.3K0.00120.05N/AN/A11001,5721,156
2010-08-10$14.18$12.5031.7%6.2%38.4%26.3%0.0%-4.6%7.5%29.9K-418.7K-4.2K0.0056.12N/AN/A001,6581,156
2010-08-11$13.55$12.5034.8%8.3%41.9%32.0%0.0%12.9%11.0%10.4K-120.0K-4.2K0.00106.85N/AN/A001,6581,156
2010-08-12$13.41$12.5029.3%8.4%42.0%21.9%17.2%11.1%7.2%4.8K-8.6K-3.8K0.00104.10N/AN/A8001,6581,156
2010-08-13$13.06$12.5031.3%9.0%40.9%25.6%0.0%7.0%5.5%-3.1K139.8K-3.8K0.00104.68N/AN/A001,6581,156
2010-08-16$13.13$12.5031.6%9.1%40.8%26.1%0.0%7.9%4.7%-3.7K106.8K-3.6K0.00120.06N/AN/A0201,6581,156
2010-08-17$13.31$12.5028.8%8.3%34.4%21.1%0.0%14.4%12.3%4.0K-30.0K-3.9K0.00111.89N/AN/A001,6581,156
2010-08-18$13.54$12.5029.0%8.3%34.6%21.4%0.0%14.5%11.5%9.1K-82.8K-3.8K0.00116.86N/AN/A001,6581,156
2010-08-19$13.16$12.5030.3%8.7%33.6%23.8%0.0%8.0%6.3%-2.4K89.8K-3.5K0.00122.86N/AN/A001,6581,156
2010-08-20$13.23$12.5026.5%7.6%32.1%16.8%0.0%10.2%13.5%-58679.3K-3.4K0.0097.98N/AN/A001,6581,156
2010-08-23$13.02$12.5026.4%7.6%31.4%16.7%0.0%-7.1%3.8%-1.7K117.7K-3.4K0.00108.22N/AN/A7001,598972
2010-08-24$12.79$12.5030.8%8.8%31.7%24.7%30.8%1.1%5.1%-3.8K229.9K-3.1K0.53113.75N/AN/A80421,568972
2010-08-25$12.97$12.5031.1%8.9%32.2%25.2%30.7%3.5%6.2%-2.4K185.0K-3.2K0.00119.39N/AN/A6601,6481,014
2010-08-26$12.86$12.5030.8%8.8%31.9%24.5%0.0%2.0%5.8%-4.6K214.5K-3.2K0.00116.72N/AN/A001,6221,014
2010-08-27$13.11$12.5027.6%7.9%33.1%18.8%0.0%7.2%12.2%-1.4K144.1K-3.2K0.00118.34N/AN/A001,6221,014
2010-08-30$12.66$12.5033.1%9.5%32.2%28.7%0.0%-0.3%3.7%-7.4K300.9K-2.8K0.00104.47N/AN/A001,6221,014
2010-08-31$12.63$12.5032.2%9.2%30.1%27.2%0.0%-3.1%4.6%-9.8K334.7K-2.9K0.00119.08N/AN/A0401,6221,014