WWW Options History — September 2010

In September 2010, WWW traded between $13.21 and $14.67. ATM implied volatility averaged 29.4%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 2.4% (HV 20d: 31.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2010-09-29: Highest Volume — 124 contracts
  • 2010-09-09: Largest IV spike — 46.9% change
  • 2010-09-13: Highest IV Rank — 39.5%
  • 2010-09-08: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.92$13.21$14.67$13.21$14.51
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV29.4%20.1%39.0%26.8%32.6%
Expected Move8.8%5.8%11.2%7.7%9.4%
HV 20d31.8%25.3%36.7%34.2%25.3%
HV 60d35.8%33.6%37.3%37.0%33.6%
IV Rank22.1%5.1%39.5%17.4%28.0%
IV Percentile40.7%2.0%88.5%19.8%61.9%
Term Structure1.8%-3.5%11.1%11.1%-2.0%
VWIV34.3%32.8%36.7%33.2%32.8%
Skew 25d0.9%-10.3%18.2%5.8%-3.0%
Skew 10d0.1%-12.3%42.9%42.9%-5.8%
Call IV 25d30.7%20.1%35.6%27.2%34.1%
Put IV 25d31.7%21.1%39.3%33.0%31.1%
Bid-Ask Spread %81.5541.85127.65124.3293.90
Gamma HHI0.480.330.640.410.64
Net GEX14.0K-3.9K29.3K-3.9K29.3K
Net DEX-175.6K-389.8K101.0K101.0K-389.8K
Net VEX-2.7K-3.0K-2.4K-2.9K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.002.200.000.15
Total Volume22.47601244030
Total OI2,164.0951,3882,7382,6561,580

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$13.21$12.5026.8%7.7%34.2%17.4%0.0%5.8%11.1%-3.9K101.0K-2.9K0.00124.32N/AN/A4001,6221,034
2010-09-02$13.54$12.5025.3%7.3%35.8%14.6%0.0%3.9%8.1%6.6K-31.7K-2.8K0.00108.28N/AN/A001,6621,034
2010-09-03$13.80$12.5026.5%9.0%36.6%16.8%0.0%2.3%-0.9%16.6K-148.7K-3.0K0.0081.42N/AN/A001,6621,034
2010-09-07$13.52$12.5027.7%11.2%36.7%19.0%0.0%4.6%0.7%5.4K-55.9K-2.7K0.0042.83N/AN/A001,6621,034
2010-09-08$13.54$12.5024.5%11.2%36.1%13.2%0.0%3.7%-0.1%5.0K-54.5K-2.7K0.0041.85N/AN/A001,6621,034
2010-09-09$13.40$12.5036.0%10.3%32.5%34.0%0.0%1.5%1.8%1.5K-16.4K-2.5K0.0048.85N/AN/A001,6621,034
2010-09-10$13.30$12.5037.4%10.7%32.4%36.6%33.2%2.5%0.3%-630-6.5K-2.6K0.0045.51N/AN/A10401,6621,034
2010-09-13$13.60$12.5039.0%11.2%31.8%39.5%0.0%18.2%-3.3%10.1K-182.3K-2.6K0.0066.10N/AN/A001,766972
2010-09-14$13.70$12.5033.5%9.6%31.8%29.5%0.0%5.7%9.9%13.2K-206.7K-2.6K0.0081.67N/AN/A0101,766972
2010-09-15$13.96$12.5033.1%9.5%32.1%28.9%0.0%5.1%-3.0%27.4K-283.1K-2.7K0.0043.68N/AN/A1001,766962
2010-09-16$13.88$12.5027.9%8.0%31.8%19.3%0.0%5.2%1.5%13.6K-228.1K-2.5K0.0052.14N/AN/A001,766962
2010-09-17$13.95$12.5025.5%7.3%29.9%15.0%36.7%3.8%1.4%14.1K-371.0K-2.5K2.2045.46N/AN/A10221,766868
2010-09-20$14.36$12.5028.5%8.2%31.3%20.5%0.0%-2.6%1.2%19.1K-216.5K-2.6K1.3391.66N/AN/A2432968420
2010-09-21$14.31$12.5026.6%7.6%30.5%16.9%0.0%-7.3%1.3%19.4K-226.8K-2.6K0.00108.82N/AN/A00972450
2010-09-22$14.07$12.5028.6%8.2%30.4%20.7%0.0%-9.2%-2.0%15.8K-153.5K-2.5K0.00104.78N/AN/A00972450
2010-09-23$13.91$12.5020.1%5.8%30.8%5.1%0.0%-5.1%10.6%14.6K-132.6K-2.4K0.00127.65N/AN/A00972450
2010-09-24$14.23$12.5020.4%5.9%31.1%5.8%0.0%2.8%10.2%19.3K-179.7K-2.4K0.00114.70N/AN/A300972450
2010-09-27$14.23$12.5029.1%8.3%30.7%21.5%0.0%-10.3%-3.5%18.5K-208.8K-2.6K0.0095.94N/AN/A001,002450
2010-09-28$14.67$12.5033.9%9.7%28.4%30.3%0.0%-2.7%-3.1%23.6K-329.0K-2.7K0.00102.30N/AN/A3601,002450
2010-09-29$14.63$12.5034.4%9.9%28.4%31.2%34.5%-5.2%-3.0%25.1K-366.0K-2.8K0.0090.67N/AN/A12401,038450
2010-09-30$14.51$12.5032.6%9.4%25.3%28.0%32.8%-3.0%-2.0%29.3K-389.8K-3.0K0.1593.90N/AN/A2641,130450