WWW Options History — October 2010

In October 2010, WWW traded between $14.40 and $15.22. ATM implied volatility averaged 29.6%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.3% (HV 20d: 27.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2010-10-04: Highest Volume — 568 contracts
  • 2010-10-08: Largest IV spike — 33.2% change
  • 2010-10-04: Highest IV Rank — 46.7%
  • 2010-10-04: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.83$14.40$15.22$14.56$14.56
Max Pain$12.62$12.50$15.00$12.50$12.50
ATM IV29.6%23.6%43.0%32.6%28.4%
Expected Move8.5%8.1%9.3%9.3%8.1%
HV 20d27.3%24.0%29.0%24.2%28.1%
HV 60d31.7%29.5%34.0%33.4%29.5%
IV Rank22.4%11.5%46.7%27.8%20.2%
IV Percentile40.7%7.5%91.3%61.1%32.1%
Term Structure0.1%-2.5%7.7%-2.4%0.5%
VWIV31.5%29.0%36.9%36.9%31.1%
Skew 25d-10.2%-39.4%21.1%21.1%-22.5%
Skew 10d-20.8%-67.1%26.6%26.6%-52.3%
Call IV 25d40.1%19.2%69.9%34.7%50.6%
Put IV 25d29.8%25.2%55.8%55.8%28.1%
Bid-Ask Spread %111.2786.18125.53101.46119.13
Gamma HHI0.690.550.860.660.64
Net GEX50.8K24.3K119.6K29.0K24.4K
Net DEX-540.7K-855.9K-322.1K-377.7K-322.1K
Net VEX-2.7K-3.3K-2.1K-2.8K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.002.270.562.27
Total Volume60056828
Total OI1,827.3331,5642,0541,5641,690

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$14.56$12.5032.6%9.3%24.2%27.8%0.0%21.1%-2.4%29.0K-377.7K-2.8K0.00101.46N/AN/A021,114450
2010-10-04$14.40$15.0043.0%9.3%24.0%46.7%36.9%2.8%-2.1%26.3K-365.2K-2.8K0.5686.18N/AN/A3642041,114450
2010-10-05$14.91$12.5031.1%8.3%25.0%25.2%29.0%7.6%0.4%59.6K-654.7K-3.2K0.0592.43N/AN/A4221,394654
2010-10-06$15.10$12.5028.8%9.3%25.1%21.0%32.5%4.5%-2.3%71.9K-776.8K-3.3K0.04104.06N/AN/A5621,400654
2010-10-07$14.86$12.5025.8%8.5%25.7%15.5%0.0%2.5%-0.1%73.0K-702.6K-3.2K0.0598.39N/AN/A8241,396652
2010-10-08$15.22$12.5034.3%8.2%26.1%31.1%0.0%10.9%7.7%62.8K-855.9K-3.0K0.23110.27N/AN/A60141,376652
2010-10-11$14.74$12.5026.5%8.3%28.9%16.8%0.0%0.4%0.9%71.5K-605.6K-3.0K0.00109.66N/AN/A001,376664
2010-10-12$14.83$12.5025.0%8.1%28.8%14.1%0.0%0.5%0.4%76.2K-592.6K-2.9K0.00113.56N/AN/A001,376664
2010-10-13$15.13$12.5023.6%8.5%28.9%11.5%0.0%-0.4%-0.5%102.9K-854.9K-2.8K0.00112.82N/AN/A3001,376664
2010-10-14$15.07$12.5029.5%8.5%28.8%22.3%0.0%4.1%0.0%119.6K-803.1K-2.8K0.00112.17N/AN/A17001,376664
2010-10-15$14.97$12.5028.5%8.2%29.0%20.5%0.0%-1.5%0.4%115.9K-584.4K-2.7K0.00112.43N/AN/A001,206664
2010-10-18$15.04$12.5029.0%8.3%27.5%21.4%0.0%3.2%1.3%26.1K-522.3K-2.5K0.00124.45N/AN/A001,064610
2010-10-19$14.74$12.5028.7%8.2%28.6%20.9%0.0%-36.6%0.8%25.3K-474.7K-2.5K1.00124.49N/AN/A22221,064610
2010-10-20$14.93$12.5029.3%8.4%28.0%21.9%0.0%-8.0%-0.7%25.8K-476.8K-2.5K0.00117.65N/AN/A201,068632
2010-10-21$14.79$12.5029.7%8.5%27.8%22.6%29.7%-36.4%0.2%24.5K-417.0K-2.5K0.00113.62N/AN/A2001,068632
2010-10-22$14.56$12.5028.1%8.1%27.6%19.7%0.0%-28.0%1.3%24.3K-353.4K-2.4K0.00116.87N/AN/A001,088632
2010-10-25$14.77$12.5028.5%8.2%27.9%20.5%0.0%-35.6%0.4%27.7K-418.8K-2.3K0.00113.11N/AN/A001,088632
2010-10-26$15.01$12.5029.5%8.5%26.4%22.3%29.5%-39.4%-0.7%29.9K-497.9K-2.3K0.00125.53N/AN/A1001,088632
2010-10-27$14.62$12.5029.5%8.4%28.2%22.2%0.0%-30.9%-0.0%26.2K-368.1K-2.2K0.00116.30N/AN/A001,088632
2010-10-28$14.52$12.5031.6%9.1%28.1%26.0%31.1%-33.6%-2.5%24.6K-330.6K-2.1K2.27112.05N/AN/A441001,088632
2010-10-29$14.56$12.5028.4%8.1%28.1%20.2%0.0%-22.5%0.5%24.4K-322.1K-2.1K0.00119.13N/AN/A081,058632