WWW Options History — November 2010

In November 2010, WWW traded between $14.36 and $15.63. ATM implied volatility averaged 28.5%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 1.3% (HV 20d: 27.2%). 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 17 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2010-11-04: Highest Volume — 64 contracts
  • 2010-11-08: Largest IV spike — 39.7% change
  • 2010-11-15: Highest IV Rank — 27.2%
  • 2010-11-15: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.97$14.36$15.63$14.36$15.63
Max Pain$13.45$12.50$15.00$12.50$12.50
ATM IV28.5%20.9%32.2%27.7%30.6%
Expected Move8.3%7.2%9.2%8.0%8.8%
HV 20d27.2%25.7%30.3%28.3%26.9%
HV 60d28.4%26.1%29.8%29.7%26.1%
IV Rank20.4%6.6%27.2%19.1%24.3%
IV Percentile38.2%3.6%64.7%29.8%55.2%
Term Structure1.9%-3.0%7.0%-1.7%4.3%
VWIV30.1%29.6%30.8%30.8%29.6%
Skew 25d10.3%-10.2%73.6%-10.2%8.7%
Skew 10d19.1%-60.4%133.5%-60.4%9.9%
Call IV 25d29.8%21.6%85.4%37.1%24.3%
Put IV 25d40.1%26.3%95.1%26.9%33.0%
Bid-Ask Spread %116.98109.47130.31113.24117.56
Gamma HHI0.710.510.850.600.51
Net GEX34.0K20.4K62.2K20.4K26.9K
Net DEX-479.4K-695.6K-246.4K-246.4K-695.6K
Net VEX-1.6K-2.1K-1.3K-1.9K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.003.333.330.00
Total Volume8.9520642620
Total OI1,607.2381,3101,7501,6981,354

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$14.36$12.5027.7%8.0%28.3%19.1%30.8%-10.2%-1.7%20.4K-246.4K-1.9K3.33113.24N/AN/A6201,058640
2010-11-02$14.66$12.5028.5%8.2%26.4%20.5%0.0%-9.9%-1.0%26.6K-333.8K-1.9K0.00119.29N/AN/A001,058646
2010-11-03$14.59$12.5028.6%8.2%26.0%20.6%0.0%-8.1%-3.0%26.2K-307.7K-1.7K0.00124.09N/AN/A001,058646
2010-11-04$15.27$12.5025.2%7.2%30.3%14.4%0.0%-6.6%1.1%36.2K-545.1K-1.8K0.00130.31N/AN/A6401,058646
2010-11-05$15.29$15.0020.9%7.6%29.1%6.6%0.0%73.6%5.5%41.6K-605.7K-1.9K0.00116.68N/AN/A001,102646
2010-11-08$15.14$15.0029.1%8.6%26.8%21.6%30.0%6.5%2.4%37.0K-561.9K-2.1K0.00116.63N/AN/A801,102646
2010-11-09$14.96$15.0028.0%9.2%27.2%19.6%0.0%4.9%0.9%37.3K-502.9K-2.0K0.00115.83N/AN/A001,102646
2010-11-10$15.00$15.0027.3%8.2%26.2%18.2%0.0%4.9%3.7%41.3K-484.0K-1.7K0.00115.12N/AN/A001,102646
2010-11-11$14.89$15.0030.2%8.7%26.3%23.5%0.0%3.5%2.3%38.8K-459.7K-1.8K0.00115.91N/AN/A001,102646
2010-11-12$14.62$15.0029.6%8.5%27.0%22.4%29.6%1.5%2.3%36.9K-361.2K-1.7K1.50115.49N/AN/A461,102646
2010-11-15$14.65$15.0032.2%9.2%26.9%27.2%0.0%2.3%-0.2%39.4K-365.3K-1.7K0.00114.38N/AN/A001,098652
2010-11-16$14.50$15.0031.4%9.0%26.2%25.6%0.0%10.2%1.2%34.2K-303.9K-1.6K0.00109.47N/AN/A001,098652
2010-11-17$14.47$12.5030.7%8.8%25.7%24.5%0.0%-0.3%0.5%32.2K-380.5K-1.5K0.00111.47N/AN/A1001,098572
2010-11-18$14.90$12.5029.1%8.3%27.7%21.6%0.0%2.9%2.6%62.2K-543.1K-1.6K0.00116.11N/AN/A201,098572
2010-11-19$14.75$12.5026.7%7.7%27.4%17.2%0.0%1.1%4.4%50.1K-470.5K-1.4K0.00111.48N/AN/A041,098572
2010-11-22$14.90$12.5029.3%8.4%27.2%21.8%0.0%43.5%0.7%21.9K-440.9K-1.3K0.00115.11N/AN/A00934376
2010-11-23$15.05$12.5029.5%8.4%26.8%22.2%0.0%37.7%1.1%23.0K-482.7K-1.3K0.00113.98N/AN/A00934376
2010-11-24$15.60$12.5027.1%7.8%27.7%18.0%0.0%18.0%2.3%27.4K-652.8K-1.3K0.00124.13N/AN/A00934376
2010-11-26$15.56$12.5029.4%8.4%27.5%22.2%0.0%10.2%3.3%25.9K-673.5K-1.3K0.00123.42N/AN/A400934376
2010-11-29$15.52$12.5026.8%7.7%27.6%17.4%0.0%21.0%7.0%28.1K-650.8K-1.3K0.00116.95N/AN/A04974376
2010-11-30$15.63$12.5030.6%8.8%26.9%24.3%0.0%8.7%4.3%26.9K-695.6K-1.4K0.00117.56N/AN/A200974380