WWW Options History — December 2010

In December 2010, WWW traded between $15.47 and $16.44. ATM implied volatility averaged 29.3%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 9.5% (HV 20d: 19.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2010-12-10: Highest Volume — 42 contracts
  • 2010-12-14: Largest IV spike — 49.2% change
  • 2010-12-14: Highest IV Rank — 72.0%
  • 2010-12-08: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.99$15.47$16.44$15.95$15.94
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV29.3%20.1%56.9%30.5%28.3%
Expected Move8.0%5.8%9.2%8.8%8.1%
HV 20d19.8%13.7%26.9%26.9%15.2%
HV 60d24.9%23.0%26.0%26.0%23.2%
IV Rank21.9%5.2%72.0%24.1%20.1%
IV Percentile38.5%2.4%99.6%55.2%33.3%
Term Structure3.6%-3.6%10.8%2.6%7.8%
VWIV27.5%26.3%29.3%29.3%26.3%
Skew 25d6.4%2.3%15.5%13.0%11.6%
Skew 10d7.8%-6.8%52.7%13.2%11.6%
Call IV 25d23.7%17.3%27.8%22.4%18.9%
Put IV 25d30.2%20.6%37.8%35.3%30.5%
Bid-Ask Spread %108.0393.08129.94120.12106.30
Gamma HHI0.550.490.630.490.57
Net GEX17.3K10.3K29.4K28.5K12.0K
Net DEX-570.2K-842.3K-257.4K-824.0K-268.3K
Net VEX-1.2K-1.5K-1.1K-1.4K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume13.545042400
Total OI973.9093901,4021,374446

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$15.95$12.5030.5%8.8%26.9%24.1%29.3%13.0%2.6%28.5K-824.0K-1.4K0.00120.12N/AN/A400994380
2010-12-02$15.88$12.5030.5%8.7%26.9%24.1%27.0%15.5%4.8%29.4K-828.4K-1.5K0.00115.61N/AN/A2201,022380
2010-12-03$15.79$12.5027.9%8.0%22.2%19.3%26.3%8.6%4.4%27.8K-780.9K-1.4K0.00120.88N/AN/A601,002380
2010-12-06$15.70$12.5032.7%9.1%22.3%28.1%0.0%3.5%1.8%26.6K-758.9K-1.3K0.0097.89N/AN/A801,000380
2010-12-07$15.71$12.5030.3%9.1%21.9%23.8%0.0%3.8%1.1%25.6K-761.6K-1.3K0.0096.82N/AN/A00992380
2010-12-08$15.47$12.5031.8%9.2%22.1%26.4%0.0%2.3%0.1%26.1K-699.3K-1.2K0.0095.18N/AN/A360992380
2010-12-09$15.49$12.5029.3%8.4%22.1%21.9%0.0%8.9%2.8%23.0K-652.8K-1.2K0.0094.97N/AN/A00956380
2010-12-10$15.78$12.5026.2%8.7%22.6%16.3%0.0%3.3%2.3%16.8K-768.9K-1.1K0.0093.08N/AN/A420956380
2010-12-13$15.72$12.5038.1%8.9%21.3%37.9%0.0%3.1%-0.6%19.9K-769.5K-1.2K0.0098.82N/AN/A20996380
2010-12-14$15.87$12.5056.9%9.0%21.4%72.0%0.0%4.7%1.9%20.4K-793.6K-1.2K0.00105.77N/AN/A120996380
2010-12-15$15.87$12.5029.5%8.5%20.8%22.3%0.0%5.2%2.7%16.4K-816.9K-1.1K0.00105.33N/AN/A400996380
2010-12-16$16.06$12.5025.2%7.2%20.8%14.5%0.0%4.0%9.1%13.0K-827.4K-1.2K0.00104.59N/AN/A200996380
2010-12-17$16.14$12.5025.6%7.3%18.8%15.2%0.0%3.7%7.7%10.3K-842.3K-1.2K0.00105.57N/AN/A00996380
2010-12-20$16.21$12.5025.9%7.4%18.1%15.7%0.0%5.5%8.4%10.4K-257.4K-1.2K0.00107.01N/AN/A0034644
2010-12-21$16.44$12.5021.5%6.2%18.3%7.7%0.0%5.9%3.5%10.7K-275.8K-1.2K0.00108.75N/AN/A2034644
2010-12-22$16.20$12.5029.2%8.4%19.4%21.7%0.0%5.8%-3.6%10.3K-266.4K-1.2K0.00114.44N/AN/A0034844
2010-12-23$16.33$12.5020.1%5.8%15.3%5.2%0.0%3.3%10.8%10.7K-270.8K-1.2K0.00129.94N/AN/A0034844
2010-12-27$16.37$12.5025.7%7.4%15.2%15.3%0.0%4.9%1.7%10.7K-271.4K-1.2K0.00114.12N/AN/A0034844
2010-12-28$16.35$12.5024.9%7.1%15.2%13.8%0.0%9.2%3.4%10.8K-272.3K-1.1K0.00117.42N/AN/A0034844
2010-12-29$16.28$12.5024.3%7.0%15.3%12.9%0.0%5.1%1.7%10.7K-267.6K-1.1K0.00113.33N/AN/A28034844
2010-12-30$16.23$12.5030.0%8.6%13.7%23.2%0.0%10.8%5.8%11.4K-270.3K-1.1K0.00110.65N/AN/A40036244
2010-12-31$15.94$12.5028.3%8.1%15.2%20.1%0.0%11.6%7.8%12.0K-268.3K-1.3K0.00106.30N/AN/A0040244