WWW Options History — January 2011

In January 2011, WWW traded between $15.32 and $16.12. ATM implied volatility averaged 32.2%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 13.2% (HV 20d: 19.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2011-01-13: Highest Volume — 26 contracts
2011-01-13: Largest IV spike — 16.3% change
2011-01-31: Highest IV Rank — 40.8%
2011-01-31: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.62	$15.32	$16.12	$16.12	$15.93
Max Pain	$14.50	$12.50	$15.00	$12.50	$15.00
ATM IV	32.2%	26.1%	39.7%	27.3%	39.7%
Expected Move	9.5%	7.8%	11.4%	7.8%	11.4%
HV 20d	19.0%	15.5%	24.7%	15.5%	24.7%
HV 60d	22.1%	21.0%	23.6%	23.0%	22.6%
IV Rank	27.1%	16.2%	40.8%	18.3%	40.8%
IV Percentile	62.7%	15.9%	92.5%	26.2%	92.5%
Term Structure	-0.5%	-8.3%	9.9%	9.9%	-8.3%
Skew 25d	8.3%	-10.7%	24.7%	13.4%	16.4%
Skew 10d	9.6%	-15.0%	48.0%	11.3%	23.5%
Call IV 25d	26.4%	18.1%	41.5%	18.1%	23.4%
Put IV 25d	34.7%	30.7%	50.1%	31.5%	39.8%
Bid-Ask Spread %	105.76	96.58	121.52	109.92	110.78
Gamma HHI	0.55	0.52	0.61	0.58	0.59
Net GEX	12.6K	11.2K	14.5K	12.8K	14.5K
Net DEX	-231.4K	-282.7K	-201.6K	-274.0K	-264.4K
Net VEX	-1.1K	-1.3K	-1.0K	-1.3K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	2.7	0	26	0	0
Total OI	461.5	446	482	446	482

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2011-01-03	$16.12	$12.50	27.3%	7.8%	15.5%	18.3%	0.0%	13.4%	9.9%	12.8K	-274.0K	-1.3K	109.92	N/A	N/A	0	402	44
2011-01-04	$15.60	$12.50	27.7%	8.0%	19.5%	19.0%	0.0%	-10.7%	7.9%	11.7K	-225.3K	-1.2K	109.69	N/A	N/A	2	402	44
2011-01-05	$15.50	$12.50	32.2%	9.2%	19.6%	27.2%	0.0%	6.0%	2.3%	11.5K	-218.9K	-1.2K	116.49	N/A	N/A	0	402	44
2011-01-06	$15.44	$12.50	29.7%	8.5%	18.9%	22.6%	0.0%	6.3%	5.0%	11.3K	-209.0K	-1.1K	109.72	N/A	N/A	0	402	44
2011-01-07	$15.39	$15.00	29.3%	9.6%	18.9%	22.0%	0.0%	10.3%	-2.3%	11.2K	-204.3K	-1.1K	104.48	N/A	N/A	0	402	44
2011-01-10	$15.45	$15.00	26.1%	9.4%	17.7%	16.2%	0.0%	0.1%	-0.6%	11.3K	-201.6K	-1.1K	97.72	N/A	N/A	0	402	44
2011-01-11	$15.47	$15.00	28.8%	9.8%	17.7%	21.0%	0.0%	1.7%	-3.2%	11.6K	-209.0K	-1.1K	98.03	N/A	N/A	0	402	44
2011-01-12	$15.53	$15.00	28.6%	9.5%	17.4%	20.7%	0.0%	2.0%	-1.5%	11.7K	-214.8K	-1.1K	98.30	N/A	N/A	0	402	44
2011-01-13	$15.58	$15.00	33.3%	9.6%	17.4%	29.2%	0.0%	11.0%	-1.9%	11.9K	-215.5K	-1.1K	105.18	N/A	N/A	26	402	44
2011-01-14	$15.88	$15.00	31.4%	9.0%	18.3%	25.7%	0.0%	6.5%	2.1%	13.6K	-254.5K	-1.2K	99.06	N/A	N/A	0	428	44
2011-01-18	$15.83	$15.00	34.9%	10.0%	18.1%	32.1%	0.0%	5.8%	-3.0%	13.4K	-256.9K	-1.2K	100.30	N/A	N/A	0	428	44
2011-01-19	$15.63	$15.00	33.9%	9.7%	18.5%	30.2%	0.0%	11.6%	-2.9%	12.9K	-238.8K	-1.2K	103.70	N/A	N/A	0	428	44
2011-01-20	$15.55	$15.00	34.8%	10.0%	17.6%	31.8%	0.0%	12.1%	-3.1%	12.7K	-231.3K	-1.2K	105.32	N/A	N/A	0	428	44
2011-01-21	$15.32	$15.00	33.5%	9.6%	17.6%	29.5%	0.0%	9.2%	-3.2%	12.3K	-216.7K	-1.1K	96.58	N/A	N/A	0	428	44
2011-01-24	$15.45	$15.00	35.0%	10.0%	17.6%	32.2%	0.0%	24.7%	-3.4%	12.6K	-211.0K	-1.0K	105.65	N/A	N/A	8	428	40
2011-01-25	$15.39	$15.00	34.8%	10.0%	17.5%	31.9%	0.0%	8.6%	-3.0%	12.2K	-208.3K	-1.0K	108.55	N/A	N/A	14	428	40
2011-01-26	$15.88	$15.00	34.5%	9.9%	21.3%	31.4%	0.0%	15.7%	-1.5%	14.0K	-263.2K	-1.2K	121.52	N/A	N/A	0	438	40
2011-01-27	$16.02	$15.00	31.4%	9.0%	21.6%	25.8%	0.0%	5.0%	4.3%	14.5K	-282.7K	-1.2K	109.75	N/A	N/A	4	438	40
2011-01-28	$15.55	$15.00	36.0%	10.3%	23.8%	34.1%	0.0%	10.8%	-4.0%	13.3K	-227.3K	-1.1K	104.55	N/A	N/A	0	442	40
2011-01-31	$15.93	$15.00	39.7%	11.4%	24.7%	40.8%	0.0%	16.4%	-8.3%	14.5K	-264.4K	-1.1K	110.78	N/A	N/A	0	442	40