WWW Options History — February 2011

In February 2011, WWW traded between $17.23 and $18.64. ATM implied volatility averaged 23.2%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 13.4% (HV 20d: 36.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.00.

Notable Days

2011-02-01: Highest Volume — 80 contracts
2011-02-09: Largest IV spike — 35.9% change
2011-02-09: Highest IV Rank — 22.3%
2011-02-15: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.07	$17.23	$18.64	$17.32	$18.38
Max Pain	$12.89	$12.50	$15.00	$15.00	$12.50
ATM IV	23.2%	18.9%	29.5%	22.8%	23.6%
Expected Move	6.5%	5.4%	7.2%	6.5%	6.8%
HV 20d	36.6%	34.3%	38.6%	38.6%	34.3%
HV 60d	26.5%	25.7%	27.2%	26.8%	25.9%
IV Rank	10.8%	2.9%	22.3%	10.1%	11.6%
IV Percentile	10.5%	0.8%	51.2%	5.6%	11.1%
Term Structure	5.7%	1.0%	12.5%	1.0%	6.3%
VWIV	23.1%	18.4%	27.1%	22.8%	27.1%
Skew 25d	12.1%	-12.6%	49.5%	41.3%	-12.6%
Skew 10d	32.1%	-2.4%	78.4%	52.5%	65.4%
Call IV 25d	24.7%	14.0%	40.4%	36.2%	40.4%
Put IV 25d	36.8%	24.0%	84.0%	77.5%	27.8%
Bid-Ask Spread %	110.80	100.88	117.89	105.36	115.99
Gamma HHI	0.92	0.79	0.97	0.79	0.88
Net GEX	25.9K	18.7K	33.5K	18.7K	21.6K
Net DEX	-695.2K	-856.1K	-451.7K	-451.7K	-694.8K
Net VEX	-1.3K	-1.5K	-1.1K	-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	13.368	0	80	80	0
Total OI	579.263	482	604	482	554

Daily Data (19 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	Put Vol	Call OI	Put OI
2011-02-01	$17.32	$15.00	22.8%	6.5%	38.6%	10.1%	22.8%	41.3%	1.0%	18.7K	-451.7K	-1.3K	105.36	N/A	N/A	80	0	442	40
2011-02-02	$17.23	$15.00	21.4%	6.1%	36.3%	7.5%	21.8%	49.5%	1.8%	24.0K	-490.4K	-1.4K	117.89	N/A	N/A	42	0	510	40
2011-02-03	$17.48	$15.00	23.4%	6.7%	36.2%	11.2%	23.4%	17.7%	1.3%	29.6K	-578.8K	-1.5K	113.10	N/A	N/A	12	0	552	40
2011-02-04	$17.56	$12.50	20.9%	6.9%	36.0%	6.7%	0.0%	8.4%	3.4%	33.5K	-605.0K	-1.5K	103.36	N/A	N/A	0	0	564	40
2011-02-07	$18.09	$12.50	25.4%	5.9%	36.7%	14.8%	18.4%	11.6%	9.2%	32.2K	-723.7K	-1.4K	104.38	N/A	N/A	48	0	564	40
2011-02-08	$18.16	$12.50	21.7%	5.6%	36.7%	8.1%	0.0%	19.5%	11.3%	29.9K	-748.9K	-1.3K	111.21	N/A	N/A	0	0	564	40
2011-02-09	$18.25	$12.50	29.5%	7.2%	36.7%	22.3%	0.0%	2.9%	1.9%	27.1K	-765.7K	-1.3K	109.14	N/A	N/A	0	0	564	40
2011-02-10	$18.11	$12.50	21.3%	6.1%	37.0%	7.3%	0.0%	3.0%	8.8%	29.7K	-746.6K	-1.4K	113.72	N/A	N/A	0	0	564	40
2011-02-11	$18.26	$12.50	20.7%	5.9%	37.0%	6.3%	0.0%	14.2%	9.5%	28.7K	-777.9K	-1.3K	117.80	N/A	N/A	0	0	564	40
2011-02-14	$18.34	$12.50	23.0%	6.6%	36.8%	10.5%	0.0%	5.3%	6.6%	25.8K	-793.8K	-1.2K	110.24	N/A	N/A	0	0	564	40
2011-02-15	$18.21	$12.50	25.2%	7.2%	37.0%	14.5%	0.0%	-3.7%	2.8%	27.4K	-779.4K	-1.2K	116.29	N/A	N/A	0	0	564	40
2011-02-16	$18.27	$12.50	21.0%	6.0%	36.3%	6.9%	0.0%	-0.2%	10.1%	26.2K	-790.0K	-1.2K	112.54	N/A	N/A	0	0	564	40
2011-02-17	$18.64	$12.50	23.4%	6.7%	36.2%	11.2%	0.0%	10.2%	5.7%	21.5K	-856.1K	-1.1K	110.95	N/A	N/A	12	0	564	40
2011-02-18	$18.57	$12.50	18.9%	5.4%	35.4%	2.9%	0.0%	2.1%	12.5%	22.4K	-845.8K	-1.1K	100.88	N/A	N/A	14	0	564	40
2011-02-22	$18.25	$12.50	23.2%	6.6%	36.7%	10.7%	25.1%	2.3%	7.9%	19.6K	-676.6K	-1.1K	105.03	N/A	N/A	20	0	490	40
2011-02-23	$17.90	$12.50	24.7%	7.1%	37.8%	13.5%	0.0%	29.8%	2.3%	24.9K	-596.8K	-1.2K	108.37	N/A	N/A	22	0	510	40
2011-02-24	$18.07	$12.50	25.0%	7.2%	36.8%	14.1%	27.1%	24.1%	3.8%	23.1K	-628.6K	-1.2K	114.41	N/A	N/A	0	4	510	40
2011-02-25	$18.23	$12.50	25.1%	7.2%	36.8%	14.3%	0.0%	5.3%	2.6%	25.5K	-658.9K	-1.1K	114.54	N/A	N/A	0	0	510	44
2011-02-28	$18.38	$12.50	23.6%	6.8%	34.3%	11.6%	0.0%	-12.6%	6.3%	21.6K	-694.8K	-1.1K	115.99	N/A	N/A	0	0	510	44