WWW Options History — March 2011

In March 2011, WWW traded between $17.39 and $18.65. ATM implied volatility averaged 25.3%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.2% (HV 20d: 23.1%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.84.

Notable Days

  • 2011-03-18: Highest Volume — 152 contracts
  • 2011-03-10: Largest IV spike — 39.9% change
  • 2011-03-16: Highest IV Rank — 22.2%
  • 2011-03-16: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.06$17.39$18.65$17.80$18.64
Max Pain$16.79$12.50$17.50$12.50$17.50
ATM IV25.3%20.1%29.4%25.2%26.5%
Expected Move7.5%6.5%8.4%7.2%7.6%
HV 20d23.1%21.3%36.6%36.6%21.6%
HV 60d27.5%26.8%28.5%26.8%27.6%
IV Rank14.6%5.2%22.2%14.4%16.8%
IV Percentile22.1%2.4%53.6%17.1%31.3%
Term Structure3.0%-1.9%8.4%2.2%3.3%
VWIV26.2%19.6%29.4%27.2%19.6%
Skew 25d11.3%-9.8%31.4%5.9%15.6%
Skew 10d22.3%-12.4%69.9%9.0%12.5%
Call IV 25d23.1%16.2%36.9%20.2%17.4%
Put IV 25d34.4%26.1%56.5%26.1%33.0%
Bid-Ask Spread %113.93102.36123.38102.36123.38
Gamma HHI0.750.430.950.920.52
Net GEX18.6K4.9K33.8K23.9K12.1K
Net DEX-559.3K-768.7K-262.4K-601.1K-487.6K
Net VEX-1.3K-1.6K-1.1K-1.1K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.006.600.710.00
Total Volume22.6960152482
Total OI597.739542758554592

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$17.80$12.5025.2%7.2%36.6%14.4%0.0%5.9%2.2%23.9K-601.1K-1.1K0.71102.36N/AN/A282051044
2011-03-02$18.01$12.5022.6%6.5%22.4%9.7%0.0%18.9%7.5%25.1K-652.5K-1.3K0.00113.17N/AN/A0053464
2011-03-03$18.43$12.5024.5%7.0%23.4%13.1%0.0%8.7%3.2%21.9K-736.7K-1.2K0.00116.45N/AN/A0053464
2011-03-04$18.36$0.0023.1%7.5%23.2%10.6%0.0%8.5%2.7%22.4K-723.2K-1.1K0.00107.08N/AN/A0053464
2011-03-07$18.20$0.0024.6%7.8%23.5%13.4%27.2%2.3%1.4%25.3K-704.0K-1.2K0.00107.28N/AN/A2053464
2011-03-08$18.40$17.5022.5%7.9%21.4%9.5%0.0%4.1%1.5%21.0K-753.7K-1.1K0.00105.79N/AN/A6053664
2011-03-09$18.42$17.5020.1%7.8%21.3%5.2%0.0%8.2%1.2%20.0K-768.7K-1.1K0.00105.52N/AN/A0054264
2011-03-10$18.16$17.5028.1%8.1%21.9%19.8%0.0%11.3%0.7%24.7K-719.4K-1.1K0.00110.69N/AN/A0054264
2011-03-11$18.20$17.5026.4%7.6%21.8%16.7%0.0%23.0%2.9%23.7K-735.8K-1.1K0.00113.36N/AN/A60054264
2011-03-14$18.07$17.5028.0%8.0%21.7%19.5%0.0%0.9%1.3%29.0K-750.4K-1.2K0.00112.02N/AN/A0058064
2011-03-15$17.96$17.5027.0%7.7%21.7%17.7%0.0%31.4%2.5%32.2K-726.4K-1.2K0.00117.28N/AN/A0058064
2011-03-16$18.07$17.5029.4%8.4%21.7%22.2%29.4%13.6%-1.9%29.5K-750.6K-1.2K1.00112.75N/AN/A202058064
2011-03-17$17.89$17.5027.9%8.0%21.9%19.3%27.9%7.1%2.4%33.8K-722.1K-1.3K0.91116.66N/AN/A706460084
2011-03-18$17.39$17.5027.1%7.8%22.6%17.9%27.1%26.3%1.7%32.8K-462.4K-1.5K6.60114.34N/AN/A20132610148
2011-03-21$17.79$17.5026.0%7.4%24.4%15.9%26.0%5.4%2.8%5.1K-278.5K-1.6K0.00119.53N/AN/A160380162
2011-03-22$17.59$17.5025.5%7.3%23.9%15.0%0.0%-0.0%2.9%5.6K-262.4K-1.6K0.00118.50N/AN/A00392162
2011-03-23$17.74$17.5025.7%7.4%23.3%15.4%0.0%24.3%2.5%5.8K-273.1K-1.5K0.00115.14N/AN/A00392162
2011-03-24$17.72$17.5024.2%6.9%23.0%12.6%0.0%26.8%4.1%5.1K-278.6K-1.5K0.00119.76N/AN/A00392162
2011-03-25$17.89$17.5024.6%7.0%23.0%13.3%0.0%2.7%4.3%5.6K-329.9K-1.5K0.00117.95N/AN/A00392162
2011-03-28$17.75$17.5025.3%7.2%22.9%14.6%0.0%-9.8%3.3%4.9K-312.4K-1.5K0.00114.70N/AN/A00392162
2011-03-29$18.21$17.5023.6%6.8%21.9%11.6%0.0%8.7%8.4%7.5K-376.3K-1.4K0.00115.36N/AN/A80392162
2011-03-30$18.65$17.5024.1%6.9%23.0%12.5%19.6%16.0%7.6%10.4K-457.4K-1.3K0.00121.37N/AN/A540390162
2011-03-31$18.64$17.5026.5%7.6%21.6%16.8%0.0%15.6%3.3%12.1K-487.6K-1.5K0.00123.38N/AN/A20430162