WWW Options History — April 2011

In April 2011, WWW traded between $18.55 and $20.05. ATM implied volatility averaged 34.3%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 12.7% (HV 20d: 21.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.07.

Notable Days

2011-04-15: Highest Volume — 1,016 contracts
2011-04-12: Largest IV spike — 112.3% change
2011-04-12: Highest IV Rank — 100.0%
2011-04-01: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.16	$18.55	$20.05	$18.80	$19.84
Max Pain	$17.78	$17.50	$20.00	$17.50	$17.50
ATM IV	34.3%	20.7%	100.9%	34.5%	22.8%
Expected Move	7.0%	5.8%	9.9%	9.9%	6.5%
HV 20d	21.6%	18.7%	23.4%	21.7%	21.4%
HV 60d	27.2%	21.8%	28.9%	27.5%	21.9%
IV Rank	26.1%	4.1%	100.0%	31.3%	6.6%
IV Percentile	43.5%	4.0%	100.0%	81.7%	10.3%
Term Structure	1.0%	-3.2%	7.3%	7.3%	1.1%
VWIV	24.0%	21.6%	28.9%	28.9%	22.8%
Skew 25d	4.2%	-3.4%	33.8%	8.0%	0.8%
Skew 10d	7.3%	-4.0%	54.7%	-1.9%	1.8%
Call IV 25d	22.5%	17.6%	28.9%	17.6%	20.1%
Put IV 25d	26.7%	17.1%	52.7%	25.6%	20.8%
Bid-Ask Spread %	105.13	87.25	127.96	127.96	95.36
Gamma HHI	0.64	0.47	0.86	0.52	0.85
Net GEX	55.9K	12.0K	119.5K	12.0K	119.5K
Net DEX	-1.0M	-1.9M	-517.1K	-534.5K	-1.8M
Net VEX	-2.8K	-4.6K	-1.4K	-1.5K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	1.00	0.00	0.00
Total Volume	80.4	0	1,016	12	36
Total OI	1,052	592	1,634	592	1,634

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	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-04-01	$18.80	$17.50	34.5%	9.9%	21.7%	31.3%	0.0%	8.0%	7.3%	12.0K	-534.5K	-1.5K	0.00	127.96	N/A	N/A	12	0	430	162
2011-04-04	$18.88	$0.00	39.9%	6.0%	21.5%	41.1%	0.0%	6.0%	0.2%	13.0K	-529.7K	-1.5K	0.00	109.22	N/A	N/A	0	0	442	162
2011-04-05	$18.92	$0.00	26.2%	6.4%	21.2%	16.2%	0.0%	3.6%	0.6%	13.7K	-556.2K	-1.4K	0.00	110.01	N/A	N/A	20	0	442	162
2011-04-06	$18.77	$0.00	43.0%	5.8%	21.5%	46.9%	0.0%	5.9%	0.8%	13.2K	-563.6K	-1.5K	0.00	105.72	N/A	N/A	14	0	462	162
2011-04-07	$18.68	$0.00	47.6%	8.0%	20.8%	55.2%	0.0%	4.0%	2.5%	12.1K	-524.4K	-1.5K	0.00	114.61	N/A	N/A	0	0	462	162
2011-04-08	$18.55	$0.00	27.1%	8.5%	21.1%	17.9%	0.0%	6.6%	-0.2%	13.7K	-529.3K	-1.5K	0.00	107.64	N/A	N/A	4	0	462	162
2011-04-11	$18.55	$0.00	35.0%	7.9%	20.8%	32.3%	0.0%	8.1%	4.3%	14.4K	-532.2K	-1.5K	1.00	114.19	N/A	N/A	8	8	466	162
2011-04-12	$18.59	$0.00	74.3%	8.5%	20.7%	100.0%	0.0%	6.3%	-0.4%	12.9K	-517.1K	-1.6K	0.00	110.99	N/A	N/A	0	0	474	162
2011-04-13	$19.11	$0.00	100.9%	6.0%	22.5%	100.0%	0.0%	1.1%	1.0%	16.1K	-604.8K	-1.4K	0.00	109.97	N/A	N/A	0	0	474	162
2011-04-14	$19.07	$0.00	20.7%	5.9%	22.1%	4.1%	0.0%	5.6%	0.1%	14.7K	-594.3K	-1.4K	0.00	111.40	N/A	N/A	0	0	474	162
2011-04-15	$19.11	$0.00	26.2%	7.5%	18.7%	10.7%	0.0%	2.6%	-1.6%	19.0K	-635.8K	-1.4K	0.00	87.95	N/A	N/A	1,016	0	474	162
2011-04-18	$18.80	$0.00	28.2%	8.1%	18.9%	13.1%	28.9%	2.8%	-3.2%	78.3K	-1.1M	-4.1K	0.00	92.30	N/A	N/A	80	0	1,440	34
2011-04-19	$19.61	$20.00	23.2%	6.6%	22.8%	7.1%	22.7%	-2.2%	0.7%	103.4K	-1.6M	-4.6K	0.03	87.25	N/A	N/A	258	8	1,520	34
2011-04-20	$19.41	$17.50	21.4%	6.1%	23.4%	5.0%	21.6%	-3.4%	1.6%	104.6K	-1.5M	-4.5K	0.00	93.82	N/A	N/A	36	0	1,526	42
2011-04-21	$19.50	$17.50	22.5%	6.5%	23.3%	6.3%	0.0%	-2.4%	0.8%	109.3K	-1.5M	-4.6K	0.00	109.80	N/A	N/A	0	0	1,562	42
2011-04-25	$19.45	$17.50	23.5%	6.7%	23.4%	7.4%	0.0%	-2.8%	0.3%	109.7K	-1.5M	-4.4K	0.00	111.59	N/A	N/A	20	0	1,562	42
2011-04-26	$19.66	$17.50	23.3%	6.7%	23.0%	7.3%	0.0%	-1.6%	0.3%	112.0K	-1.6M	-4.4K	0.00	98.95	N/A	N/A	18	0	1,542	42
2011-04-27	$19.96	$17.50	22.9%	6.6%	22.1%	6.7%	22.8%	0.8%	1.0%	113.9K	-1.8M	-4.4K	0.00	102.11	N/A	N/A	12	0	1,542	42
2011-04-28	$20.05	$17.50	22.3%	6.4%	20.9%	6.0%	0.0%	33.8%	1.9%	113.3K	-1.9M	-4.3K	0.00	101.73	N/A	N/A	58	0	1,548	42
2011-04-29	$19.84	$17.50	22.8%	6.5%	21.4%	6.6%	0.0%	0.8%	1.1%	119.5K	-1.8M	-4.4K	0.00	95.36	N/A	N/A	36	0	1,592	42