WWW Options History — May 2011

In May 2011, WWW traded between $18.93 and $19.80. ATM implied volatility averaged 23.6%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.4% (HV 20d: 21.2%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2011-05-03: Highest Volume — 110 contracts
2011-05-12: Largest IV spike — 36.8% change
2011-05-23: Highest IV Rank — 10.8%
2011-05-23: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.29	$18.93	$19.80	$19.45	$19.56
Max Pain	$13.45	$12.50	$17.50	$17.50	$12.50
ATM IV	23.6%	18.3%	26.3%	23.6%	25.7%
Expected Move	7.0%	5.7%	7.5%	6.8%	7.4%
HV 20d	21.2%	17.9%	23.9%	22.8%	18.3%
HV 60d	21.7%	20.7%	22.3%	22.2%	20.7%
IV Rank	7.6%	1.2%	10.8%	7.6%	10.1%
IV Percentile	20.0%	0.4%	35.3%	15.1%	32.1%
Term Structure	1.9%	0.3%	3.6%	0.6%	2.6%
VWIV	22.4%	20.3%	23.8%	20.3%	23.8%
Skew 25d	3.5%	-9.5%	9.3%	-4.1%	-3.0%
Skew 10d	6.1%	-15.2%	15.1%	-6.1%	-4.1%
Call IV 25d	23.6%	19.5%	26.7%	24.1%	25.7%
Put IV 25d	27.1%	17.0%	31.7%	20.1%	22.7%
Bid-Ask Spread %	85.12	67.24	109.62	105.48	108.28
Gamma HHI	0.84	0.79	0.92	0.82	0.92
Net GEX	127.3K	111.4K	162.3K	118.6K	162.3K
Net DEX	-1.4M	-1.8M	-1.1M	-1.6M	-1.5M
Net VEX	-3.8K	-4.3K	-3.1K	-4.3K	-3.3K
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	15.524	0	110	0	50
Total OI	1,703.143	1,650	1,738	1,670	1,676

Daily Data (21 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
2011-05-02	$19.45	$17.50	23.6%	6.8%	22.8%	7.6%	0.0%	-4.1%	0.6%	118.6K	-1.6M	-4.3K	105.48	N/A	N/A	0	0	1,628	42
2011-05-03	$19.27	$17.50	19.9%	5.7%	23.1%	3.1%	0.0%	-5.7%	1.6%	115.3K	-1.4M	-4.1K	109.62	N/A	N/A	110	0	1,628	42
2011-05-04	$19.09	$17.50	20.4%	5.9%	23.4%	3.8%	0.0%	-9.5%	1.1%	111.4K	-1.4M	-4.3K	109.62	N/A	N/A	0	0	1,688	42
2011-05-05	$19.05	$17.50	19.9%	5.7%	23.2%	3.2%	0.0%	-5.8%	3.3%	111.9K	-1.4M	-4.3K	108.96	N/A	N/A	38	0	1,688	42
2011-05-06	$19.13	$12.50	19.6%	6.8%	23.1%	2.8%	0.0%	6.0%	2.3%	119.8K	-1.4M	-4.2K	79.83	N/A	N/A	0	0	1,680	42
2011-05-09	$19.23	$12.50	20.8%	7.1%	23.0%	4.3%	0.0%	5.7%	1.5%	122.8K	-1.4M	-4.2K	80.31	N/A	N/A	0	0	1,680	42
2011-05-10	$19.43	$12.50	21.7%	7.1%	23.1%	5.3%	0.0%	8.0%	1.8%	129.5K	-1.5M	-4.2K	71.57	N/A	N/A	0	10	1,680	42
2011-05-11	$19.42	$12.50	18.3%	7.2%	23.1%	1.2%	0.0%	6.9%	1.5%	127.0K	-1.6M	-4.2K	67.24	N/A	N/A	0	0	1,680	52
2011-05-12	$19.80	$12.50	25.0%	7.2%	22.2%	9.3%	0.0%	9.3%	1.2%	136.9K	-1.8M	-4.3K	78.82	N/A	N/A	0	0	1,680	52
2011-05-13	$19.45	$12.50	25.1%	7.2%	23.3%	9.4%	0.0%	7.6%	1.7%	132.0K	-1.6M	-4.1K	80.33	N/A	N/A	6	0	1,680	52
2011-05-16	$19.18	$12.50	25.1%	7.2%	23.9%	9.4%	0.0%	7.1%	1.8%	121.1K	-1.4M	-3.8K	77.33	N/A	N/A	0	0	1,686	52
2011-05-17	$19.10	$12.50	25.8%	7.4%	23.1%	10.2%	0.0%	4.4%	0.3%	120.8K	-1.3M	-3.7K	71.16	N/A	N/A	6	0	1,686	52
2011-05-18	$19.36	$12.50	25.1%	7.2%	17.9%	9.3%	20.3%	6.7%	1.7%	133.7K	-1.5M	-3.7K	70.61	N/A	N/A	40	0	1,680	52
2011-05-19	$19.61	$12.50	25.3%	7.3%	18.2%	9.7%	0.0%	8.5%	1.3%	144.1K	-1.6M	-3.9K	72.97	N/A	N/A	0	4	1,680	52
2011-05-20	$19.43	$12.50	25.2%	7.2%	18.5%	9.5%	0.0%	7.6%	1.8%	140.6K	-1.5M	-3.7K	81.35	N/A	N/A	0	4	1,680	52
2011-05-23	$19.04	$12.50	26.3%	7.5%	19.8%	10.8%	22.0%	5.0%	2.7%	120.2K	-1.2M	-3.2K	80.71	N/A	N/A	6	0	1,622	34
2011-05-24	$18.96	$12.50	26.0%	7.5%	19.3%	10.5%	0.0%	4.8%	2.6%	113.3K	-1.1M	-3.2K	71.21	N/A	N/A	0	0	1,616	34
2011-05-25	$18.93	$12.50	25.9%	7.4%	18.2%	10.3%	0.0%	4.9%	2.5%	112.7K	-1.1M	-3.1K	82.71	N/A	N/A	0	0	1,616	34
2011-05-26	$19.20	$12.50	25.6%	7.3%	19.1%	10.0%	0.0%	3.1%	3.2%	132.2K	-1.2M	-3.2K	91.65	N/A	N/A	0	0	1,616	34
2011-05-27	$19.44	$12.50	25.4%	7.3%	19.4%	9.7%	23.6%	6.1%	3.6%	146.1K	-1.4M	-3.3K	87.79	N/A	N/A	52	0	1,616	34
2011-05-31	$19.56	$12.50	25.7%	7.4%	18.3%	10.1%	23.8%	-3.0%	2.6%	162.3K	-1.5M	-3.3K	108.28	N/A	N/A	50	0	1,642	34