WWW Options History — June 2011

In June 2011, WWW traded between $17.93 and $20.88. ATM implied volatility averaged 32.8%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.8% (HV 20d: 29.0%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2011-06-27: Highest Volume — 448 contracts
  • 2011-06-02: Largest IV spike — 21.0% change
  • 2011-06-28: Highest IV Rank — 23.8%
  • 2011-06-28: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.47$17.93$20.88$18.96$20.88
Max Pain$19.32$12.50$20.00$12.50$20.00
ATM IV32.8%22.7%37.2%22.7%37.0%
Expected Move9.5%6.5%10.7%6.5%10.6%
HV 20d29.0%21.1%33.0%21.1%29.0%
HV 60d24.2%21.6%25.7%21.6%25.1%
IV Rank18.6%6.5%23.8%6.5%23.6%
IV Percentile75.6%12.7%91.7%12.7%91.7%
Term Structure-2.5%-5.7%10.4%3.6%-5.7%
VWIV34.4%30.5%39.2%31.9%36.9%
Skew 25d8.1%0.7%14.3%5.5%4.9%
Skew 10d13.8%-2.5%24.8%8.1%1.1%
Call IV 25d28.3%18.0%33.7%26.0%31.3%
Put IV 25d36.4%30.4%39.2%31.6%36.2%
Bid-Ask Spread %86.4472.97102.3683.7791.63
Gamma HHI0.740.490.990.830.79
Net GEX89.9K14.8K287.3K124.2K66.4K
Net DEX-774.7K-1.5M-376.8K-1.1M-1.4M
Net VEX-2.2K-3.1K-1.5K-2.9K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.002.221.630.00
Total Volume53.364044804
Total OI1,393.8184801,8861,7061,214

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$18.96$12.5022.7%6.5%21.1%6.5%0.0%5.5%3.6%124.2K-1.1M-2.9K0.0083.77N/AN/A001,67234
2011-06-02$18.55$12.5027.5%7.9%22.3%12.2%31.9%12.5%10.4%95.2K-821.6K-2.4K0.0092.50N/AN/A041,67234
2011-06-03$18.27$20.0032.0%9.7%22.9%17.6%0.0%5.8%-3.2%79.3K-688.4K-2.2K0.0075.19N/AN/A0661,67238
2011-06-06$18.07$20.0035.5%10.1%22.9%21.8%0.0%6.7%-3.7%59.7K-455.4K-1.7K0.0074.74N/AN/A001,672104
2011-06-07$18.30$20.0034.3%10.0%23.4%20.4%0.0%6.3%-3.4%66.4K-522.3K-1.8K0.0078.23N/AN/A001,672104
2011-06-08$17.93$20.0034.1%10.0%23.7%20.1%0.0%6.9%-3.7%48.3K-384.8K-1.5K0.0072.97N/AN/A001,672104
2011-06-09$18.55$20.0036.0%10.3%27.2%22.4%0.0%7.3%-5.6%77.7K-607.4K-1.9K0.0078.18N/AN/A001,672104
2011-06-10$18.59$20.0036.2%10.4%26.0%22.6%0.0%7.0%-5.2%70.7K-584.0K-1.7K0.0079.75N/AN/A001,672104
2011-06-13$19.54$20.0030.4%8.7%31.5%15.7%30.5%11.0%-2.3%204.7K-1.3M-2.3K1.6392.77N/AN/A32521,672104
2011-06-14$19.79$20.0030.4%8.7%31.4%15.7%0.0%11.4%-3.1%287.3K-1.5M-2.5K0.0092.81N/AN/A001,690156
2011-06-15$19.33$20.0031.1%8.9%32.5%16.6%31.8%10.1%-2.5%135.7K-734.3K-1.8K0.1890.78N/AN/A78141,690156
2011-06-16$19.62$20.0031.5%9.0%32.6%17.0%0.0%10.3%-2.8%256.1K-1.0M-2.2K1.0383.05N/AN/A58601,730156
2011-06-17$19.50$20.0031.5%9.0%32.3%17.0%0.0%10.5%-2.6%175.2K-779.3K-1.9K0.0078.55N/AN/A2601,730156
2011-06-20$19.91$20.0031.9%9.1%33.0%17.5%39.2%13.5%-1.7%15.2K-376.8K-1.8K2.2289.29N/AN/A4610240872
2011-06-21$20.30$20.0033.0%9.5%32.5%18.8%0.0%6.1%-2.3%14.8K-447.2K-2.1K0.0082.83N/AN/A200454172
2011-06-22$20.03$20.0032.6%9.4%32.9%18.4%0.0%14.3%-2.1%15.3K-417.7K-2.1K0.0093.87N/AN/A60474172
2011-06-23$20.17$20.0033.2%9.5%32.9%19.0%33.2%5.5%-2.5%16.0K-438.3K-2.1K0.0088.92N/AN/A640480172
2011-06-24$20.25$20.0033.1%9.5%32.7%18.9%0.0%13.6%-2.7%19.0K-509.0K-2.4K0.00102.36N/AN/A00542172
2011-06-27$20.45$20.0034.9%10.0%32.6%21.1%34.9%6.7%-3.9%19.9K-550.5K-2.3K0.0091.32N/AN/A4480542172
2011-06-28$20.75$20.0037.2%10.7%32.8%23.8%37.1%1.1%-5.1%62.2K-1.2M-3.0K0.0091.91N/AN/A940990172
2011-06-29$20.62$20.0036.4%10.4%30.5%22.9%0.0%0.7%-4.9%68.4K-1.3M-3.1K0.0096.28N/AN/A001,042172
2011-06-30$20.88$20.0037.0%10.6%29.0%23.6%36.9%4.9%-5.7%66.4K-1.4M-3.0K0.0091.63N/AN/A401,042172