WWW Options History — July 2011

In July 2011, WWW traded between $18.93 and $21.41. ATM implied volatility averaged 31.7%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.0% (HV 20d: 30.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2011-07-08: Highest Volume — 588 contracts
  • 2011-07-05: Largest IV spike — 48.9% change
  • 2011-07-11: Highest IV Rank — 50.6%
  • 2011-07-05: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.17$18.93$21.41$21.27$18.93
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV31.7%23.4%59.6%28.0%23.4%
Expected Move8.0%6.7%9.1%8.0%6.7%
HV 20d30.7%24.2%33.5%28.2%32.4%
HV 60d27.6%24.7%29.6%25.3%28.7%
IV Rank17.0%6.2%50.6%12.8%6.2%
IV Percentile58.7%15.1%98.8%48.0%15.1%
Term Structure-0.6%-6.8%1.8%-6.8%1.8%
VWIV28.8%23.0%33.8%31.9%28.8%
Skew 25d8.5%3.2%14.1%3.2%4.2%
Skew 10d15.3%-4.3%22.7%6.7%-4.3%
Call IV 25d24.3%19.0%33.8%33.8%27.2%
Put IV 25d32.8%30.1%37.1%37.1%31.4%
Bid-Ask Spread %82.5673.2497.9987.6297.99
Gamma HHI0.690.490.870.770.62
Net GEX78.5K27.5K145.6K61.2K53.1K
Net DEX-976.9K-1.8M-385.4K-1.6M-416.4K
Net VEX-3.3K-4.1K-2.7K-2.8K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.004.810.000.00
Total Volume156.74588420
Total OI1,557.48802,0781,2181,612

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$21.27$20.0028.0%8.0%28.2%12.8%0.0%3.2%-6.8%61.2K-1.6M-2.8K0.0087.62N/AN/A401,046172
2011-07-05$21.21$20.0041.6%9.1%27.6%29.2%31.9%7.2%-1.8%63.6K-1.6M-2.7K0.0280.39N/AN/A12221,046172
2011-07-06$21.29$20.0030.5%7.8%27.6%15.8%27.3%7.6%-1.1%66.0K-1.6M-2.8K0.0077.52N/AN/A8601,086174
2011-07-07$21.41$20.0032.6%7.9%25.7%18.3%0.0%7.7%-1.1%63.9K-1.7M-2.7K1.1377.17N/AN/A62701,102174
2011-07-08$21.34$20.0042.7%8.5%24.2%30.4%29.9%7.0%-2.9%61.8K-1.6M-3.0K0.1476.22N/AN/A518701,160244
2011-07-11$21.30$20.0059.6%9.0%24.3%50.6%31.6%9.0%-3.0%90.6K-1.8M-3.1K0.3383.20N/AN/A4121361,442214
2011-07-12$19.86$20.0038.4%8.4%32.0%25.3%29.4%6.0%-0.1%109.0K-832.2K-2.8K2.1673.24N/AN/A1823941,784256
2011-07-13$20.27$20.0035.4%8.5%32.5%21.7%23.0%6.6%-0.5%137.0K-1.1M-3.3K0.3578.25N/AN/A80281,764312
2011-07-14$19.63$20.0029.2%8.4%33.5%14.2%29.2%11.2%-0.6%134.1K-516.9K-3.1K0.1178.96N/AN/A3641,758316
2011-07-15$19.66$20.0029.2%8.4%33.1%14.3%29.2%11.1%-0.6%145.6K-388.4K-2.9K0.0083.46N/AN/A081,762316
2011-07-18$19.88$20.0028.1%8.1%33.3%13.0%28.1%12.7%0.1%27.5K-424.4K-2.7K0.0083.54N/AN/A5142696184
2011-07-19$20.18$20.0027.8%8.0%32.8%12.6%25.4%14.1%0.0%74.8K-979.3K-3.9K0.0075.77N/AN/A601,162182
2011-07-20$20.00$20.0027.7%7.9%32.3%12.4%31.7%11.1%0.0%73.9K-903.2K-3.8K4.8181.01N/AN/A422021,162182
2011-07-21$20.15$20.0027.1%7.8%32.1%11.7%0.0%11.7%0.2%76.4K-1.0M-4.1K0.0079.23N/AN/A2201,204382
2011-07-22$19.96$20.0025.5%7.3%32.1%9.9%25.2%11.0%1.2%79.6K-926.4K-4.0K2.0088.83N/AN/A10201,212382
2011-07-25$19.64$20.0026.9%7.7%32.5%10.4%26.8%10.1%1.0%73.1K-745.0K-3.8K0.6782.22N/AN/A1281,212402
2011-07-26$19.40$20.0026.8%7.7%32.5%10.3%33.8%7.6%0.7%68.0K-609.6K-3.8K0.1389.91N/AN/A3041,224398
2011-07-27$18.93$20.0026.0%7.5%32.7%9.4%0.0%5.1%1.6%52.6K-385.4K-3.5K0.3389.10N/AN/A621,224398
2011-07-28$19.08$20.0027.2%7.8%33.0%10.8%28.8%5.7%0.4%58.8K-466.5K-3.5K0.0087.48N/AN/A0201,230400
2011-07-29$18.93$20.0023.4%6.7%32.4%6.2%0.0%4.2%1.8%53.1K-416.4K-3.3K0.0097.99N/AN/A2001,230382