WWW Options History — August 2011

In August 2011, WWW traded between $15.39 and $18.74. ATM implied volatility averaged 42.0%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 11.1% (HV 20d: 53.2%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 2.66.

Notable Days

  • 2011-08-02: Highest Volume — 200 contracts
  • 2011-08-18: Largest IV spike — 40.9% change
  • 2011-08-18: Highest IV Rank — 44.5%
  • 2011-08-18: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.32$15.39$18.74$18.74$18.20
Max Pain$15.87$15.00$20.00$20.00$15.00
ATM IV42.0%33.7%55.1%33.7%38.3%
Expected Move11.9%9.7%15.8%9.7%11.0%
HV 20d53.2%31.2%69.4%31.2%67.9%
HV 60d39.9%28.7%47.0%28.7%46.9%
IV Rank28.8%18.7%44.5%18.7%24.2%
IV Percentile93.1%84.5%98.4%84.5%88.1%
Term Structure-2.5%-12.2%1.5%0.9%1.1%
VWIV40.5%29.2%55.1%29.2%37.9%
Skew 25d13.7%3.3%19.7%3.3%15.0%
Skew 10d24.2%6.2%39.8%24.1%17.5%
Call IV 25d33.4%21.9%46.1%29.6%22.7%
Put IV 25d47.1%33.0%61.3%33.0%37.7%
Bid-Ask Spread %76.6654.63101.7496.79101.74
Gamma HHI0.590.380.760.570.63
Net GEX16.8K-9.0K48.4K42.6K20.5K
Net DEX-128.6K-308.3K63.7K-308.3K-281.5K
Net VEX-1.9K-3.1K-1.2K-3.1K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.660.0032.330.000.04
Total Volume37.3910200720
Total OI1,283.3918121,6221,622922

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$18.74$20.0033.7%9.7%31.2%18.7%29.2%3.3%0.9%42.6K-308.3K-3.1K0.0096.79N/AN/A7201,240382
2011-08-02$18.12$20.0035.0%10.0%32.6%20.3%35.2%12.4%-1.6%20.6K-105.9K-2.7K32.3393.47N/AN/A61941,222382
2011-08-03$18.56$20.0034.5%9.9%34.4%19.6%30.5%4.4%-0.3%48.4K-307.6K-2.6K0.2596.43N/AN/A821,222192
2011-08-04$17.50$20.0038.3%11.0%38.6%24.3%0.0%15.4%-4.3%21.6K-90.1K-2.0K0.0092.32N/AN/A001,214192
2011-08-05$17.66$15.0043.1%11.1%39.1%30.1%47.7%10.4%-1.8%27.9K-160.6K-2.3K0.0062.73N/AN/A081,214192
2011-08-08$16.39$15.0045.9%12.8%45.3%33.4%54.0%12.8%-4.2%14.0K-25.0K-1.8K1.8166.94N/AN/A641161,214198
2011-08-09$17.30$15.0048.4%13.0%46.1%36.4%0.0%13.3%-6.1%16.6K-97.4K-1.9K0.0074.24N/AN/A401,226306
2011-08-10$16.48$15.0048.1%13.0%47.3%36.1%0.0%12.8%-3.7%9.1K-8.2K-1.8K0.0067.83N/AN/A3201,222306
2011-08-11$17.45$15.0044.2%12.7%52.1%31.4%44.1%13.8%-4.7%19.6K-122.5K-2.0K0.0875.05N/AN/A2421,196306
2011-08-12$17.68$15.0041.9%12.0%52.5%28.5%0.0%12.8%-3.1%21.4K-159.8K-2.0K0.0069.46N/AN/A0101,220304
2011-08-15$17.90$15.0040.4%11.6%52.5%26.7%33.5%11.4%-2.0%21.8K-166.2K-1.9K0.0054.63N/AN/A4401,220300
2011-08-16$17.44$15.0040.5%11.6%52.5%26.9%0.0%13.6%-2.5%13.7K-123.8K-1.9K0.0062.10N/AN/A081,244300
2011-08-17$17.20$15.0039.1%11.2%52.5%25.2%33.6%11.4%-1.7%9.8K-77.2K-1.7K2.7561.90N/AN/A8221,244292
2011-08-18$15.92$15.0055.1%15.8%57.7%44.5%0.0%17.3%-12.2%1.2K14.8K-1.3K0.0071.54N/AN/A7001,236268
2011-08-19$15.39$15.0054.8%15.7%58.2%44.2%55.1%18.1%-10.7%-9.0K63.7K-1.2K0.0068.22N/AN/A021,236268
2011-08-22$15.79$15.0053.0%15.2%59.7%42.0%42.3%15.1%-5.5%4.8K13.1K-1.2K0.0069.40N/AN/A540648164
2011-08-23$16.81$15.0038.8%11.1%65.2%24.8%39.1%16.8%0.8%8.3K-67.6K-1.4K0.0069.73N/AN/A420660164
2011-08-24$17.24$15.0039.1%11.2%65.8%25.1%0.0%17.6%0.2%11.6K-138.7K-1.6K0.0068.90N/AN/A00702164
2011-08-25$16.86$15.0040.9%11.7%66.0%27.4%47.0%19.7%-0.4%10.3K-117.1K-1.6K0.0073.00N/AN/A04702164
2011-08-26$17.55$15.0037.8%10.8%68.0%23.6%37.5%19.0%1.5%13.2K-164.3K-1.6K0.0067.01N/AN/A120702166
2011-08-29$18.20$15.0037.7%10.8%69.4%23.5%37.9%14.2%1.5%19.7K-267.9K-1.8K0.0499.21N/AN/A502714166
2011-08-30$18.05$15.0038.3%11.0%68.4%24.3%0.0%14.0%0.5%18.6K-258.9K-1.9K0.00100.57N/AN/A00758164
2011-08-31$18.20$15.0038.3%11.0%67.9%24.2%0.0%15.0%1.1%20.5K-281.5K-1.9K0.00101.74N/AN/A00758164