WWW Options History — September 2011

In September 2011, WWW traded between $16.63 and $19.39. ATM implied volatility averaged 45.7%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 6.0% (HV 20d: 51.7%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.57.

Notable Days

  • 2011-09-29: Highest Volume — 270 contracts
  • 2011-09-20: Largest IV spike — 23.7% change
  • 2011-09-30: Highest IV Rank — 42.6%
  • 2011-09-30: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.93$16.63$19.39$17.82$16.63
Max Pain$17.38$15.00$20.00$15.00$17.50
ATM IV45.7%35.1%53.5%37.9%53.5%
Expected Move13.1%10.1%15.3%10.9%15.3%
HV 20d51.7%42.9%66.4%64.9%48.9%
HV 60d48.4%46.7%51.6%46.9%51.6%
IV Rank33.2%20.4%42.6%23.8%42.6%
IV Percentile93.5%79.8%97.6%87.3%97.6%
Term Structure-3.6%-5.8%1.8%1.8%-4.3%
VWIV49.8%35.9%64.6%41.2%58.4%
Skew 25d15.2%7.1%21.1%18.2%18.9%
Skew 10d33.2%8.1%41.4%30.6%38.5%
Call IV 25d39.1%27.3%51.9%27.3%51.9%
Put IV 25d54.3%43.7%70.8%45.5%70.8%
Bid-Ask Spread %62.4152.9794.4794.4759.37
Gamma HHI0.430.330.710.550.44
Net GEX9.9K3.7K22.2K15.3K6.6K
Net DEX-209.9K-431.8K-48.6K-213.4K-48.6K
Net VEX-1.9K-2.2K-1.6K-1.8K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.570.0045.500.000.51
Total Volume48.38102700160
Total OI908.7627341,1029221,102

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$17.82$15.0037.9%10.9%64.9%23.8%0.0%18.2%1.8%15.3K-213.4K-1.8K0.0094.47N/AN/A00758164
2011-09-02$17.13$15.0038.6%11.1%66.4%24.6%41.2%7.1%1.7%11.2K-130.1K-1.6K0.0088.61N/AN/A400758164
2011-09-06$17.07$20.0043.9%12.1%60.5%31.0%0.0%12.5%-4.1%10.6K-107.3K-1.6K0.0064.58N/AN/A00758164
2011-09-07$17.81$20.0042.2%11.8%59.3%28.9%0.0%13.0%-3.8%13.7K-182.6K-1.7K0.0066.95N/AN/A40758164
2011-09-08$17.89$20.0041.7%12.5%56.2%28.4%35.9%13.2%-4.0%13.7K-210.8K-1.8K0.0059.19N/AN/A60762164
2011-09-09$17.23$20.0043.4%13.0%54.5%30.4%54.9%12.9%-4.9%11.0K-138.6K-1.6K1.1265.58N/AN/A3438764164
2011-09-12$17.56$15.0047.2%13.6%54.8%35.0%0.0%15.2%-5.8%11.7K-212.2K-1.8K0.0054.76N/AN/A60798198
2011-09-13$17.95$15.0041.5%13.0%55.1%28.2%0.0%14.4%-4.7%12.7K-261.0K-1.9K0.0063.77N/AN/A00802198
2011-09-14$18.58$15.0050.3%13.1%55.5%38.8%47.2%13.3%-4.9%13.3K-346.8K-1.9K1.4856.62N/AN/A5074802198
2011-09-15$18.71$17.5044.9%12.9%55.2%32.2%0.0%14.1%-4.4%22.2K-373.6K-2.2K0.0062.16N/AN/A00820272
2011-09-16$19.25$17.5035.1%10.1%46.6%20.4%45.3%15.7%1.0%9.7K-431.8K-2.1K0.0060.52N/AN/A440820272
2011-09-19$19.39$17.5038.1%10.9%43.7%24.0%0.0%17.8%-1.3%10.5K-391.2K-2.1K0.0058.69N/AN/A200512222
2011-09-20$18.65$17.5047.1%13.5%46.9%34.9%38.2%14.4%-3.5%8.9K-288.4K-2.1K0.4053.48N/AN/A208528222
2011-09-21$17.81$17.5047.9%13.7%46.0%35.9%48.0%15.2%-4.1%6.6K-159.2K-2.0K45.5052.97N/AN/A4182546230
2011-09-22$17.41$17.5051.9%14.9%46.1%40.7%64.5%15.9%-5.2%4.6K-100.0K-2.0K4.2556.82N/AN/A834546254
2011-09-23$17.88$17.5051.8%14.9%46.1%40.6%0.0%16.4%-5.2%5.0K-152.1K-2.1K0.0053.65N/AN/A00550288
2011-09-26$18.32$17.5052.6%15.1%44.8%41.6%0.0%16.4%-5.6%6.3K-215.2K-2.1K0.0057.12N/AN/A80550288
2011-09-27$18.32$17.5049.5%14.2%42.9%37.7%0.0%14.8%-5.2%6.3K-212.5K-2.1K0.0062.40N/AN/A00552288
2011-09-28$17.57$17.5050.1%14.4%45.4%38.5%50.2%18.8%-4.3%3.7K-109.8K-1.9K0.0060.30N/AN/A60552288
2011-09-29$17.59$17.5050.8%14.6%45.3%39.3%64.6%21.1%-3.9%4.2K-123.5K-1.9K0.2458.63N/AN/A21852556288
2011-09-30$16.63$17.5053.5%15.3%48.9%42.6%58.4%18.9%-4.3%6.6K-48.6K-2.1K0.5159.37N/AN/A10654774328