WWW Options History — October 2011

In October 2011, WWW traded between $17.31 and $19.10. ATM implied volatility averaged 48.0%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 0.7% (HV 20d: 48.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2011-10-03: Highest Volume — 684 contracts
  • 2011-10-14: Largest IV spike — 58.7% change
  • 2011-10-11: Highest IV Rank — 58.7%
  • 2011-10-24: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.41$17.31$19.10$17.31$18.96
Max Pain$19.52$17.50$20.00$17.50$20.00
ATM IV48.0%28.3%66.8%49.1%43.0%
Expected Move13.2%8.1%17.5%14.1%12.3%
HV 20d48.6%41.7%51.8%49.3%41.7%
HV 60d52.8%51.2%54.1%52.4%52.7%
IV Rank35.9%12.1%58.7%37.3%29.9%
IV Percentile87.6%44.8%99.2%94.0%83.3%
Term Structure-1.7%-24.8%21.5%-0.8%18.6%
VWIV41.1%31.4%54.9%49.1%31.4%
Skew 25d20.5%2.8%47.2%12.7%12.4%
Skew 10d20.6%-33.3%67.0%15.3%-33.3%
Call IV 25d37.7%24.9%77.9%45.4%37.1%
Put IV 25d58.2%39.6%88.3%58.1%49.5%
Bid-Ask Spread %114.1869.82130.1075.63128.43
Gamma HHI0.700.570.810.570.75
Net GEX36.9K12.4K56.7K12.4K48.7K
Net DEX-502.8K-1.1M-199.4K-199.4K-552.5K
Net VEX-3.4K-4.5K-2.3K-2.3K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.006.390.240.00
Total Volume108.85706846840
Total OI1,826.9521,2022,0901,2021,702

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$17.31$17.5049.1%14.1%49.3%37.3%49.1%12.7%-0.8%12.4K-199.4K-2.3K0.2475.63N/AN/A550134856346
2011-10-04$17.95$17.5046.6%13.4%50.9%34.3%47.3%14.3%0.6%18.5K-302.5K-3.0K0.1682.31N/AN/A402661,012412
2011-10-05$18.12$17.5044.8%12.8%48.8%32.1%44.7%11.8%1.1%27.9K-429.1K-3.0K6.3990.51N/AN/A362301,120350
2011-10-06$18.95$17.5028.3%8.1%51.2%12.1%32.2%7.3%6.2%31.4K-593.8K-3.7K0.0094.77N/AN/A14801,124560
2011-10-07$18.32$20.0041.1%12.7%50.7%27.6%37.7%10.9%-1.2%23.4K-308.9K-3.4K0.0069.82N/AN/A49801,122560
2011-10-10$19.00$20.0051.2%10.6%51.8%39.8%0.0%8.2%2.1%54.0K-759.7K-4.3K0.00102.85N/AN/A4201,518560
2011-10-11$18.70$20.0066.8%14.4%51.8%58.7%0.0%11.7%11.4%48.2K-800.6K-4.5K0.00124.16N/AN/A001,528560
2011-10-12$18.87$20.0052.1%12.1%50.4%41.0%0.0%13.5%-6.8%51.9K-862.1K-4.3K0.00128.62N/AN/A1001,528560
2011-10-13$18.82$20.0033.6%9.6%50.4%18.6%0.0%2.8%0.7%56.7K-670.6K-4.0K0.00120.94N/AN/A2201,528560
2011-10-14$19.05$20.0053.4%15.3%49.5%42.5%0.0%26.3%-9.3%45.8K-1.1M-4.5K0.00128.89N/AN/A001,530560
2011-10-17$18.30$20.0060.8%17.4%51.3%51.4%0.0%10.3%-0.3%36.5K-879.8K-4.3K0.00127.40N/AN/A001,530560
2011-10-18$18.25$20.0050.3%14.4%49.5%38.8%0.0%24.2%-19.3%33.4K-342.8K-3.0K0.20125.46N/AN/A2041,530560
2011-10-19$17.68$20.0046.0%13.2%47.9%33.5%0.0%26.8%-8.0%29.8K-199.6K-2.9K0.00114.68N/AN/A001,510560
2011-10-20$17.80$20.0059.6%17.1%47.3%50.0%0.0%47.2%-20.6%29.2K-267.4K-3.2K0.00130.09N/AN/A001,510560
2011-10-21$18.00$20.0051.5%14.8%46.5%40.2%54.9%34.6%-12.1%30.6K-402.7K-3.1K0.00130.10N/AN/A6401,510560
2011-10-24$18.54$20.0061.0%17.5%46.9%51.7%37.1%45.6%0.8%36.1K-437.5K-3.1K0.00120.83N/AN/A1201,232428
2011-10-25$18.00$20.0039.9%11.4%48.1%26.1%0.0%27.4%2.4%32.6K-291.5K-2.7K0.00126.45N/AN/A2001,238428
2011-10-26$17.94$20.0052.3%15.0%45.6%41.1%0.0%22.6%-24.8%32.8K-294.1K-3.0K0.00125.05N/AN/A001,258428
2011-10-27$18.86$20.0038.9%11.1%48.8%24.9%35.8%38.2%2.8%45.3K-364.5K-2.5K0.00125.63N/AN/A801,258428
2011-10-28$19.10$20.0037.4%10.7%43.3%23.1%31.4%21.3%21.5%49.8K-536.6K-3.3K0.00125.20N/AN/A2001,254428
2011-10-31$18.96$20.0043.0%12.3%41.7%29.9%0.0%12.4%18.6%48.7K-552.5K-3.2K0.00128.43N/AN/A001,274428