WWW Options History — November 2011

In November 2011, WWW traded between $16.70 and $18.73. ATM implied volatility averaged 54.7%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 14.3% (HV 20d: 40.5%). 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 7 of 21 days. Put/call ratio averaged 3.42.

Notable Days

2011-11-29: Highest Volume — 262 contracts
2011-11-08: Largest IV spike — 37.4% change
2011-11-08: Highest IV Rank — 89.0%
2011-11-21: Largest Expected Move — 18.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.91	$16.70	$18.73	$18.11	$18.42
Max Pain	$17.86	$17.50	$20.00	$20.00	$17.50
ATM IV	54.7%	37.0%	91.8%	59.8%	37.0%
Expected Move	14.7%	10.6%	18.3%	17.1%	10.6%
HV 20d	40.5%	34.5%	43.9%	43.6%	41.2%
HV 60d	46.1%	42.9%	51.3%	51.3%	44.7%
IV Rank	44.1%	22.6%	89.0%	50.2%	22.6%
IV Percentile	88.8%	63.1%	99.6%	98.0%	63.1%
Term Structure	-5.0%	-23.1%	19.4%	-21.7%	1.3%
VWIV	45.8%	26.3%	59.8%	26.3%	36.4%
Skew 25d	10.8%	-24.9%	47.1%	-9.2%	-1.5%
Skew 10d	16.3%	-26.5%	65.2%	11.7%	-14.3%
Call IV 25d	56.1%	31.0%	90.4%	90.4%	39.3%
Put IV 25d	66.9%	37.8%	106.8%	81.3%	37.8%
Bid-Ask Spread %	122.31	105.08	131.77	128.71	110.46
Gamma HHI	0.65	0.32	0.83	0.71	0.50
Net GEX	23.6K	5.0K	43.7K	34.5K	29.9K
Net DEX	-230.2K	-640.3K	82.3K	-316.8K	-640.3K
Net VEX	-1.8K	-2.9K	-997	-2.9K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.42	0.00	12.50	6.67	0.00
Total Volume	48.667	0	262	0	260
Total OI	1,403.333	708	1,718	1,702	1,006

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-11-01	$18.11	$20.00	59.8%	17.1%	43.6%	50.2%	0.0%	-9.2%	-21.7%	34.5K	-316.8K	-2.9K	0.00	128.71	N/A	N/A	0	0	1,274	428
2011-11-02	$18.16	$20.00	57.4%	16.5%	43.5%	47.3%	0.0%	12.1%	-23.1%	35.0K	-261.9K	-2.7K	0.00	131.37	N/A	N/A	0	0	1,274	428
2011-11-03	$18.55	$20.00	45.2%	13.0%	41.0%	32.6%	0.0%	-0.7%	-6.1%	42.0K	-396.6K	-2.8K	0.00	131.30	N/A	N/A	0	0	1,274	428
2011-11-04	$18.59	$17.50	52.4%	15.2%	39.2%	41.2%	0.0%	-24.9%	-1.2%	43.7K	-332.0K	-2.7K	0.00	127.53	N/A	N/A	0	0	1,274	428
2011-11-07	$18.41	$17.50	66.8%	15.5%	37.1%	58.8%	0.0%	25.6%	-4.7%	33.0K	-166.6K	-2.0K	0.00	126.68	N/A	N/A	0	0	1,274	428
2011-11-08	$18.73	$17.50	91.8%	15.7%	37.2%	89.0%	26.3%	35.5%	-3.3%	37.2K	-612.0K	-2.4K	0.00	125.10	N/A	N/A	0	20	1,274	428
2011-11-09	$17.77	$17.50	70.7%	14.2%	41.4%	63.4%	0.0%	24.4%	-19.5%	27.0K	-55.1K	-2.0K	0.00	125.39	N/A	N/A	0	0	1,274	444
2011-11-10	$17.82	$17.50	53.9%	15.4%	41.5%	43.1%	0.0%	5.4%	-13.2%	25.2K	-279.2K	-2.3K	0.00	129.22	N/A	N/A	0	0	1,274	444
2011-11-11	$18.55	$17.50	55.5%	15.9%	43.9%	45.0%	0.0%	45.3%	-8.5%	37.2K	-458.9K	-2.1K	0.00	124.93	N/A	N/A	0	0	1,274	444
2011-11-14	$18.43	$17.50	61.7%	17.7%	41.6%	52.5%	0.0%	2.8%	-8.9%	30.2K	-155.7K	-1.9K	0.00	129.72	N/A	N/A	0	0	1,274	444
2011-11-15	$18.52	$17.50	60.1%	17.2%	41.6%	50.6%	0.0%	31.9%	-3.3%	39.0K	-481.5K	-2.2K	0.00	128.34	N/A	N/A	0	0	1,274	444
2011-11-16	$18.00	$17.50	46.6%	13.4%	41.3%	34.3%	0.0%	34.8%	5.4%	23.5K	-22.3K	-1.3K	0.00	127.76	N/A	N/A	0	0	1,274	444
2011-11-17	$17.68	$17.50	58.7%	16.8%	41.8%	49.0%	58.7%	42.9%	-15.6%	10.8K	82.3K	-1.4K	6.67	129.51	N/A	N/A	18	120	1,274	444
2011-11-18	$17.64	$17.50	59.8%	17.1%	41.6%	50.2%	59.8%	47.1%	-16.0%	9.0K	32.9K	-1.4K	12.50	131.77	N/A	N/A	4	50	1,266	410
2011-11-21	$17.23	$17.50	64.0%	18.3%	40.6%	55.3%	58.1%	17.6%	-14.3%	5.8K	-134.8K	-1.1K	6.00	127.48	N/A	N/A	20	120	564	234
2011-11-22	$17.09	$17.50	41.2%	11.8%	39.5%	27.8%	45.1%	-20.3%	7.8%	7.3K	-125.4K	-1.0K	2.13	105.08	N/A	N/A	30	64	580	128
2011-11-23	$16.80	$17.50	41.8%	12.0%	39.9%	28.4%	42.5%	-16.0%	10.7%	5.0K	-70.6K	-1.0K	0.05	105.66	N/A	N/A	40	2	572	168
2011-11-25	$16.70	$17.50	43.7%	12.5%	34.5%	30.7%	0.0%	-12.1%	7.7%	5.9K	-92.7K	-1.0K	0.00	106.90	N/A	N/A	0	0	600	168
2011-11-28	$17.53	$17.50	41.9%	12.0%	39.1%	28.6%	0.0%	-17.3%	2.3%	7.2K	-170.8K	-997	0.00	106.81	N/A	N/A	12	0	600	168
2011-11-29	$17.43	$17.50	39.5%	11.3%	39.1%	25.7%	39.5%	4.2%	19.4%	6.7K	-175.9K	-1.0K	0.05	108.78	N/A	N/A	250	12	600	168
2011-11-30	$18.42	$17.50	37.0%	10.6%	41.2%	22.6%	36.4%	-1.5%	1.3%	29.9K	-640.3K	-1.3K	0.00	110.46	N/A	N/A	260	0	842	164