WWW Options History — December 2011

In December 2011, WWW traded between $17.21 and $18.58. ATM implied volatility averaged 44.7%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 5.1% (HV 20d: 39.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2011-12-16: Highest Volume — 372 contracts
  • 2011-12-15: Largest IV spike — 59.3% change
  • 2011-12-28: Highest IV Rank — 57.4%
  • 2011-12-28: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.89$17.21$18.58$17.86$17.82
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV44.7%29.9%65.7%37.5%43.8%
Expected Move14.6%10.4%18.8%10.7%12.6%
HV 20d39.6%30.8%43.2%42.7%30.8%
HV 60d42.3%38.8%44.3%44.3%38.8%
IV Rank32.0%14.0%57.4%23.2%30.9%
IV Percentile73.4%43.7%97.6%64.3%75.8%
Term Structure-10.9%-27.3%8.2%0.8%-9.4%
VWIV55.7%47.0%64.3%47.0%64.3%
Skew 25d17.4%-1.6%46.8%8.6%15.0%
Skew 10d16.6%-14.5%36.0%-14.5%26.7%
Call IV 25d50.5%23.6%75.5%25.8%36.6%
Put IV 25d67.9%34.0%95.4%34.5%51.6%
Bid-Ask Spread %128.66104.58134.89110.03132.16
Gamma HHI0.640.410.980.660.45
Net GEX60.8K12.6K399.3K50.4K25.1K
Net DEX-603.2K-1.1M-332.6K-826.5K-395.6K
Net VEX-1.3K-1.9K-975-1.9K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.001.000.000.00
Total Volume39.619037200
Total OI915.9053981,2661,266580

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$17.86$17.5037.5%10.7%42.7%23.2%0.0%8.6%0.8%50.4K-826.5K-1.9K0.00110.03N/AN/A001,102164
2011-12-02$17.82$17.5036.4%10.4%41.9%22.0%0.0%8.2%8.2%51.8K-789.3K-1.9K0.00104.58N/AN/A001,102164
2011-12-05$18.03$17.5037.9%13.9%42.1%23.8%0.0%9.2%-7.9%52.4K-856.0K-1.6K0.00133.01N/AN/A001,102164
2011-12-06$18.52$17.5036.7%14.0%43.2%22.3%0.0%3.5%-3.6%46.5K-1.1M-1.4K0.00127.49N/AN/A2001,102164
2011-12-07$18.58$17.5034.0%14.3%42.7%19.0%0.0%7.3%3.3%45.7K-1.1M-1.4K0.00130.39N/AN/A001,082164
2011-12-08$17.95$17.5037.3%14.1%40.2%23.0%0.0%7.0%-16.5%55.2K-841.7K-1.5K0.00129.91N/AN/A0201,082164
2011-12-09$18.25$17.5031.3%14.5%40.6%15.7%0.0%5.2%-1.5%49.9K-945.8K-1.3K0.00128.39N/AN/A801,082184
2011-12-12$17.98$17.5029.9%14.5%38.2%14.0%0.0%-1.6%-12.5%81.5K-830.2K-1.2K0.00133.28N/AN/A2001,074184
2011-12-13$17.21$17.5038.4%15.9%41.0%24.3%0.0%14.3%-15.6%73.5K-358.0K-1.1K0.00127.82N/AN/A9001,074180
2011-12-14$17.25$17.5033.3%15.6%41.0%18.2%0.0%18.4%-21.1%83.3K-332.6K-1.1K0.00134.89N/AN/A801,072180
2011-12-15$17.59$17.5053.0%15.2%40.6%42.0%0.0%10.6%-18.1%140.2K-622.3K-1.0K0.00132.58N/AN/A0201,072180
2011-12-16$17.55$17.5048.8%14.0%40.2%36.9%47.0%2.9%0.7%399.3K-687.4K-9750.00123.42N/AN/A37201,072172
2011-12-19$17.43$17.5061.3%17.6%40.2%52.1%64.3%35.6%-27.3%12.6K-341.7K-1.1K0.00128.15N/AN/A804060
2011-12-20$17.86$17.5055.8%16.0%40.2%45.4%0.0%46.8%-16.5%13.4K-368.8K-1.1K1.00133.91N/AN/A20203980
2011-12-21$18.02$17.5042.7%12.2%40.1%29.5%0.0%25.5%-13.6%16.9K-401.5K-1.2K0.00131.46N/AN/A20041820
2011-12-22$17.93$17.5043.4%12.5%39.5%30.4%0.0%25.5%-11.7%16.9K-406.0K-1.2K0.00133.27N/AN/A26041820
2011-12-23$18.14$17.5058.3%16.7%39.5%48.4%0.0%42.4%-12.1%14.0K-371.0K-1.2K0.00133.99N/AN/A0041820
2011-12-27$18.36$17.5065.6%18.8%36.1%57.3%0.0%41.1%-21.2%13.0K-411.5K-1.2K0.00133.61N/AN/A0041820
2011-12-28$17.72$17.5065.7%18.8%38.4%57.4%0.0%19.2%-20.4%14.2K-334.4K-1.1K0.00127.59N/AN/A174041820
2011-12-29$17.80$17.5047.3%13.6%32.7%35.2%0.0%21.3%-12.3%22.0K-415.8K-1.5K0.00132.01N/AN/A6055820
2011-12-30$17.82$17.5043.8%12.6%30.8%30.9%0.0%15.0%-9.4%25.1K-395.6K-1.4K0.00132.16N/AN/A0056020