WWW Options History — January 2012

In January 2012, WWW traded between $17.18 and $19.55. ATM implied volatility averaged 66.4%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 38.2% (HV 20d: 28.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.22.

Notable Days

  • 2012-01-30: Highest Volume — 2,050 contracts
  • 2012-01-10: Largest IV spike — 43.6% change
  • 2012-01-10: Highest IV Rank — 95.1%
  • 2012-01-05: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.25$17.18$19.55$17.18$19.55
Max Pain$19.63$17.50$20.00$17.50$20.00
ATM IV66.4%42.5%96.9%77.0%48.0%
Expected Move17.1%12.2%23.3%22.1%13.8%
HV 20d28.2%25.0%33.4%33.4%25.6%
HV 60d36.0%33.3%38.3%38.3%33.4%
IV Rank58.3%29.3%95.1%71.0%36.0%
IV Percentile91.6%65.1%99.6%99.2%74.2%
Term Structure-15.5%-31.7%2.8%-23.0%1.1%
VWIV76.4%76.4%76.4%76.4%76.4%
Skew 25d14.7%-18.5%77.3%6.1%19.8%
Skew 10d14.8%-31.2%43.3%25.1%0.6%
Call IV 25d72.3%38.2%104.9%104.9%62.0%
Put IV 25d87.0%56.9%117.4%111.0%81.8%
Bid-Ask Spread %130.50125.46133.50132.19130.09
Gamma HHI0.470.400.800.400.80
Net GEX30.5K14.9K137.9K15.5K137.9K
Net DEX-799.8K-2.4M-331.8K-445.8K-2.4M
Net VEX-2.6K-7.7K-1.3K-1.5K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.002.000.000.00
Total Volume130.602,050204
Total OI898.35802,7025802,702

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$17.18$17.5077.0%22.1%33.4%71.0%0.0%6.1%-23.0%15.5K-445.8K-1.5K0.00132.19N/AN/A02056020
2012-01-04$17.20$17.5079.2%22.7%33.0%73.7%0.0%75.9%-22.9%16.1K-331.8K-1.3K0.00133.50N/AN/A0056040
2012-01-05$17.46$17.5081.3%23.3%31.9%76.2%0.0%77.3%-31.7%17.2K-333.2K-1.3K0.00129.49N/AN/A0056040
2012-01-06$17.25$20.0084.1%14.6%32.0%79.7%0.0%15.2%-20.2%14.9K-415.9K-1.5K0.00131.15N/AN/A0056040
2012-01-09$17.49$20.0067.5%14.9%30.4%59.5%0.0%14.4%-20.3%25.1K-371.3K-1.4K0.00131.51N/AN/A20056040
2012-01-10$17.84$20.0096.9%14.7%30.7%95.1%0.0%11.9%-17.1%19.6K-439.9K-1.5K0.00129.59N/AN/A0058040
2012-01-11$18.15$20.0093.2%14.8%30.9%90.7%0.0%-4.0%-18.8%20.6K-486.7K-1.5K0.00130.82N/AN/A2058040
2012-01-12$18.20$20.0053.9%15.5%26.1%43.2%0.0%9.2%-8.5%23.1K-445.4K-1.4K0.00125.64N/AN/A414058040
2012-01-13$17.91$20.0053.3%15.3%26.9%42.4%0.0%0.4%-19.4%22.9K-1.1M-3.2K2.00130.99N/AN/A204099440
2012-01-17$17.92$20.0056.5%16.2%26.1%46.3%0.0%-0.3%-14.8%39.4K-827.8K-3.1K0.00132.58N/AN/A0099460
2012-01-18$18.17$20.0057.3%16.4%26.5%47.2%0.0%-18.5%-21.8%39.9K-1.0M-3.1K0.00131.60N/AN/A0099460
2012-01-19$18.52$20.0060.0%17.2%27.0%50.5%0.0%10.9%2.8%37.0K-1.0M-3.0K0.00131.29N/AN/A2099460
2012-01-20$18.55$20.0060.8%17.4%25.8%51.4%0.0%-9.7%-15.3%25.3K-1.1M-3.1K0.00130.13N/AN/A0099260
2012-01-23$18.55$20.0061.6%17.6%25.6%52.4%0.0%3.5%-13.3%23.1K-833.8K-3.0K0.00132.10N/AN/A0082640
2012-01-24$18.52$20.0067.6%19.4%25.5%59.7%0.0%10.1%-10.7%23.3K-814.0K-3.0K0.00133.32N/AN/A0082640
2012-01-25$19.23$20.0059.6%17.1%28.4%50.0%0.0%16.5%-12.4%26.1K-932.6K-2.9K0.00125.46N/AN/A20082640
2012-01-26$19.02$20.0062.8%18.0%28.5%53.9%76.4%1.4%-30.0%24.8K-888.8K-2.9K0.00127.90N/AN/A20080640
2012-01-27$18.98$20.0065.3%18.7%25.0%56.9%0.0%23.8%-11.4%25.0K-906.7K-3.0K0.00131.47N/AN/A0082640
2012-01-30$19.23$20.0042.5%12.2%25.2%29.3%0.0%29.6%-3.2%33.7K-934.7K-2.9K0.00129.23N/AN/A2,050082640
2012-01-31$19.55$20.0048.0%13.8%25.6%36.0%0.0%19.8%1.1%137.9K-2.4M-7.7K0.00130.09N/AN/A402,66240