WWW Options History — February 2012

In February 2012, WWW traded between $18.98 and $20.22. ATM implied volatility averaged 43.6%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 21.6% (HV 20d: 21.9%). 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 11 of 20 days. Put/call ratio averaged 1.57.

Notable Days

  • 2012-02-16: Highest Volume — 90 contracts
  • 2012-02-08: Largest IV spike — 152.7% change
  • 2012-02-08: Highest IV Rank — 70.2%
  • 2012-02-02: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.48$18.98$20.22$19.73$19.07
Max Pain$19.63$17.50$20.00$20.00$20.00
ATM IV43.6%24.3%76.3%71.8%42.2%
Expected Move11.2%6.6%21.5%20.6%12.1%
HV 20d21.9%19.2%24.7%20.5%19.2%
HV 60d30.6%25.5%33.5%33.2%25.5%
IV Rank30.6%7.3%70.2%64.8%29.0%
IV Percentile57.5%13.5%96.8%96.4%62.3%
Term Structure-0.1%-51.2%24.1%-48.6%19.7%
VWIV38.2%24.3%69.3%69.3%25.3%
Skew 25d0.3%-10.9%10.6%5.1%-2.6%
Skew 10d1.5%-27.8%51.7%21.7%-12.8%
Call IV 25d42.4%25.5%102.4%94.8%31.3%
Put IV 25d42.7%28.8%107.7%99.9%28.8%
Bid-Ask Spread %120.79106.72130.24127.03130.24
Gamma HHI0.840.820.860.850.85
Net GEX187.6K164.2K219.5K193.1K194.7K
Net DEX-2.3M-3.1M-1.5M-2.6M-1.7M
Net VEX-6.7K-7.7K-4.3K-7.6K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.0010.004.000.00
Total Volume27090500
Total OI2,8952,7063,0402,7062,988

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$19.73$20.0071.8%20.6%20.5%64.8%0.0%5.1%-48.6%193.1K-2.6M-7.6K4.00127.03N/AN/A10402,66640
2012-02-02$19.72$17.5074.9%21.5%20.5%68.5%69.3%5.3%-51.2%171.6K-2.6M-7.7K0.00127.22N/AN/A602,67480
2012-02-03$20.22$17.5057.4%11.5%21.4%47.3%0.0%8.5%-4.8%164.2K-3.0M-7.6K0.00115.30N/AN/A2002,68080
2012-02-06$20.09$17.5055.7%9.9%20.8%45.3%34.4%-1.3%-4.0%164.5K-3.1M-7.6K10.00106.72N/AN/A2202,70080
2012-02-07$19.68$20.0030.2%8.9%22.9%14.4%33.1%3.6%-7.6%178.1K-2.8M-7.4K0.00109.91N/AN/A6602,698100
2012-02-08$19.91$20.0076.3%6.6%22.5%70.2%0.0%2.3%1.7%216.5K-3.1M-7.4K0.00117.45N/AN/A002,742100
2012-02-09$19.80$20.0030.0%8.6%22.3%14.2%0.0%5.3%-4.7%191.1K-2.9M-7.4K0.00114.85N/AN/A002,742100
2012-02-10$19.58$20.0024.3%7.0%23.0%7.3%24.3%-0.2%5.6%219.5K-2.9M-7.3K0.00122.18N/AN/A022,742100
2012-02-13$19.41$20.0033.7%9.7%22.3%18.7%0.0%-0.7%0.4%200.1K-2.2M-6.5K0.00127.29N/AN/A0202,742102
2012-02-14$19.52$20.0037.4%10.7%22.3%23.2%34.6%-6.5%-5.5%185.4K-2.3M-6.7K0.00123.70N/AN/A0782,742122
2012-02-15$19.32$20.0039.0%11.2%22.6%25.1%0.0%-10.9%-10.9%168.7K-2.3M-6.8K0.00119.45N/AN/A4002,742180
2012-02-16$19.70$20.0027.8%8.0%22.7%11.6%50.2%-9.6%-1.7%216.3K-2.3M-6.7K0.29120.98N/AN/A70202,782180
2012-02-17$19.39$20.0028.4%8.2%23.7%12.3%0.0%-9.5%1.6%200.3K-2.1M-7.0K0.00115.53N/AN/A202,840200
2012-02-21$19.05$20.0040.2%11.5%24.7%26.5%0.0%-6.2%12.4%176.8K-2.0M-6.3K0.00120.94N/AN/A002,794200
2012-02-22$19.12$20.0041.4%11.9%24.7%28.0%38.3%1.4%15.5%182.5K-2.1M-6.4K3.00118.62N/AN/A20602,794200
2012-02-23$19.16$20.0041.5%11.9%20.7%28.1%34.6%-4.2%14.0%178.3K-1.9M-6.4K0.00121.09N/AN/A402,774220
2012-02-24$18.98$20.0036.5%10.5%20.7%22.1%25.3%10.6%24.1%188.9K-1.6M-5.7K0.00125.00N/AN/A6002,778220
2012-02-27$19.07$20.0040.7%11.7%20.7%27.2%0.0%6.8%21.2%174.3K-1.5M-5.1K0.00124.69N/AN/A002,768220
2012-02-28$19.07$20.0041.4%11.9%20.2%28.0%0.0%9.8%20.2%186.6K-1.7M-5.4K0.00127.72N/AN/A002,768220
2012-02-29$19.07$20.0042.2%12.1%19.2%29.0%0.0%-2.6%19.7%194.7K-1.7M-4.3K0.00130.24N/AN/A002,768220