WWW Options History — March 2012

In March 2012, WWW traded between $18.39 and $20.10. ATM implied volatility averaged 53.6%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 29.0% (HV 20d: 24.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.02.

Notable Days

  • 2012-03-26: Highest Volume — 156 contracts
  • 2012-03-15: Largest IV drop — 61.0% change
  • 2012-03-14: Highest IV Rank — 80.0%
  • 2012-03-30: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.30$18.39$20.10$19.23$18.59
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV53.6%31.1%84.4%43.8%71.8%
Expected Move13.9%8.9%20.6%12.5%20.6%
HV 20d24.6%17.3%31.0%19.1%31.0%
HV 60d24.9%23.5%26.8%25.5%24.6%
IV Rank42.8%15.6%80.0%30.8%64.8%
IV Percentile72.8%27.8%98.4%65.9%94.0%
Term Structure-10.8%-34.3%19.0%19.0%-30.4%
VWIV58.1%38.7%77.5%38.7%77.5%
Skew 25d12.4%-1.8%29.0%25.7%5.5%
Skew 10d17.9%-21.6%60.0%2.7%19.8%
Call IV 25d63.3%30.9%97.9%30.9%97.9%
Put IV 25d75.6%32.4%108.4%56.6%103.4%
Bid-Ask Spread %129.01125.52132.52129.82125.52
Gamma HHI0.740.410.920.870.51
Net GEX107.6K15.4K404.0K207.7K20.3K
Net DEX-1.1M-2.4M-593.0K-1.7M-595.7K
Net VEX-3.0K-5.0K-1.5K-5.0K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.150.000.00
Total Volume15.545015600
Total OI1,998.9097183,0122,988960

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$19.23$20.0043.8%12.5%19.1%30.8%0.0%25.7%19.0%207.7K-1.7M-5.0K0.00129.82N/AN/A002,768220
2012-03-02$19.09$20.0045.6%13.1%19.2%33.1%0.0%-1.8%16.7%189.6K-1.6M-4.9K0.00126.13N/AN/A002,768220
2012-03-05$19.33$0.0052.3%12.9%17.3%41.2%0.0%9.6%-19.3%202.9K-1.8M-4.8K0.00129.06N/AN/A402,768220
2012-03-06$18.46$0.0056.3%15.8%23.2%46.0%0.0%10.9%-8.1%85.7K-676.6K-3.0K0.00125.67N/AN/A0142,772220
2012-03-07$18.39$0.0058.1%14.9%22.4%48.2%0.0%8.1%-4.8%72.1K-597.5K-2.9K0.00129.52N/AN/A002,772220
2012-03-08$18.76$0.0049.1%14.9%23.3%37.3%0.0%6.7%-20.7%162.1K-1.2M-4.1K0.00129.07N/AN/A022,772220
2012-03-09$19.22$0.0053.6%13.7%25.2%42.7%0.0%13.6%-13.3%184.5K-1.9M-4.7K0.00126.00N/AN/A0202,772220
2012-03-12$19.25$0.0073.1%13.8%25.0%66.3%0.0%12.5%-18.6%201.1K-1.5M-3.8K0.00130.40N/AN/A002,772240
2012-03-13$19.49$0.0076.4%13.1%25.2%70.4%0.0%14.8%-14.2%173.7K-2.4M-4.0K0.00130.37N/AN/A002,772240
2012-03-14$19.19$0.0084.4%13.9%25.7%80.0%0.0%13.2%-34.2%181.0K-1.9M-3.5K0.00130.78N/AN/A002,772240
2012-03-15$19.63$0.0032.9%9.4%26.7%17.7%0.0%21.9%-9.4%404.0K-1.8M-3.0K0.00127.31N/AN/A602,772240
2012-03-16$19.46$0.0049.3%14.1%25.9%37.6%0.0%12.4%-34.3%98.8K-676.4K-1.8K0.00130.57N/AN/A2202,766240
2012-03-19$19.56$0.0031.1%8.9%25.3%15.6%0.0%29.0%16.9%23.6K-696.4K-1.8K0.00130.11N/AN/A00588130
2012-03-20$19.44$0.0038.5%11.0%24.5%24.4%38.7%21.7%5.7%22.0K-662.0K-2.0K0.00132.52N/AN/A40588130
2012-03-21$19.41$20.0051.7%14.8%24.5%40.5%0.0%15.5%-26.9%21.4K-662.2K-2.0K0.00131.78N/AN/A00592130
2012-03-22$19.73$20.0050.3%14.4%25.2%38.7%0.0%4.3%-10.9%27.6K-765.6K-1.5K0.00128.78N/AN/A020592130
2012-03-23$19.77$20.0039.1%11.2%24.8%25.3%0.0%12.6%4.6%16.9K-770.3K-1.8K0.00129.91N/AN/A00592132
2012-03-26$20.10$20.0039.8%11.4%25.3%26.0%0.0%7.4%0.5%17.7K-758.3K-2.0K0.15129.34N/AN/A13620592132
2012-03-27$19.98$20.0060.6%17.4%25.5%51.2%0.0%6.3%-16.6%15.4K-836.9K-2.8K0.00129.49N/AN/A052714152
2012-03-28$19.68$20.0058.2%16.7%26.2%48.3%0.0%6.3%-12.0%19.5K-759.4K-2.5K0.00130.02N/AN/A00714204
2012-03-29$18.81$20.0063.8%18.3%30.8%55.1%77.5%15.5%-27.1%18.9K-593.0K-2.6K0.00126.06N/AN/A420714204
2012-03-30$18.59$20.0071.8%20.6%31.0%64.8%0.0%5.5%-30.4%20.3K-595.7K-2.5K0.00125.52N/AN/A00756204