WWW Options History — April 2012

In April 2012, WWW traded between $18.11 and $20.98. ATM implied volatility averaged 61.7%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 35.6% (HV 20d: 26.1%). 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 0.40.

Notable Days

  • 2012-04-27: Highest Volume — 3,824 contracts
  • 2012-04-04: Largest IV spike — 98.8% change
  • 2012-04-10: Highest IV Rank — 97.7%
  • 2012-04-05: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.74$18.11$20.98$18.68$20.98
Max Pain$18.61$17.50$20.00$20.00$17.50
ATM IV61.7%38.4%99.1%71.8%39.8%
Expected Move15.9%11.0%22.5%20.6%11.4%
HV 20d26.1%23.3%33.4%30.6%33.4%
HV 60d24.5%23.3%28.6%24.4%28.6%
IV Rank53.1%24.4%97.7%64.8%26.6%
IV Percentile76.9%42.5%99.6%94.0%42.5%
Term Structure-13.9%-33.0%26.2%-33.0%-0.4%
VWIV43.7%36.2%53.3%53.3%40.0%
Skew 25d10.5%-12.1%53.9%32.9%-8.7%
Skew 10d22.4%-0.5%75.3%19.7%1.2%
Call IV 25d67.0%39.6%104.7%39.6%49.0%
Put IV 25d77.5%40.3%113.8%72.6%40.3%
Bid-Ask Spread %127.08106.36134.97129.50106.36
Gamma HHI0.540.380.840.490.78
Net GEX57.8K19.5K415.2K20.6K415.2K
Net DEX-1.7M-12.3M-418.8K-572.9K-12.3M
Net VEX-3.4K-12.5K-2.3K-2.5K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.001.000.000.07
Total Volume416.403,8240914
Total OI1,792.29608,1309608,130

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$18.68$20.0071.8%20.6%30.6%64.8%0.0%32.9%-33.0%20.6K-572.9K-2.5K0.00129.50N/AN/A00756204
2012-04-03$18.88$20.0038.4%11.0%26.1%24.4%0.0%53.9%26.2%20.9K-609.6K-2.3K0.00131.12N/AN/A00756204
2012-04-04$18.73$20.0076.4%21.9%26.2%70.3%0.0%8.0%-18.5%21.4K-610.3K-2.4K0.00132.98N/AN/A020756204
2012-04-05$18.59$20.0078.5%22.5%25.3%72.9%0.0%9.1%-17.2%20.9K-575.1K-2.4K0.00134.97N/AN/A00756224
2012-04-09$18.52$0.0089.1%14.8%23.6%85.7%0.0%0.3%-16.9%21.7K-527.8K-2.4K0.00130.01N/AN/A040756224
2012-04-10$18.11$0.0099.1%15.3%24.6%97.7%0.0%2.5%-16.2%19.5K-461.0K-2.5K0.00129.23N/AN/A00756264
2012-04-11$18.50$0.0097.8%15.2%25.5%96.2%0.0%9.2%-21.0%20.3K-506.0K-2.4K0.00130.24N/AN/A014756264
2012-04-12$18.36$0.0054.1%15.5%25.1%43.3%0.0%17.4%-23.9%19.9K-488.9K-2.4K0.00130.30N/AN/A00756278
2012-04-13$18.27$0.0055.4%15.9%23.4%44.9%0.0%0.0%-19.7%20.6K-455.1K-2.4K0.00131.80N/AN/A00756278
2012-04-16$18.28$0.0056.6%16.2%23.3%47.5%0.0%-0.2%-20.4%20.4K-461.8K-2.4K0.00131.61N/AN/A00756278
2012-04-17$18.57$0.0060.3%17.3%24.1%52.1%0.0%10.6%-13.9%19.9K-532.1K-2.3K0.00130.38N/AN/A400756278
2012-04-18$18.50$0.0059.1%16.9%24.1%50.5%0.0%10.7%-22.1%21.3K-528.6K-2.4K0.50132.46N/AN/A4020796278
2012-04-19$18.55$0.0063.0%18.1%24.1%55.3%0.0%8.4%-17.2%22.9K-580.1K-2.5K1.00131.45N/AN/A2020836298
2012-04-20$18.95$0.0053.8%15.4%24.7%44.0%0.0%11.7%-25.5%22.4K-654.3K-2.6K1.00129.17N/AN/A2020856318
2012-04-23$18.33$0.0063.2%18.1%26.9%55.7%53.3%19.6%-19.5%23.5K-457.5K-2.6K0.58121.54N/AN/A3822850338
2012-04-24$18.27$17.5047.2%13.5%25.9%35.8%47.7%-12.1%-20.7%26.6K-418.8K-2.4K0.04119.58N/AN/A2,00076870360
2012-04-25$18.90$17.5044.4%12.7%29.3%32.4%40.9%12.8%-10.2%108.1K-3.4M-5.8K0.83125.95N/AN/A24202,850436
2012-04-26$19.28$17.5041.7%11.9%30.0%29.0%36.2%20.2%-3.9%140.7K-3.9M-4.6K0.02121.93N/AN/A1,134222,850456
2012-04-27$19.68$17.5044.5%12.7%26.0%32.4%44.3%3.4%16.0%148.6K-5.3M-7.0K0.00110.99N/AN/A3,82403,850456
2012-04-30$20.98$17.5039.8%11.4%33.4%26.6%40.0%-8.7%-0.4%415.2K-12.3M-12.5K0.07106.36N/AN/A854607,674456