WWW Options History — May 2012

In May 2012, WWW traded between $20.05 and $22.03. ATM implied volatility averaged 43.6%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 2.3% (HV 20d: 45.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 3.55.

Notable Days

  • 2012-05-18: Highest Volume — 400 contracts
  • 2012-05-02: Largest IV spike — 51.4% change
  • 2012-05-23: Highest IV Rank — 46.9%
  • 2012-05-23: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.11$20.05$22.03$20.05$21.25
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV43.6%29.3%58.5%32.8%33.5%
Expected Move12.4%8.4%16.8%9.4%9.6%
HV 20d45.9%23.0%50.9%38.0%23.0%
HV 60d34.6%29.7%35.6%29.7%34.2%
IV Rank28.9%8.7%46.9%17.9%14.2%
IV Percentile47.3%12.3%80.2%21.8%16.3%
Term Structure-5.5%-19.0%7.9%1.7%2.9%
VWIV40.5%26.3%50.5%26.3%36.2%
Skew 25d13.2%-25.0%38.0%-25.0%4.6%
Skew 10d20.6%-32.7%77.7%-32.7%3.4%
Call IV 25d45.0%34.7%73.0%73.0%36.6%
Put IV 25d58.2%41.2%86.9%48.0%41.2%
Bid-Ask Spread %112.9492.48123.13111.9395.10
Gamma HHI0.740.420.970.860.44
Net GEX322.7K45.2K995.8K568.1K52.3K
Net DEX-9.8M-16.3M-1.5M-11.8M-1.8M
Net VEX-9.1K-15.1K-5.9K-15.1K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.550.0033.330.230.13
Total Volume80.4550400108170
Total OI6,648.8182,1089,4168,8962,178

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$20.05$17.5032.8%9.4%38.0%17.9%26.3%-25.0%1.7%568.1K-11.8M-15.1K0.23111.93N/AN/A88208,380516
2012-05-02$21.86$17.5049.6%14.2%48.1%38.8%32.8%-1.6%-13.5%360.6K-15.2M-12.1K0.09107.64N/AN/A150148,422536
2012-05-03$22.03$17.5036.8%10.5%47.8%22.9%36.8%1.0%7.9%255.0K-16.3M-10.2K0.22111.58N/AN/A90208,374550
2012-05-04$21.62$17.5045.8%11.9%48.4%34.1%0.0%15.9%-10.7%292.2K-15.0M-13.2K33.33116.67N/AN/A62008,464570
2012-05-07$21.68$17.5044.8%11.9%48.3%32.9%0.0%6.9%-9.5%367.9K-15.2M-11.4K0.00123.13N/AN/A3208,464770
2012-05-08$21.32$17.5055.0%12.6%47.9%45.4%0.0%7.4%-15.0%465.2K-14.5M-11.8K0.00119.84N/AN/A0228,492770
2012-05-09$21.16$17.5036.2%12.6%48.0%22.2%48.9%12.5%2.2%455.4K-14.1M-11.8K0.00121.59N/AN/A2008,492792
2012-05-10$21.39$17.5046.4%13.3%47.7%34.8%47.9%28.3%-15.4%494.1K-15.1M-10.3K2.20120.17N/AN/A20448,510792
2012-05-11$21.57$17.5034.1%9.8%47.5%14.9%45.1%13.9%-4.4%344.2K-15.3M-9.8K0.00117.82N/AN/A0408,530816
2012-05-14$21.34$17.5029.3%8.4%47.9%8.7%34.6%20.1%-1.0%402.6K-14.7M-9.6K2.50116.56N/AN/A20508,530816
2012-05-15$21.37$17.5036.5%10.5%47.8%18.1%39.2%15.9%-3.0%381.5K-15.1M-8.6K0.00116.65N/AN/A3008,516866
2012-05-16$21.16$17.5054.1%15.5%48.1%41.1%0.0%24.1%-19.0%449.4K-14.7M-8.3K0.00118.22N/AN/A2008,516866
2012-05-17$20.32$17.5052.1%14.9%50.9%38.5%0.0%8.0%-10.9%995.8K-11.9M-9.6K3.33112.51N/AN/A6208,536866
2012-05-18$20.48$17.5048.6%13.9%50.6%34.0%38.0%25.3%-3.2%857.0K-12.5M-8.7K0.00115.19N/AN/A40008,530886
2012-05-21$20.64$17.5052.4%15.0%48.7%38.8%0.0%32.1%-2.7%45.2K-1.8M-6.5K0.00122.11N/AN/A001,612496
2012-05-22$20.66$17.5049.5%14.2%48.6%35.1%41.2%20.3%-12.7%47.2K-1.6M-6.5K0.20118.30N/AN/A2041,612496
2012-05-23$20.65$17.5058.5%16.8%47.5%46.9%48.6%38.0%-18.3%49.6K-1.6M-6.3K0.00119.78N/AN/A2001,612496
2012-05-24$20.47$17.5042.8%12.3%47.3%26.3%50.5%4.1%0.6%50.9K-1.5M-6.1K0.00101.60N/AN/A2001,612496
2012-05-25$20.96$17.5045.5%13.0%47.5%29.9%0.0%9.5%-1.1%54.9K-1.8M-6.2K25.0092.48N/AN/A2501,628496
2012-05-29$21.32$17.5036.6%10.5%42.1%18.2%40.7%21.0%-1.3%55.2K-1.8M-6.0K0.00105.82N/AN/A2001,630546
2012-05-30$21.09$17.5038.8%11.1%38.8%21.1%36.2%7.9%6.2%56.2K-1.7M-6.1K0.29100.08N/AN/A118341,650546
2012-05-31$21.25$17.5033.5%9.6%23.0%14.2%0.0%4.6%2.9%52.3K-1.8M-5.9K0.1395.10N/AN/A150201,612566