WWW Options History — June 2012

In June 2012, WWW traded between $18.71 and $20.77. ATM implied volatility averaged 36.6%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 9.1% (HV 20d: 27.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2012-06-21: Highest Volume — 220 contracts
  • 2012-06-18: Largest IV spike — 35.5% change
  • 2012-06-11: Highest IV Rank — 36.2%
  • 2012-06-18: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.57$18.71$20.77$20.50$19.39
Max Pain$19.88$17.50$20.00$17.50$20.00
ATM IV36.6%29.5%50.8%41.2%29.5%
Expected Move11.0%8.5%13.6%11.8%8.5%
HV 20d27.4%25.2%30.8%25.8%25.3%
HV 60d35.4%34.5%36.5%35.1%35.1%
IV Rank17.4%8.1%36.2%23.5%8.1%
IV Percentile24.5%7.1%64.3%40.1%7.1%
Term Structure-1.4%-10.2%7.0%4.6%3.3%
VWIV35.4%22.6%47.2%22.6%29.6%
Skew 25d9.3%6.6%18.3%13.2%7.9%
Skew 10d15.1%8.0%26.4%14.3%15.1%
Call IV 25d33.8%27.1%41.1%27.8%27.1%
Put IV 25d43.1%35.0%52.3%40.9%35.0%
Bid-Ask Spread %62.4911.98110.85110.8514.51
Gamma HHI0.560.480.700.490.55
Net GEX41.3K22.7K55.6K50.5K46.9K
Net DEX-927.6K-1.7M-374.6K-1.7M-627.6K
Net VEX-5.7K-6.4K-5.0K-6.4K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.002.502.500.00
Total Volume39.90502202852
Total OI2,090.0951,5222,4462,3381,948

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$20.50$17.5041.2%11.8%25.8%23.5%22.6%13.2%4.6%50.5K-1.7M-6.4K2.50110.85N/AN/A8201,752586
2012-06-04$20.47$20.0044.4%12.8%25.2%27.7%0.0%12.5%-6.3%47.1K-1.5M-6.4K0.00101.21N/AN/A001,752606
2012-06-05$20.77$20.0031.1%12.7%25.9%10.2%0.0%7.5%-5.5%50.6K-1.6M-6.1K2.0051.41N/AN/A10201,752606
2012-06-06$20.70$20.0037.6%11.9%25.3%18.8%0.0%6.6%-3.4%49.3K-1.6M-6.2K0.0047.98N/AN/A001,762598
2012-06-07$20.37$20.0033.3%12.6%25.7%13.0%0.0%10.2%-6.6%48.4K-1.5M-6.1K0.50104.99N/AN/A841,762598
2012-06-08$20.36$20.0043.2%12.9%25.3%26.2%0.0%8.0%-4.2%49.0K-1.5M-6.1K0.00106.10N/AN/A001,768598
2012-06-11$19.99$20.0050.8%12.9%25.6%36.2%0.0%18.3%-7.4%52.2K-1.4M-5.7K0.00105.77N/AN/A3601,768598
2012-06-12$20.09$20.0033.2%12.9%25.6%12.9%0.0%6.9%-5.3%55.6K-1.4M-5.7K0.00107.30N/AN/A9401,774598
2012-06-13$19.11$20.0033.4%10.5%30.4%13.1%0.0%9.6%-10.2%43.3K-1.0M-5.4K0.00110.67N/AN/A0241,800558
2012-06-14$18.73$20.0044.8%12.8%30.8%28.3%47.2%11.2%-3.4%32.2K-721.3K-5.0K0.0038.24N/AN/A0721,800574
2012-06-15$18.99$20.0035.0%10.0%28.7%15.4%37.3%9.3%-0.3%31.7K-763.0K-5.2K0.00104.10N/AN/A201,800646
2012-06-18$18.71$20.0047.5%13.6%28.7%31.8%0.0%9.3%-2.6%22.7K-374.6K-5.0K0.0097.50N/AN/A001,098424
2012-06-19$19.05$20.0034.8%10.0%29.5%15.0%36.0%7.7%7.0%25.0K-427.5K-5.0K0.1694.48N/AN/A5081,098424
2012-06-20$19.23$20.0033.8%9.7%29.8%13.7%34.0%10.2%1.4%32.7K-489.6K-5.1K0.9041.40N/AN/A80721,148430
2012-06-21$19.17$20.0032.9%9.4%29.8%12.6%33.1%8.2%1.4%35.5K-471.1K-5.4K0.5911.98N/AN/A138821,208484
2012-06-22$18.98$20.0032.9%9.4%29.8%12.6%38.8%7.2%1.4%36.1K-403.0K-5.7K0.1112.75N/AN/A1821,328564
2012-06-25$19.07$20.0032.6%9.3%28.2%12.1%39.7%8.0%1.2%38.5K-464.0K-5.8K0.0012.40N/AN/A021,346564
2012-06-26$19.08$20.0032.3%9.2%27.1%11.7%0.0%6.9%2.3%38.7K-458.4K-5.7K0.0013.34N/AN/A001,346566
2012-06-27$19.14$20.0032.1%9.2%27.2%11.4%0.0%7.9%0.8%40.5K-486.4K-5.7K0.0012.22N/AN/A3601,346566
2012-06-28$19.07$20.0031.4%9.0%26.8%10.5%0.0%8.2%2.6%41.6K-491.4K-5.8K0.0013.12N/AN/A001,382566
2012-06-29$19.39$20.0029.5%8.5%25.3%8.1%29.6%7.9%3.3%46.9K-627.6K-6.0K0.0014.51N/AN/A5201,382566