WWW Options History — July 2012

In July 2012, WWW traded between $18.91 and $22.70. ATM implied volatility averaged 31.3%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 1.6% (HV 20d: 29.6%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2012-07-11: Highest Volume — 3,828 contracts
  • 2012-07-10: Largest IV drop — 31.7% change
  • 2012-07-09: Highest IV Rank — 32.9%
  • 2012-07-09: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.01$18.91$22.70$18.91$22.21
Max Pain$17.50$15.00$20.00$20.00$17.50
ATM IV31.3%27.4%48.3%30.6%28.3%
Expected Move8.8%7.9%11.0%8.8%8.1%
HV 20d29.6%26.3%35.8%26.5%29.2%
HV 60d35.1%27.9%37.7%35.4%27.9%
IV Rank10.3%5.3%32.9%9.5%5.4%
IV Percentile11.4%2.0%58.3%9.1%4.0%
Term Structure0.6%-3.7%3.1%0.9%1.2%
VWIV31.5%23.0%41.5%38.9%28.3%
Skew 25d3.9%-7.6%11.1%5.9%-1.7%
Skew 10d5.8%-12.0%19.7%19.7%-1.0%
Call IV 25d28.2%23.3%36.1%31.7%24.3%
Put IV 25d32.2%22.6%42.9%37.6%22.6%
Bid-Ask Spread %26.6413.1039.8317.6326.21
Gamma HHI0.540.440.800.540.45
Net GEX80.1K37.0K191.9K40.5K74.2K
Net DEX-3.6M-9.0M-400.7K-400.7K-2.1M
Net VEX-6.6K-10.5K-5.4K-5.4K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.004.504.501.26
Total Volume423.048103,8282686
Total OI4,467.0481,9388,7161,9382,448

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$18.91$20.0030.6%8.8%26.5%9.5%38.9%5.9%0.9%40.5K-400.7K-5.4K0.0017.63N/AN/A0261,372566
2012-07-03$19.14$20.0031.6%9.1%26.3%10.9%37.1%6.6%1.2%42.5K-477.1K-5.5K4.5018.84N/AN/A4181,372592
2012-07-05$19.39$20.0032.4%9.3%27.0%11.9%29.6%-4.9%0.0%46.0K-596.6K-5.6K0.3227.49N/AN/A56181,372610
2012-07-06$19.18$15.0038.0%9.5%26.7%19.2%0.0%11.1%1.1%44.6K-549.3K-5.5K0.0439.81N/AN/A5621,428628
2012-07-09$19.16$15.0048.3%11.0%26.7%32.9%41.5%6.8%-3.7%45.5K-572.6K-5.6K1.4335.91N/AN/A8141,1641,474630
2012-07-10$20.48$17.5033.0%9.5%35.7%12.7%35.7%7.7%-0.4%152.6K-2.2M-6.9K1.7518.94N/AN/A3926862,1841,700
2012-07-11$20.63$15.0033.0%9.5%35.8%12.6%33.0%7.0%-0.7%90.8K-2.1M-7.4K0.7818.09N/AN/A2,1561,6722,2742,144
2012-07-12$20.68$17.5033.0%9.5%30.2%12.6%32.8%6.6%-0.3%178.7K-4.1M-10.5K0.4716.89N/AN/A5502604,1563,574
2012-07-13$21.18$17.5033.8%9.7%29.6%13.7%28.3%5.6%-1.6%191.9K-6.8M-9.8K0.1039.83N/AN/A104104,8863,542
2012-07-16$21.08$17.5033.4%9.6%29.7%13.2%33.4%3.4%-0.4%119.0K-7.9M-6.6K0.2326.79N/AN/A2664,8563,552
2012-07-17$21.33$17.5028.1%8.0%28.8%6.1%32.3%5.9%2.5%79.4K-8.4M-6.2K3.3327.67N/AN/A24804,9303,558
2012-07-18$21.62$17.5027.4%7.9%28.6%5.3%27.2%6.5%3.1%53.4K-8.6M-6.2K0.0039.55N/AN/A3204,9383,638
2012-07-19$22.00$17.5028.2%8.1%28.8%6.3%28.2%8.4%1.7%37.0K-9.0M-6.1K0.2229.33N/AN/A90204,9703,638
2012-07-20$21.52$17.5027.9%8.0%30.5%5.9%28.0%4.7%1.2%67.5K-8.6M-6.4K0.2528.75N/AN/A96245,0583,658
2012-07-23$21.45$17.5028.7%8.2%30.1%7.0%32.8%4.4%0.7%64.4K-1.5M-6.3K4.0014.24N/AN/A281,578680
2012-07-24$21.84$17.5028.6%8.2%30.4%6.8%31.8%7.3%0.7%66.2K-1.8M-6.3K0.0313.10N/AN/A12241,578688
2012-07-25$22.05$17.5028.5%8.2%30.3%6.7%28.5%1.3%1.2%68.4K-2.0M-6.4K0.5026.14N/AN/A60301,646692
2012-07-26$22.39$17.5027.7%7.9%30.4%5.7%32.6%1.8%1.4%73.6K-2.3M-6.4K3.7527.96N/AN/A16601,702688
2012-07-27$22.70$17.5028.3%8.1%30.1%6.4%23.0%-4.3%1.4%71.7K-2.4M-6.2K1.7334.08N/AN/A22381,702694
2012-07-30$22.37$17.5028.0%8.0%31.1%6.0%28.0%-7.6%1.6%73.7K-2.2M-6.0K1.5032.16N/AN/A20301,700712
2012-07-31$22.21$17.5028.3%8.1%29.2%5.4%28.3%-1.7%1.2%74.2K-2.1M-6.3K1.2626.21N/AN/A38481,720728