WWW Options History — August 2012

In August 2012, WWW traded between $21.69 and $23.54. ATM implied volatility averaged 27.6%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.1% (HV 20d: 25.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.57.

Notable Days

  • 2012-08-22: Highest Volume — 1,438 contracts
  • 2012-08-16: Largest IV spike — 9.9% change
  • 2012-08-31: Highest IV Rank — 6.2%
  • 2012-08-06: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.74$21.69$23.54$21.69$23.52
Max Pain$19.67$17.50$20.00$17.50$20.00
ATM IV27.6%25.1%28.9%28.4%28.9%
Expected Move8.1%7.7%8.4%8.1%8.3%
HV 20d25.5%19.5%31.9%31.3%19.5%
HV 60d28.3%27.1%29.5%28.4%27.1%
IV Rank4.4%1.1%6.2%5.4%6.2%
IV Percentile5.3%0.4%14.7%4.4%14.7%
Term Structure1.4%0.2%2.1%1.1%0.4%
VWIV27.7%24.8%29.1%26.9%24.8%
Skew 25d2.4%-5.5%7.4%3.2%3.2%
Skew 10d4.4%-8.7%12.9%7.2%1.5%
Call IV 25d26.6%21.1%30.2%27.5%25.3%
Put IV 25d29.0%22.7%32.2%30.7%28.6%
Bid-Ask Spread %24.339.7840.1322.2114.14
Gamma HHI0.400.280.480.440.34
Net GEX57.9K-3.5K106.8K74.0K-1.7K
Net DEX-2.3M-3.1M-1.1M-1.8M-2.4M
Net VEX-6.8K-9.9K-5.5K-6.6K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.0020.0020.000.00
Total Volume108.26101,4381838
Total OI3,130.5222,5264,1622,5264,162

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$21.69$17.5028.4%8.1%31.3%5.4%0.0%3.2%1.1%74.0K-1.8M-6.6K0.0022.21N/AN/A0181,758768
2012-08-02$21.91$17.5028.3%8.1%31.2%5.3%0.0%5.7%0.9%75.1K-1.9M-6.5K20.0019.94N/AN/A2401,758778
2012-08-03$22.64$17.5026.9%7.7%31.9%3.4%26.9%-5.5%2.1%74.8K-2.4M-6.1K0.2417.86N/AN/A74181,760798
2012-08-06$22.77$20.0027.1%8.4%31.8%3.7%29.1%3.4%1.5%74.2K-2.5M-5.9K1.2040.13N/AN/A20241,780810
2012-08-07$23.32$20.0026.8%8.3%24.1%3.3%26.9%3.3%1.3%71.2K-2.9M-5.7K0.0027.92N/AN/A11001,800810
2012-08-08$23.00$20.0026.9%8.2%25.2%3.5%27.7%4.7%1.7%81.3K-2.8M-6.1K1.3027.99N/AN/A46601,896810
2012-08-09$22.68$20.0026.0%8.1%26.1%2.3%26.3%4.0%2.1%84.9K-2.6M-6.4K0.9128.31N/AN/A22201,906830
2012-08-10$22.46$20.0026.7%8.2%25.5%3.2%28.6%5.3%1.8%88.0K-2.4M-6.4K1.2031.50N/AN/A20241,924850
2012-08-13$22.43$20.0025.1%8.3%25.4%1.1%0.0%2.8%1.6%92.7K-2.4M-6.1K0.0015.61N/AN/A2001,924874
2012-08-14$22.21$20.0026.1%8.1%25.6%2.4%0.0%2.3%1.9%94.4K-2.2M-6.2K0.0031.29N/AN/A2001,944874
2012-08-15$22.43$20.0025.8%8.1%25.4%2.0%28.3%2.9%1.5%98.3K-2.4M-6.1K3.3333.03N/AN/A6201,944874
2012-08-16$22.71$20.0028.4%8.1%25.1%5.5%28.4%4.4%2.0%106.8K-2.7M-5.8K0.0016.39N/AN/A3001,946874
2012-08-17$23.11$20.0028.1%8.0%24.0%5.0%26.9%3.7%2.0%82.8K-3.1M-5.6K0.5919.70N/AN/A102601,976874
2012-08-20$22.73$20.0028.6%8.2%25.0%5.7%28.6%2.6%0.2%84.7K-2.5M-5.6K0.4823.33N/AN/A54261,814818
2012-08-21$22.75$20.0028.5%8.2%24.3%5.6%0.0%2.0%0.4%82.7K-2.5M-5.5K0.0023.06N/AN/A0441,792844
2012-08-22$22.69$20.0028.2%8.1%24.2%5.2%0.0%-4.1%1.5%83.8K-2.4M-5.6K0.0027.00N/AN/A01,4381,792888
2012-08-23$22.41$20.0028.2%8.1%24.1%5.2%28.2%7.4%1.4%-2.6K-1.1M-9.9K0.4430.41N/AN/A50221,7922,314
2012-08-24$22.67$20.0028.2%8.1%24.0%5.2%0.0%4.1%1.4%-2.7K-1.4M-9.6K0.0024.29N/AN/A001,7922,336
2012-08-27$22.85$20.0028.4%8.2%23.5%5.5%28.4%-0.8%1.2%-1.7K-1.6M-8.9K0.0030.03N/AN/A601,7922,336
2012-08-28$23.02$20.0028.1%8.0%23.4%5.0%0.0%-0.2%1.7%-3.5K-1.8M-8.6K0.0032.04N/AN/A601,7922,336
2012-08-29$23.54$20.0028.0%8.0%22.4%4.9%27.8%0.1%1.7%-2.1K-2.3M-7.9K0.009.78N/AN/A801,7962,336
2012-08-30$23.46$20.0028.7%8.2%22.4%5.9%28.5%1.2%1.2%-3.0K-2.3M-7.8K0.1113.60N/AN/A3841,7942,336
2012-08-31$23.52$20.0028.9%8.3%19.5%6.2%24.8%3.2%0.4%-1.7K-2.4M-7.7K0.0014.14N/AN/A3801,8302,332