WWW Options History — September 2012

In September 2012, WWW traded between $21.84 and $23.90. ATM implied volatility averaged 29.9%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 4.5% (HV 20d: 25.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 3.52.

Notable Days

2012-09-27: Highest Volume — 828 contracts
2012-09-05: Largest IV spike — 10.2% change
2012-09-19: Highest IV Rank — 8.5%
2012-09-10: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.37	$21.84	$23.90	$23.90	$22.18
Max Pain	$22.11	$20.00	$22.50	$20.00	$22.50
ATM IV	29.9%	26.3%	30.6%	26.3%	28.8%
Expected Move	8.6%	7.5%	9.0%	7.5%	8.3%
HV 20d	25.3%	19.3%	27.2%	20.2%	25.8%
HV 60d	27.1%	26.5%	29.6%	27.3%	26.9%
IV Rank	7.5%	2.7%	8.5%	2.7%	6.1%
IV Percentile	17.9%	2.0%	23.0%	2.0%	15.1%
Term Structure	0.3%	-1.5%	2.8%	1.8%	0.5%
VWIV	30.6%	28.6%	33.6%	28.6%	28.8%
Skew 25d	6.5%	1.3%	10.3%	1.9%	9.0%
Skew 10d	8.5%	1.0%	15.5%	4.4%	15.1%
Call IV 25d	26.1%	21.7%	29.4%	26.4%	23.6%
Put IV 25d	32.6%	24.3%	34.8%	28.3%	32.6%
Bid-Ask Spread %	23.06	10.37	36.87	18.08	15.51
Gamma HHI	0.39	0.26	0.57	0.33	0.38
Net GEX	-36.1K	-114.8K	12.2K	-3.3K	-89.3K
Net DEX	-658.6K	-2.8M	980.5K	-2.8M	585.1K
Net VEX	-7.2K	-8.9K	-5.8K	-6.8K	-5.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.52	0.00	10.00	0.00	10.00
Total Volume	105.474	0	828	12	44
Total OI	4,110.526	2,702	4,738	4,168	2,724

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$23.90	$20.00	26.3%	7.5%	20.2%	2.7%	28.6%	1.9%	1.8%	-3.3K	-2.8M	-6.8K	0.00	18.08	N/A	N/A	0	12	1,836	2,332
2012-09-05	$23.55	$20.00	29.0%	8.3%	19.3%	6.3%	0.0%	1.3%	2.8%	-2.1K	-2.5M	-7.1K	0.00	15.69	N/A	N/A	84	0	1,836	2,336
2012-09-06	$22.30	$20.00	30.3%	8.7%	27.2%	8.0%	31.7%	9.1%	0.5%	6.7K	-1.2M	-8.6K	4.73	10.37	N/A	N/A	102	482	1,916	2,336
2012-09-07	$22.30	$22.50	30.0%	8.8%	26.8%	7.6%	30.7%	6.7%	0.6%	-8.9K	-1.1M	-8.9K	0.20	29.08	N/A	N/A	30	6	1,954	2,662
2012-09-10	$22.16	$22.50	30.5%	9.0%	26.7%	8.2%	33.6%	5.2%	-0.3%	-7.7K	-955.7K	-8.6K	0.00	29.05	N/A	N/A	0	8	1,980	2,666
2012-09-11	$22.28	$22.50	30.4%	8.9%	26.8%	8.1%	31.0%	6.6%	-0.1%	-5.0K	-1.1M	-8.4K	2.00	32.27	N/A	N/A	28	56	1,980	2,670
2012-09-12	$22.27	$22.50	29.6%	8.7%	26.5%	7.1%	30.4%	4.3%	0.7%	-4.3K	-1.1M	-8.3K	0.00	17.40	N/A	N/A	2	0	1,988	2,716
2012-09-13	$22.25	$22.50	30.5%	8.7%	26.3%	8.3%	0.0%	5.0%	0.2%	-2.2K	-1.1M	-8.1K	0.00	21.37	N/A	N/A	0	16	1,990	2,716
2012-09-14	$22.52	$22.50	30.1%	8.6%	26.3%	7.8%	0.0%	5.4%	0.3%	-691	-1.5M	-7.7K	0.00	17.38	N/A	N/A	0	0	1,990	2,732
2012-09-17	$22.44	$22.50	30.3%	8.7%	25.4%	8.0%	0.0%	5.8%	0.4%	12.2K	-1.4M	-7.2K	0.00	21.41	N/A	N/A	0	0	1,990	2,732
2012-09-18	$22.05	$22.50	30.5%	8.7%	25.5%	8.3%	0.0%	9.4%	0.1%	-4.1K	-695.0K	-7.0K	0.00	25.67	N/A	N/A	0	10	1,990	2,732
2012-09-19	$22.00	$22.50	30.6%	8.8%	25.5%	8.5%	30.7%	9.6%	-0.1%	-14.8K	-472.7K	-6.7K	3.20	25.75	N/A	N/A	10	32	1,990	2,724
2012-09-20	$21.87	$22.50	30.4%	8.7%	25.5%	8.1%	0.0%	8.1%	0.1%	-59.2K	-290.4K	-6.5K	0.00	26.19	N/A	N/A	0	0	1,996	2,742
2012-09-21	$21.84	$22.50	30.2%	8.7%	25.2%	7.9%	0.0%	6.8%	0.0%	-64.9K	-273.2K	-6.3K	10.00	27.35	N/A	N/A	4	40	1,996	2,742
2012-09-24	$22.27	$22.50	30.5%	8.8%	25.9%	8.3%	32.1%	10.3%	-1.5%	-110.4K	908.9K	-6.0K	0.36	25.47	N/A	N/A	66	24	542	2,160
2012-09-25	$22.24	$22.50	30.6%	8.8%	25.7%	8.4%	0.0%	8.5%	-0.9%	-109.3K	863.1K	-6.1K	0.26	30.44	N/A	N/A	76	20	596	2,180
2012-09-26	$22.11	$22.50	29.9%	8.6%	25.5%	7.4%	29.9%	8.3%	-0.3%	-114.8K	980.5K	-6.2K	5.00	12.80	N/A	N/A	4	20	614	2,200
2012-09-27	$22.56	$22.50	29.3%	8.4%	25.2%	6.7%	29.3%	2.6%	0.1%	-103.8K	562.6K	-5.9K	6.53	36.87	N/A	N/A	110	718	614	2,200
2012-09-28	$22.18	$22.50	28.8%	8.3%	25.8%	6.1%	28.8%	9.0%	0.5%	-89.3K	585.1K	-5.8K	10.00	15.51	N/A	N/A	4	40	684	2,040