WWW Options History — October 2012

In October 2012, WWW traded between $20.71 and $22.35. ATM implied volatility averaged 32.1%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 10.7% (HV 20d: 21.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.34.

Notable Days

  • 2012-10-16: Highest Volume — 2,534 contracts
  • 2012-10-23: Largest IV spike — 15.8% change
  • 2012-10-31: Highest IV Rank — 17.3%
  • 2012-10-31: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.58$20.71$22.35$22.04$20.93
Max Pain$22.02$20.00$22.50$22.50$22.50
ATM IV32.1%28.6%37.3%30.0%37.3%
Expected Move9.0%8.3%10.7%8.6%10.7%
HV 20d21.4%16.2%25.7%25.7%22.5%
HV 60d23.9%22.6%26.9%26.9%22.6%
IV Rank10.4%5.7%17.3%7.6%17.3%
IV Percentile29.4%13.9%47.2%18.7%47.2%
Term Structure-1.3%-3.6%0.3%-0.2%-3.6%
VWIV32.4%26.5%37.5%31.3%34.5%
Skew 25d7.2%1.1%13.6%6.9%13.6%
Skew 10d7.8%-2.1%16.4%14.4%4.3%
Call IV 25d26.9%22.2%31.4%26.0%24.3%
Put IV 25d34.2%31.7%37.9%32.9%37.9%
Bid-Ask Spread %29.6710.75113.5713.68113.57
Gamma HHI0.500.370.720.390.64
Net GEX-112.2K-164.3K-84.4K-95.3K-125.9K
Net DEX1.0M254.2K2.0M709.1K866.7K
Net VEX-6.1K-8.2K-4.3K-5.6K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.340.0018.840.2618.84
Total Volume298.1902,534864
Total OI3,290.0952,6904,9202,7683,402

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$22.04$22.5030.0%8.6%25.7%7.6%31.3%6.9%-0.2%-95.3K709.1K-5.6K0.2613.68N/AN/A68186882,080
2012-10-02$21.96$22.5029.6%8.5%24.7%7.1%31.7%7.5%-0.4%-95.3K738.0K-5.7K0.1110.79N/AN/A1827302,080
2012-10-03$21.74$22.5030.0%8.6%24.5%7.7%31.5%5.6%-0.4%-100.5K906.0K-5.6K9.0013.16N/AN/A4367422,082
2012-10-04$22.00$22.5029.4%8.4%16.2%6.9%0.0%7.5%-0.1%-95.9K690.5K-5.4K0.0014.20N/AN/A007462,082
2012-10-05$21.71$22.5028.6%8.3%16.8%5.7%0.0%8.5%0.3%-102.0K935.9K-5.3K0.0036.70N/AN/A2007462,082
2012-10-08$21.55$22.5031.2%8.5%16.8%9.3%26.5%7.0%0.0%-104.6K1.1M-5.0K0.0036.54N/AN/A1607442,082
2012-10-09$22.04$22.5033.9%8.4%18.7%12.9%29.3%10.3%0.1%-92.1K633.0K-4.9K5.5837.65N/AN/A241347562,082
2012-10-10$21.70$22.5035.8%8.7%19.5%15.4%31.4%9.6%-1.2%-106.2K951.0K-5.1K10.0036.93N/AN/A868607762,176
2012-10-11$21.71$20.0030.4%8.7%19.5%8.1%0.0%9.2%-1.4%-86.7K796.8K-4.7K0.6337.01N/AN/A60387901,900
2012-10-12$21.50$20.0031.0%8.9%19.0%8.9%30.9%8.5%-1.6%-87.5K979.8K-4.5K0.7037.03N/AN/A60428061,900
2012-10-15$21.70$20.0031.1%8.9%19.5%9.1%32.7%8.2%-1.4%-84.4K832.9K-4.4K2.7138.44N/AN/A822228441,922
2012-10-16$22.35$20.0031.7%9.1%21.4%9.9%37.5%7.0%-2.1%-109.9K254.2K-4.3K7.7419.01N/AN/A2902,2449081,936
2012-10-17$21.95$22.5031.9%9.2%22.4%10.2%0.0%11.4%-2.6%-141.0K1.8M-7.0K0.0023.30N/AN/A8409403,964
2012-10-18$22.11$22.5031.1%8.9%22.4%9.1%31.1%11.9%-2.1%-164.3K1.6M-6.8K0.6436.56N/AN/A78509563,964
2012-10-19$21.54$22.5029.6%8.5%24.4%7.1%33.3%7.0%-0.4%-115.5K2.0M-7.0K2.5224.47N/AN/A621569523,944
2012-10-22$21.27$22.5030.4%8.7%23.5%8.2%30.3%5.5%-2.1%-112.1K841.7K-6.7K0.6510.75N/AN/A1581027902,424
2012-10-23$20.91$22.5035.2%10.1%24.0%14.6%35.2%1.1%-1.5%-127.0K1.1M-7.9K1.1511.09N/AN/A40469222,512
2012-10-24$20.85$22.5035.9%10.3%24.0%15.4%35.9%2.0%-2.3%-129.0K1.1M-8.0K1.8011.73N/AN/A30549422,552
2012-10-25$20.83$22.5035.5%10.2%22.5%14.9%35.3%2.3%-2.9%-132.3K1.1M-8.1K1.0518.28N/AN/A40429522,582
2012-10-26$20.71$22.5034.4%9.9%22.0%13.6%34.5%1.2%-1.5%-147.7K1.2M-8.2K18.8442.11N/AN/A509429922,622
2012-10-31$20.93$22.5037.3%10.7%22.5%17.3%0.0%13.6%-3.6%-125.9K866.7K-7.1K0.00113.57N/AN/A049522,450