WWW Options History — November 2012

In November 2012, WWW traded between $20.15 and $21.96. ATM implied volatility averaged 32.0%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.0% (HV 20d: 25.9%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2012-11-28: Highest Volume — 80 contracts
  • 2012-11-12: Largest IV spike — 102.5% change
  • 2012-11-12: Highest IV Rank — 45.3%
  • 2012-11-12: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.27$20.15$21.96$21.57$21.64
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV32.0%22.2%58.1%29.3%28.7%
Expected Move8.3%6.4%11.1%8.4%8.2%
HV 20d25.9%23.8%28.2%25.3%25.9%
HV 60d24.1%22.8%25.2%23.5%25.0%
IV Rank11.0%0.0%45.3%6.6%8.5%
IV Percentile26.5%0.0%81.7%16.3%18.3%
Term Structure1.6%-4.8%14.0%-4.3%7.5%
VWIV29.6%26.2%34.2%27.1%26.5%
Skew 25d8.2%1.4%13.9%1.4%5.7%
Skew 10d19.1%8.9%41.4%17.2%28.4%
Call IV 25d25.6%20.7%31.5%31.5%27.6%
Put IV 25d33.8%29.9%38.6%32.8%33.3%
Bid-Ask Spread %59.4325.25105.8133.1746.59
Gamma HHI0.520.300.830.640.34
Net GEX-92.8K-345.7K38.4K-139.3K22.7K
Net DEX73.2K-728.2K1.1M232.4K-469.3K
Net VEX-5.9K-6.6K-5.2K-6.0K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.003.331.130.00
Total Volume40.7620806440
Total OI3,0262,0963,7303,4062,466

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$21.57$22.5029.3%8.4%25.3%6.6%0.0%1.4%-4.3%-139.3K232.4K-6.0K1.1333.17N/AN/A30349522,454
2012-11-02$21.41$22.5024.1%6.9%25.2%0.0%0.0%10.6%-2.2%-65.7K67.4K-6.3K0.0039.20N/AN/A0409622,460
2012-11-05$21.50$22.5039.8%7.5%24.8%21.0%0.0%9.0%1.6%-84.1K318.3K-6.6K1.0094.84N/AN/A20209622,500
2012-11-06$21.82$22.5036.6%8.0%25.0%16.8%0.0%8.1%2.2%-101.9K-187.6K-5.2K0.0088.58N/AN/A4009822,520
2012-11-07$21.44$22.5029.5%7.8%25.7%7.2%27.1%9.3%2.7%-86.6K135.7K-6.3K0.1064.79N/AN/A2021,0222,520
2012-11-08$20.80$22.5043.2%8.3%26.3%25.5%26.2%10.5%1.8%-124.0K462.8K-6.2K0.1595.89N/AN/A4061,0422,522
2012-11-09$20.82$22.5028.7%9.3%25.9%6.1%31.6%7.2%-3.4%-181.4K526.5K-6.5K0.0042.66N/AN/A021,0822,528
2012-11-12$20.80$22.5058.1%11.1%25.9%45.3%0.0%13.5%-4.8%-168.8K654.7K-6.6K3.33105.81N/AN/A12401,0822,530
2012-11-13$20.64$22.5033.8%10.2%25.8%12.9%28.5%8.4%-2.8%-236.4K577.8K-6.6K0.0040.83N/AN/A4001,0942,570
2012-11-14$20.15$22.5043.7%10.3%26.5%26.2%33.6%7.0%0.7%-286.0K1.1M-6.4K1.1035.28N/AN/A20221,1342,570
2012-11-15$20.27$22.5033.2%9.5%23.8%12.2%0.0%13.9%0.3%-345.7K1.1M-6.0K0.0043.19N/AN/A001,1542,576
2012-11-16$20.46$22.5033.4%9.6%23.8%12.5%0.0%6.7%0.0%-295.6K454.0K-5.5K0.0025.25N/AN/A001,1542,576
2012-11-19$21.29$22.5025.8%7.4%28.2%2.3%0.0%8.1%1.0%5.8K-155.3K-5.2K1.7540.32N/AN/A24421,0201,076
2012-11-20$21.51$22.5026.3%7.5%26.9%2.9%0.0%8.4%2.7%10.6K-258.5K-5.3K0.0094.19N/AN/A6001,0421,118
2012-11-21$21.68$22.5028.7%8.2%26.6%6.2%28.7%8.2%-0.2%17.0K-395.3K-5.6K0.5540.80N/AN/A44241,1021,118
2012-11-23$21.62$22.5025.7%7.4%25.8%2.2%29.8%7.8%3.5%20.8K-444.1K-5.8K0.4376.28N/AN/A46201,1461,138
2012-11-26$21.84$22.5028.8%8.2%26.0%6.2%34.2%6.5%3.0%15.2K-464.5K-5.6K0.0094.82N/AN/A041,1401,158
2012-11-27$21.48$22.5022.3%6.4%26.8%0.0%26.5%7.6%14.0%15.8K-409.4K-5.5K0.0057.20N/AN/A4401,1401,162
2012-11-28$21.93$22.5029.7%8.5%27.5%9.6%0.0%5.4%5.1%19.6K-535.5K-5.5K0.0051.31N/AN/A8001,1841,162
2012-11-29$21.96$22.5022.2%6.4%27.3%0.0%0.0%8.1%4.9%38.4K-728.2K-5.9K0.0037.07N/AN/A0401,2641,162
2012-11-30$21.64$22.5028.7%8.2%25.9%8.5%0.0%5.7%7.5%22.7K-469.3K-6.4K0.0046.59N/AN/A0401,2641,202