WWW Options History — December 2012

In December 2012, WWW traded between $19.93 and $21.66. ATM implied volatility averaged 32.8%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.5% (HV 20d: 24.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2012-12-07: Highest Volume — 160 contracts
  • 2012-12-12: Largest IV spike — 54.1% change
  • 2012-12-12: Highest IV Rank — 27.4%
  • 2012-12-19: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.56$19.93$21.66$21.66$20.49
Max Pain$20.50$20.00$22.50$22.50$20.00
ATM IV32.8%24.7%43.2%29.3%31.6%
Expected Move9.3%7.1%11.2%8.4%9.1%
HV 20d24.4%20.7%28.9%25.7%22.0%
HV 60d23.8%22.4%24.9%24.9%24.1%
IV Rank13.8%3.2%27.4%9.2%12.2%
IV Percentile37.9%1.6%65.5%20.6%38.1%
Term Structure2.0%-7.8%12.9%8.4%2.0%
VWIV32.4%30.6%35.9%32.8%31.7%
Skew 25d7.0%-3.3%18.7%2.9%7.3%
Skew 10d14.8%-4.1%37.3%13.9%8.4%
Call IV 25d27.1%20.8%33.0%29.3%22.6%
Put IV 25d34.1%27.4%39.6%32.3%29.9%
Bid-Ask Spread %58.2626.1895.5741.0748.95
Gamma HHI0.360.230.540.330.28
Net GEX-16.0K-65.3K19.0K18.8K5.2K
Net DEX24.2K-471.0K354.8K-471.0K-136.2K
Net VEX-5.6K-6.4K-4.8K-6.4K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.002.751.180.00
Total Volume45.101607422
Total OI2,415.61,6182,7862,5061,762

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$21.66$22.5029.3%8.4%25.7%9.2%0.0%2.9%8.4%18.8K-471.0K-6.4K1.1841.07N/AN/A34401,2641,242
2012-12-04$21.36$22.5024.7%7.1%26.2%3.2%0.0%9.3%12.0%19.0K-397.5K-6.4K0.0058.41N/AN/A001,2561,282
2012-12-05$21.09$22.5028.7%8.2%25.9%8.4%32.8%3.2%7.8%3.0K-167.2K-6.1K0.0027.94N/AN/A0401,2561,282
2012-12-06$21.36$22.5027.7%7.9%25.6%7.1%30.6%2.5%-0.0%5.9K-253.8K-5.9K0.0026.18N/AN/A2001,2561,262
2012-12-07$20.93$20.0035.5%9.1%24.3%17.3%0.0%14.3%12.9%6.2K-193.8K-6.2K0.0062.36N/AN/A01601,2761,262
2012-12-10$20.72$20.0035.4%9.5%24.5%17.1%0.0%5.3%-0.0%-17.6K125.2K-6.0K0.1050.49N/AN/A2021,2761,382
2012-12-11$21.14$20.0028.1%9.4%25.6%7.6%0.0%5.5%1.1%-7.9K-54.1K-5.8K0.0048.56N/AN/A021,2961,384
2012-12-12$20.35$20.0043.2%10.3%28.9%27.4%35.9%8.9%-2.8%-13.5K143.1K-5.9K1.5050.15N/AN/A16241,2961,386
2012-12-13$20.23$20.0031.5%9.0%27.7%12.0%31.3%3.6%2.3%-31.3K354.8K-5.7K0.4048.05N/AN/A2081,3121,382
2012-12-14$20.21$20.0037.8%10.8%27.6%20.3%0.0%18.7%-2.9%-39.2K320.6K-5.6K0.0087.28N/AN/A081,3321,386
2012-12-17$20.29$20.0035.7%10.2%27.5%17.6%0.0%7.4%-2.2%-51.6K325.1K-5.4K2.7575.90N/AN/A24661,3321,394
2012-12-18$20.39$20.0032.9%9.4%23.1%13.9%0.0%5.9%1.8%-46.8K238.8K-5.5K1.7582.77N/AN/A24421,3521,434
2012-12-19$20.25$20.0039.0%11.2%22.7%21.8%0.0%1.8%-7.8%-45.8K171.6K-5.4K0.0063.42N/AN/A001,3761,392
2012-12-20$20.10$20.0032.1%9.2%22.4%12.8%0.0%12.7%1.8%-65.3K318.2K-5.2K0.0081.75N/AN/A0881,3761,392
2012-12-21$20.18$20.0032.3%9.3%22.6%13.1%0.0%12.3%1.3%-64.5K258.9K-5.1K0.8344.52N/AN/A24201,3761,338
2012-12-24$20.21$20.0036.1%10.3%22.1%18.0%0.0%-3.3%0.9%2.1K-61.7K-5.1K0.0095.57N/AN/A00848770
2012-12-26$19.93$20.0031.9%9.2%21.9%12.6%32.0%13.5%-2.1%-73134.0K-4.8K0.7762.10N/AN/A8868848770
2012-12-27$20.16$20.0032.3%9.3%20.8%13.1%32.3%3.8%2.3%496-11.8K-5.1K0.0055.99N/AN/A220924816
2012-12-28$20.09$20.0031.3%9.0%20.7%11.8%0.0%4.9%2.9%3.1K-58.7K-5.3K0.0053.81N/AN/A200926816
2012-12-31$20.49$20.0031.6%9.1%22.0%12.2%31.7%7.3%2.0%5.2K-136.2K-5.3K0.0048.95N/AN/A022946816