WWW Options History — January 2013

In January 2013, WWW traded between $19.57 and $21.67. ATM implied volatility averaged 31.7%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 10.0% (HV 20d: 21.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.62.

Notable Days

  • 2013-01-14: Highest Volume — 1,266 contracts
  • 2013-01-29: Largest IV drop — 33.7% change
  • 2013-01-28: Highest IV Rank — 19.1%
  • 2013-01-28: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.73$19.57$21.67$20.33$21.50
Max Pain$20.95$20.00$22.50$20.00$22.50
ATM IV31.7%24.4%36.9%33.3%25.8%
Expected Move9.0%7.0%10.6%9.6%7.4%
HV 20d21.7%15.7%23.5%22.0%23.1%
HV 60d24.0%23.5%24.6%24.1%23.6%
IV Rank12.3%2.9%19.1%14.5%4.6%
IV Percentile37.5%1.6%64.7%47.2%3.2%
Term Structure0.3%-6.3%9.4%3.0%5.2%
VWIV32.7%24.4%37.3%32.1%27.8%
Skew 25d7.3%-1.1%16.0%8.9%3.2%
Skew 10d12.9%-0.3%28.9%7.5%18.8%
Call IV 25d27.6%21.7%33.1%21.7%26.4%
Put IV 25d34.8%24.3%42.7%30.6%29.7%
Bid-Ask Spread %45.3122.4286.2249.1170.18
Gamma HHI0.350.240.800.280.31
Net GEX-26.5K-312.0K27.5K5.4K-12.1K
Net DEX-121.9K-1.3M617.7K-179.4K443.5K
Net VEX-7.9K-13.8K-4.6K-5.2K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.620.1132.320.830.91
Total Volume273.52401,266042
Total OI3,011.5241,7644,2881,7644,288

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$20.33$20.0033.3%9.6%22.0%14.5%0.0%8.9%3.0%5.4K-179.4K-5.2K0.0049.11N/AN/A00946818
2013-01-03$20.45$20.0031.5%9.0%21.9%12.0%0.0%7.5%1.4%4.8K-149.0K-5.2K0.8357.68N/AN/A1210946818
2013-01-04$20.41$22.5031.9%9.5%21.5%12.6%0.0%5.6%-0.4%4.7K-122.4K-5.2K0.0031.84N/AN/A00958828
2013-01-07$20.00$22.5032.8%9.4%21.8%13.8%0.0%6.0%1.0%-73233.1K-5.0K0.0036.05N/AN/A08958828
2013-01-08$19.57$22.5031.4%9.1%22.0%12.0%32.1%4.9%-1.6%-5.9K167.8K-4.6K0.7439.25N/AN/A204150958828
2013-01-09$19.58$20.0036.7%9.4%21.9%18.9%32.7%12.0%-1.9%-2.2K94.1K-5.7K2.0748.68N/AN/A2144421,118954
2013-01-10$19.64$20.0032.5%9.3%20.3%13.3%32.6%13.3%-2.1%-39.3K448.1K-6.6K0.6149.01N/AN/A148901,3181,380
2013-01-11$19.57$20.0032.2%9.2%15.7%12.9%0.0%12.7%-0.8%-24.8K404.7K-6.8K3.3351.67N/AN/A24801,4661,454
2013-01-14$20.07$20.0034.3%9.8%18.3%15.7%34.3%16.0%-0.5%-38.9K48.6K-6.8K32.3247.53N/AN/A381,2281,4841,530
2013-01-15$20.51$20.0033.4%9.6%19.9%14.6%0.0%7.0%0.3%-312.0K142.1K-7.5K0.1345.70N/AN/A1621,5002,708
2013-01-16$20.66$20.0034.1%9.8%20.0%15.5%32.6%-1.1%-1.3%-186.5K-555.0K-7.2K1.9332.51N/AN/A921781,5002,708
2013-01-17$21.33$20.0028.4%8.1%22.8%8.0%30.7%7.2%-0.5%-7.3K-1.2M-6.7K0.4331.43N/AN/A28121,5782,660
2013-01-18$21.33$20.0029.3%8.4%22.6%9.1%0.0%7.1%0.2%3.7K-1.3M-6.5K0.0034.67N/AN/A021,5942,660
2013-01-22$21.66$20.0028.2%8.1%22.7%7.8%37.0%9.8%1.6%27.5K-834.1K-6.3K0.1146.27N/AN/A3641,2861,108
2013-01-23$21.44$20.0031.6%9.0%23.2%12.1%33.2%5.7%-0.2%25.2K-744.9K-6.3K3.5086.22N/AN/A4141,3081,112
2013-01-24$21.30$20.0032.9%9.4%23.5%13.9%33.8%6.3%-3.0%23.0K-666.6K-6.4K7.0131.60N/AN/A1561,0941,3081,114
2013-01-25$21.66$22.5035.8%10.3%23.1%17.7%37.1%8.4%-5.2%-2.2K272.6K-13.6K0.5146.22N/AN/A2121081,4142,158
2013-01-28$21.67$22.5036.9%10.6%23.0%19.1%37.3%9.5%-6.3%-382228.8K-13.7K0.6043.84N/AN/A1061,5042,248
2013-01-29$21.51$22.5024.4%7.0%23.2%2.9%24.4%-0.5%9.4%1.1K236.3K-13.1K1.9149.53N/AN/A1583021,5002,248
2013-01-30$21.23$22.5027.5%7.9%23.1%6.9%27.8%2.9%8.4%-19.5K617.7K-13.5K4.6422.42N/AN/A1105101,6242,524
2013-01-31$21.50$22.5025.8%7.4%23.1%4.6%0.0%3.2%5.2%-12.1K443.5K-13.8K0.9170.18N/AN/A22201,6442,644