WWW Options History — February 2013

In February 2013, WWW traded between $21.07 and $22.51. ATM implied volatility averaged 28.0%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 5.8% (HV 20d: 22.2%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 3.71.

Notable Days

  • 2013-02-19: Highest Volume — 634 contracts
  • 2013-02-07: Largest IV spike — 63.5% change
  • 2013-02-15: Highest IV Rank — 15.7%
  • 2013-02-04: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.48$21.07$22.51$21.52$21.10
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV28.0%18.6%31.2%23.0%28.5%
Expected Move8.5%7.1%10.1%9.1%8.2%
HV 20d22.2%15.1%25.6%23.1%24.8%
HV 60d22.8%20.6%23.8%23.6%23.1%
IV Rank11.0%0.0%15.7%1.1%12.4%
IV Percentile21.8%0.0%41.7%0.8%21.0%
Term Structure-0.2%-2.3%5.2%-2.0%3.7%
VWIV30.3%24.3%37.5%33.5%24.6%
Skew 25d5.9%-4.7%11.3%4.6%9.7%
Skew 10d9.9%-1.9%29.3%-1.9%14.1%
Call IV 25d26.3%18.1%30.7%30.7%18.1%
Put IV 25d32.2%19.6%37.1%35.3%27.8%
Bid-Ask Spread %42.2617.3294.5138.6431.53
Gamma HHI0.330.270.430.300.35
Net GEX-13.2K-37.8K21.3K-8.4K-27.2K
Net DEX490.1K-14.7K787.5K344.6K711.1K
Net VEX-13.3K-14.9K-12.1K-13.8K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.710.0021.003.001.36
Total Volume124.10506348052
Total OI4,3783,6924,5924,3104,592

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$21.52$20.0023.0%9.1%23.1%1.1%33.5%4.6%-2.0%-8.4K344.6K-13.8K3.0038.64N/AN/A20601,6462,664
2013-02-04$21.25$20.0022.4%10.1%23.7%0.2%33.4%6.2%-2.3%-33.8K725.4K-13.3K0.9144.74N/AN/A22201,6262,724
2013-02-05$21.21$20.0030.7%9.8%22.2%11.0%31.7%4.1%-1.2%-37.8K787.5K-13.1K1.1144.72N/AN/A38421,6262,744
2013-02-06$21.48$20.0018.6%8.2%20.5%0.0%29.0%8.3%0.0%-12.5K600.2K-12.1K0.0256.66N/AN/A9421,6342,766
2013-02-07$21.48$20.0030.3%8.7%20.5%14.6%0.0%8.3%-1.3%-19.8K592.9K-13.1K0.0045.04N/AN/A001,6502,768
2013-02-08$21.62$20.0030.2%8.7%20.5%14.5%0.0%9.3%-0.9%-4.3K465.2K-12.7K0.0045.44N/AN/A3001,6502,768
2013-02-11$21.76$20.0030.7%8.8%20.2%15.1%37.5%11.2%-1.7%21.3K299.7K-12.4K0.6788.19N/AN/A30201,6802,768
2013-02-12$21.79$20.0031.0%8.9%18.9%15.5%0.0%11.3%-2.2%9.6K228.5K-12.9K7.7042.94N/AN/A201541,6982,782
2013-02-13$21.48$20.0031.1%8.9%18.7%15.6%0.0%8.3%-1.6%-7.1K476.1K-12.5K0.0050.87N/AN/A201,7182,700
2013-02-14$21.34$20.0031.0%8.9%18.9%15.4%35.3%6.3%-1.7%-19.8K602.1K-12.5K0.1053.21N/AN/A2021,7182,700
2013-02-15$21.45$20.0031.2%8.9%15.1%15.7%35.8%7.8%-1.7%-4.3K490.5K-12.2K6.9732.99N/AN/A584041,7222,700
2013-02-19$22.51$20.0027.2%7.8%22.8%10.7%27.6%5.9%0.6%-7.2K-14.7K-12.2K0.2994.51N/AN/A4901441,3142,378
2013-02-20$21.89$20.0027.3%7.8%24.7%10.8%27.3%-4.7%-2.1%-4.4K70.0K-14.2K0.2929.90N/AN/A264761,7002,410
2013-02-21$21.43$20.0027.6%7.9%25.6%11.3%29.4%3.1%-0.7%-8.1K351.9K-14.9K17.0019.81N/AN/A2341,8982,468
2013-02-22$21.36$20.0024.8%7.1%25.5%7.7%25.3%3.1%1.6%-13.8K506.5K-14.5K2.6317.32N/AN/A32841,8982,494
2013-02-25$21.07$20.0027.6%7.9%25.2%11.3%29.7%2.1%5.2%-23.5K684.1K-14.1K0.0023.45N/AN/A0501,9182,568
2013-02-26$21.14$20.0030.4%8.7%25.2%14.7%24.3%4.8%1.1%-26.1K750.7K-14.1K21.0020.45N/AN/A2421,9182,618
2013-02-27$21.23$20.0027.9%8.0%25.2%11.6%24.6%1.8%2.5%-23.3K638.9K-14.2K0.0022.55N/AN/A4801,9202,636
2013-02-28$21.10$20.0028.5%8.2%24.8%12.4%0.0%9.7%3.7%-27.2K711.1K-14.3K1.3631.53N/AN/A22301,9562,636