WWW Options History — March 2013

In March 2013, WWW traded between $21.34 and $23.09. ATM implied volatility averaged 23.4%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.0% (HV 20d: 23.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2013-03-14: Highest Volume — 264 contracts
  • 2013-03-07: Largest IV spike — 46.5% change
  • 2013-03-21: Highest IV Rank — 13.2%
  • 2013-03-11: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.10$21.34$23.09$21.34$22.18
Max Pain$22.25$20.00$22.50$20.00$22.50
ATM IV23.4%15.4%26.8%21.3%24.8%
Expected Move7.3%6.1%7.8%6.1%7.1%
HV 20d23.4%18.6%27.5%24.8%20.7%
HV 60d22.4%20.9%23.2%23.2%22.6%
IV Rank8.7%0.0%13.2%3.4%11.3%
IV Percentile5.8%0.0%12.3%0.4%7.1%
Term Structure1.5%-0.7%10.9%10.9%2.0%
VWIV26.4%24.4%30.2%28.3%25.7%
Skew 25d9.2%6.3%13.2%13.2%8.7%
Skew 10d15.2%7.4%21.4%11.2%14.0%
Call IV 25d20.7%14.8%24.4%14.8%21.4%
Put IV 25d29.9%27.9%32.1%28.0%30.0%
Bid-Ask Spread %42.6419.8572.5428.6119.85
Gamma HHI0.390.280.540.380.42
Net GEX27.0K-18.7K125.5K-18.7K25.0K
Net DEX-14.4K-922.7K600.4K600.4K131.9K
Net VEX-14.8K-15.6K-14.1K-14.4K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.0010.000.950.00
Total Volume77.32264826
Total OI4,356.23,4965,2284,6443,796

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$21.34$20.0021.3%6.1%24.8%3.4%28.3%13.2%10.9%-18.7K600.4K-14.4K0.9528.61N/AN/A42401,9782,666
2013-03-04$21.45$20.0020.7%7.5%24.8%2.7%28.5%7.4%2.1%-10.6K448.4K-14.4K0.0047.13N/AN/A0402,0202,670
2013-03-05$21.83$22.5022.1%7.5%25.1%4.4%29.9%8.3%0.9%11.0K75.5K-14.5K0.8342.25N/AN/A24202,0202,710
2013-03-06$21.93$22.5018.3%7.1%25.1%0.0%24.9%9.0%1.2%27.5K-19.0K-14.3K0.0250.37N/AN/A12222,0442,730
2013-03-07$21.82$22.5026.8%7.3%24.9%10.5%25.3%8.8%1.3%22.9K-102.1K-15.1K0.0048.30N/AN/A17402,1642,732
2013-03-08$21.70$22.5015.4%7.6%25.0%0.0%26.4%6.7%0.4%31.9K-11.1K-14.7K0.1745.50N/AN/A58102,3042,732
2013-03-11$21.56$22.5019.1%7.8%25.0%4.4%0.0%6.3%-0.7%20.4K158.6K-14.3K0.5057.91N/AN/A422,3422,742
2013-03-12$21.48$22.5026.2%7.3%24.9%12.9%30.2%6.3%0.6%15.0K234.7K-14.1K10.0021.50N/AN/A2202,3422,744
2013-03-13$21.98$22.5017.9%7.1%26.3%3.0%24.8%9.8%0.8%55.3K-149.7K-14.7K0.5649.68N/AN/A18102,3422,764
2013-03-14$22.50$22.5024.4%7.0%27.0%10.8%24.4%9.9%1.5%125.5K-922.7K-15.1K0.6538.09N/AN/A1601042,3382,766
2013-03-15$22.20$22.5025.1%7.2%27.4%11.5%25.0%7.6%1.5%76.5K-245.5K-15.1K0.2548.21N/AN/A102262,3602,868
2013-03-18$22.05$22.5025.5%7.3%27.5%12.0%25.5%7.5%0.4%10.7K267.3K-14.7K0.4269.37N/AN/A52221,5561,940
2013-03-19$22.05$22.5026.4%7.6%21.2%13.1%26.9%7.5%0.3%9.5K350.0K-14.4K1.3047.93N/AN/A20261,5941,962
2013-03-20$22.55$22.5026.5%7.6%20.3%13.2%26.4%11.6%-0.0%14.3K-22.2K-14.7K0.0033.74N/AN/A201,5941,986
2013-03-21$22.75$22.5026.5%7.6%18.6%13.2%26.5%11.5%0.1%22.1K-214.2K-15.1K0.2931.44N/AN/A70201,5961,986
2013-03-22$23.09$22.5025.5%7.3%18.9%12.1%25.5%12.6%1.4%33.0K-641.6K-15.6K0.0372.54N/AN/A5821,6622,006
2013-03-25$22.73$22.5025.9%7.4%19.1%12.5%26.0%10.6%1.2%29.0K-306.5K-15.2K1.7633.80N/AN/A34601,6382,008
2013-03-26$22.35$22.5024.6%7.1%20.5%11.0%24.6%10.2%2.5%20.6K50.9K-15.0K6.6733.28N/AN/A6401,6282,066
2013-03-27$22.41$22.5025.7%7.4%20.5%12.3%25.7%10.9%1.3%18.8K29.1K-15.1K0.2533.36N/AN/A118301,6302,098
2013-03-28$22.18$22.5024.8%7.1%20.7%11.3%0.0%8.7%2.0%25.0K131.9K-15.0K0.0019.85N/AN/A601,7162,080