WWW Options History — April 2013

In April 2013, WWW traded between $21.59 and $23.89. ATM implied volatility averaged 29.0%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 0.3% (HV 20d: 28.7%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.08.

Notable Days

  • 2013-04-16: Highest Volume — 1,134 contracts
  • 2013-04-11: Largest IV drop — 26.4% change
  • 2013-04-10: Highest IV Rank — 28.7%
  • 2013-04-15: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.81$21.59$23.89$21.78$23.89
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV29.0%21.3%39.4%25.1%21.3%
Expected Move8.0%6.1%9.3%7.2%6.1%
HV 20d28.7%20.6%35.5%21.7%34.7%
HV 60d24.9%22.1%27.4%22.9%27.3%
IV Rank21.5%11.5%28.7%11.5%13.7%
IV Percentile33.8%2.8%83.3%7.9%2.8%
Term Structure-1.5%-5.0%1.7%1.7%0.5%
VWIV28.4%22.8%35.1%25.1%24.5%
Skew 25d5.3%1.0%13.4%3.8%4.1%
Skew 10d10.0%-0.7%23.8%9.5%5.4%
Call IV 25d24.8%20.7%28.8%24.4%22.2%
Put IV 25d30.1%25.4%35.6%28.2%26.4%
Bid-Ask Spread %28.6912.9472.3721.0316.38
Gamma HHI0.480.330.690.380.56
Net GEX27.9K-53.4K71.2K15.5K71.2K
Net DEX-393.1K-1.9M813.6K539.3K-1.1M
Net VEX-14.7K-16.3K-13.4K-14.3K-14.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.0017.424.000.00
Total Volume169.45541,134304
Total OI4,408.7273,7965,6303,7964,504

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$21.78$22.5025.1%7.2%21.7%11.5%25.1%3.8%1.7%15.5K539.3K-14.3K4.0021.03N/AN/A6241,7162,080
2013-04-02$21.80$22.5031.2%8.9%21.6%18.8%31.2%4.3%-0.5%9.9K477.5K-14.4K1.6414.06N/AN/A901481,7142,104
2013-04-03$21.75$22.5029.8%8.5%20.7%17.1%29.8%5.5%-2.5%17.9K570.8K-14.4K1.6012.94N/AN/A30481,8042,132
2013-04-04$21.82$22.5031.1%8.9%20.6%18.7%31.0%5.9%-4.1%20.5K529.3K-14.2K0.0015.21N/AN/A0101,8342,148
2013-04-05$21.59$22.5032.1%7.7%20.9%19.9%0.0%8.1%-1.1%11.3K813.6K-13.6K2.3332.67N/AN/A6141,8342,158
2013-04-08$22.07$22.5033.6%8.1%22.3%21.7%35.1%12.6%-1.9%28.7K325.3K-14.1K1.4130.33N/AN/A44621,8382,164
2013-04-09$22.16$22.5034.5%8.1%22.2%22.8%0.0%11.4%-1.7%25.9K209.2K-14.3K0.4272.37N/AN/A24101,8402,216
2013-04-10$23.04$22.5039.4%8.1%25.7%28.7%0.0%5.8%-1.9%35.1K-758.6K-14.4K1.3331.36N/AN/A60801,8342,226
2013-04-11$23.22$22.5029.0%8.3%24.8%16.3%29.4%6.4%-2.8%35.7K-900.5K-14.6K2.0034.07N/AN/A501001,8642,260
2013-04-12$23.16$22.5028.8%8.3%23.5%16.0%29.1%5.0%-2.6%33.9K-924.0K-14.5K0.6934.47N/AN/A32221,9082,332
2013-04-15$22.36$22.5032.4%9.3%26.4%20.6%32.7%13.4%-5.0%18.3K140.2K-13.7K17.4257.81N/AN/A244181,9262,354
2013-04-16$23.70$22.5027.7%7.9%33.3%25.7%25.3%2.6%-1.2%20.0K-1.9M-13.4K0.3724.93N/AN/A8263081,9262,558
2013-04-17$23.27$22.5027.9%8.0%34.2%26.0%27.4%4.0%-1.9%39.6K-1.6M-15.5K2.0322.71N/AN/A1262562,5642,830
2013-04-18$22.69$22.5027.7%7.9%34.7%25.6%27.7%3.6%-1.4%-53.4K-130.5K-16.3K0.0034.08N/AN/A2202,6003,030
2013-04-19$22.98$22.5026.9%7.7%34.9%24.0%24.8%5.4%-0.7%-3.3K-1.1M-15.6K3.0629.19N/AN/A942882,6003,030
2013-04-22$23.05$22.5027.0%7.7%34.5%24.2%35.1%4.4%-1.2%26.1K-182.2K-15.4K3.0021.88N/AN/A262,1922,262
2013-04-23$23.57$22.5026.6%7.6%34.9%23.4%22.8%3.7%-0.7%52.4K-772.6K-15.5K0.0024.02N/AN/A3202,1942,262
2013-04-24$23.20$22.5026.6%7.6%34.8%23.3%24.1%1.0%-1.7%32.4K-364.9K-15.4K0.0733.11N/AN/A5442,2162,262
2013-04-25$23.68$22.5027.1%7.8%35.5%24.5%27.5%3.5%-1.6%64.2K-944.3K-15.5K0.3126.08N/AN/A90282,2622,262
2013-04-26$23.43$22.5025.8%7.4%35.5%24.1%0.0%1.1%0.3%49.8K-704.4K-15.3K0.0027.82N/AN/A042,2962,280
2013-04-29$23.64$22.5026.9%7.7%34.7%26.6%24.5%1.4%-0.6%61.5K-894.6K-15.1K0.0014.74N/AN/A28202,2962,280
2013-04-30$23.89$22.5021.3%6.1%34.7%13.7%0.0%4.1%0.5%71.2K-1.1M-14.9K0.0016.38N/AN/A402,2242,280