WWW Options History — May 2013

In May 2013, WWW traded between $23.84 and $26.63. ATM implied volatility averaged 20.6%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 5.2% (HV 20d: 25.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 6.03.

Notable Days

  • 2013-05-28: Highest Volume — 666 contracts
  • 2013-05-16: Largest IV spike — 20.5% change
  • 2013-05-20: Highest IV Rank — 19.2%
  • 2013-05-20: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.69$23.84$26.63$23.84$26.18
Max Pain$23.64$22.50$25.00$22.50$25.00
ATM IV20.6%17.7%23.7%17.8%23.4%
Expected Move6.2%5.1%6.8%5.1%6.7%
HV 20d25.7%19.0%35.1%34.7%20.5%
HV 60d26.6%25.3%28.0%27.2%26.0%
IV Rank12.0%5.4%19.2%5.5%18.7%
IV Percentile4.8%0.4%13.1%0.4%13.1%
Term Structure3.1%0.0%5.4%0.2%4.6%
VWIV22.7%20.1%27.8%27.8%23.7%
Skew 25d4.7%0.3%11.7%3.7%2.4%
Skew 10d7.5%0.9%18.9%5.7%3.4%
Call IV 25d19.6%13.6%22.2%22.2%20.9%
Put IV 25d24.3%20.2%26.2%25.9%23.2%
Bid-Ask Spread %28.7212.8839.2819.0024.86
Gamma HHI0.520.320.710.560.41
Net GEX70.3K-18.3K162.5K69.8K62.1K
Net DEX-3.1M-4.5M-1.2M-1.2M-4.0M
Net VEX-17.1K-23.4K-13.2K-14.7K-23.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.030.0066.670.800.31
Total Volume196.63606661842
Total OI5,253.9094,5006,2664,5026,266

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$23.84$22.5017.8%5.1%34.7%5.5%27.8%3.7%0.2%69.8K-1.2M-14.7K0.8019.00N/AN/A1082,2222,280
2013-05-02$24.14$22.5021.1%6.1%34.8%13.3%0.0%4.6%0.0%95.5K-1.4M-14.7K0.0023.01N/AN/A8602,2182,282
2013-05-03$24.80$22.5021.0%6.0%35.1%13.0%21.0%0.3%1.8%135.0K-2.5M-14.4K0.0324.91N/AN/A13042,2802,282
2013-05-06$24.96$22.5021.1%6.5%34.6%13.1%22.7%10.8%2.6%155.2K-2.7M-14.1K1.5739.28N/AN/A28442,3062,286
2013-05-07$25.45$22.5020.5%6.4%34.9%11.8%22.6%11.6%3.4%157.3K-3.3M-13.2K0.0037.51N/AN/A15802,2842,324
2013-05-08$25.34$22.5019.9%6.5%33.0%10.4%22.8%4.8%2.7%162.5K-3.1M-13.2K1.3228.49N/AN/A2162862,2602,324
2013-05-09$25.09$22.5019.0%6.5%33.4%8.3%22.6%4.2%3.1%139.9K-2.5M-14.1K0.0028.49N/AN/A5402,2482,590
2013-05-10$25.32$22.5019.2%6.4%33.3%8.8%22.4%11.7%2.8%134.3K-2.8M-13.9K0.0935.92N/AN/A154142,2502,590
2013-05-13$25.38$22.5021.0%6.6%29.9%13.0%23.1%5.3%2.5%148.1K-3.0M-14.2K66.6729.84N/AN/A64002,3302,592
2013-05-14$25.86$22.5017.7%6.7%23.4%5.4%21.7%4.0%2.5%51.3K-3.3M-16.0K0.1331.66N/AN/A212282,3302,992
2013-05-15$25.84$22.5019.1%6.7%22.0%8.5%22.4%3.7%2.5%27.6K-2.9M-19.0K0.2230.83N/AN/A172382,3243,400
2013-05-16$25.82$22.5023.0%6.6%19.0%17.5%23.0%4.0%2.9%51.2K-3.4M-16.7K47.5033.51N/AN/A83802,4323,018
2013-05-17$26.32$25.0019.9%5.7%19.4%10.3%0.0%3.7%3.8%-12.9K-3.7M-16.6K0.0034.60N/AN/A002,4323,368
2013-05-20$26.07$25.0023.7%6.8%20.3%19.2%22.5%2.6%2.4%-18.3K-2.4M-16.7K0.0336.09N/AN/A470122,0083,062
2013-05-21$26.63$25.0020.2%5.8%20.1%11.2%23.5%5.7%2.6%10.1K-3.5M-18.2K0.0023.62N/AN/A9002,3923,062
2013-05-22$26.32$25.0020.3%5.8%19.5%11.3%24.8%4.3%3.6%8.3K-3.2M-19.2K3.6226.00N/AN/A26942,4223,062
2013-05-23$26.00$25.0021.8%6.2%19.8%14.7%21.8%2.6%5.4%2.2K-2.8M-19.4K4.2429.50N/AN/A662802,4423,110
2013-05-24$26.09$25.0021.7%6.2%19.0%14.6%20.1%2.4%5.4%20.0K-3.1M-19.4K0.0027.68N/AN/A5802,5083,008
2013-05-28$26.61$25.0020.8%6.0%19.6%12.6%20.9%3.2%4.3%27.1K-3.7M-18.3K0.0624.58N/AN/A626402,5383,008
2013-05-29$26.62$25.0020.2%5.8%19.6%11.2%20.3%3.9%4.9%57.4K-4.5M-23.0K0.0312.88N/AN/A6223,1483,048
2013-05-30$26.45$25.0020.0%5.7%19.9%10.7%23.4%3.0%4.9%63.5K-4.3M-22.9K0.1029.60N/AN/A2023,2083,050
2013-05-31$26.18$25.0023.4%6.7%20.5%18.7%23.7%2.4%4.6%62.1K-4.0M-23.4K0.3124.86N/AN/A32103,2183,048