WWW Options History — July 2013

In July 2013, WWW traded between $26.93 and $29.57. ATM implied volatility averaged 24.8%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.4% (HV 20d: 25.2%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 3.20.

Notable Days

  • 2013-07-08: Highest Volume — 2,868 contracts
  • 2013-07-08: Largest IV spike — 41.6% change
  • 2013-07-08: Highest IV Rank — 70.9%
  • 2013-07-08: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.59$26.93$29.57$27.73$28.75
Max Pain$27.50$27.50$27.50$27.50$27.50
ATM IV24.8%17.2%44.6%29.1%18.8%
Expected Move6.9%4.9%9.4%8.4%5.4%
HV 20d25.2%20.3%28.8%24.3%20.3%
HV 60d24.0%21.7%27.6%26.6%21.7%
IV Rank28.0%11.6%70.9%37.3%15.0%
IV Percentile28.0%0.8%99.2%53.2%3.6%
Term Structure0.2%-2.8%3.0%-2.5%3.0%
VWIV25.7%21.8%36.2%29.1%24.0%
Skew 25d5.3%1.5%14.0%14.0%2.3%
Skew 10d7.8%-0.1%22.4%22.4%2.9%
Call IV 25d21.9%17.1%31.3%20.5%21.3%
Put IV 25d27.2%23.5%35.4%34.5%23.6%
Bid-Ask Spread %54.6818.0791.4736.3888.39
Gamma HHI0.400.350.480.480.40
Net GEX100.2K-75.0K250.9K82.2K-46.3K
Net DEX-5.0M-8.2M-2.2M-3.5M-3.7M
Net VEX-25.8K-33.9K-19.7K-19.7K-32.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.0022.962.080.00
Total Volume604.636222,8687422
Total OI7,293.6364,6228,8464,6228,846

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$27.73$27.5029.1%8.4%24.3%37.3%29.1%14.0%-2.5%82.2K-3.5M-19.7K2.0836.38N/AN/A24502,5402,082
2013-07-02$27.00$27.5029.1%8.3%26.4%37.3%29.2%8.7%-2.5%75.0K-2.7M-20.5K6.2238.03N/AN/A905602,5502,122
2013-07-03$26.93$27.5030.3%8.7%24.7%39.8%36.2%9.7%-2.8%50.6K-2.2M-23.6K12.6550.91N/AN/A465822,6102,572
2013-07-05$27.77$27.5031.5%7.8%26.7%42.5%27.1%5.5%-1.1%37.6K-3.1M-23.3K0.6254.25N/AN/A1981222,6303,076
2013-07-08$27.64$27.5044.6%9.4%26.4%70.9%32.5%3.2%-2.6%17.2K-2.8M-23.9K0.7879.08N/AN/A1,6121,2562,6963,158
2013-07-09$28.69$27.5028.3%7.8%28.8%35.5%26.6%7.1%-0.9%139.5K-5.7M-24.2K0.7827.28N/AN/A1,2129463,8223,834
2013-07-10$28.96$27.5017.6%6.4%26.8%12.5%26.5%6.7%0.8%200.0K-6.8M-24.0K0.4928.59N/AN/A5442644,0543,690
2013-07-11$29.21$27.5021.6%6.2%26.1%21.0%24.3%6.9%1.9%191.3K-7.2M-22.7K0.0336.34N/AN/A916304,0383,808
2013-07-12$29.43$27.5021.9%6.3%25.9%21.6%22.4%8.0%1.9%177.3K-7.1M-22.1K0.2149.31N/AN/A9922083,9023,804
2013-07-15$29.57$27.5021.7%6.2%25.5%21.3%23.2%8.2%2.3%250.9K-8.2M-26.2K0.3537.09N/AN/A220764,6203,928
2013-07-16$29.00$27.5024.6%7.0%27.1%27.5%23.9%5.4%-2.4%175.1K-7.0M-26.4K0.5245.84N/AN/A84444,4384,002
2013-07-17$28.82$27.5022.8%6.5%27.4%23.6%22.2%3.2%1.5%149.1K-6.6M-25.7K0.5768.63N/AN/A70404,4384,042
2013-07-18$29.00$27.5023.4%6.7%26.4%25.0%24.0%5.0%-0.1%161.6K-6.8M-25.5K0.7632.31N/AN/A100764,4384,064
2013-07-19$29.00$27.5021.7%6.2%24.5%21.4%22.5%5.3%1.7%169.5K-6.7M-25.8K0.0889.51N/AN/A158124,4504,108
2013-07-22$28.90$27.5017.2%4.9%24.5%11.6%21.8%3.1%2.7%143.5K-5.2M-25.6K1.6068.27N/AN/A50803,6642,804
2013-07-23$28.86$27.5023.9%6.8%24.6%26.0%23.9%1.5%-0.1%136.9K-5.0M-25.5K17.0089.03N/AN/A2343,6442,822
2013-07-24$28.77$27.5022.0%6.3%24.4%22.0%0.0%2.3%0.9%141.8K-5.0M-25.0K0.1028.34N/AN/A2023,6442,796
2013-07-25$28.82$27.5022.2%6.4%24.4%22.3%24.8%2.4%1.5%145.9K-5.0M-24.6K22.9681.39N/AN/A962,2043,6642,796
2013-07-26$28.63$27.5025.2%7.2%23.5%28.9%24.1%2.8%-1.3%-75.0K-2.8M-33.9K0.3818.07N/AN/A128483,7124,958
2013-07-29$28.57$27.5025.7%7.4%23.0%29.9%25.6%2.8%0.3%-73.8K-2.7M-33.7K0.0091.47N/AN/A5203,8004,976
2013-07-30$28.90$27.5022.1%6.3%22.8%22.0%0.0%2.8%1.7%-44.7K-3.4M-33.3K2.2064.39N/AN/A10223,8424,976
2013-07-31$28.75$27.5018.8%5.4%20.3%15.0%24.0%2.3%3.0%-46.3K-3.7M-32.2K0.0088.39N/AN/A2203,8524,994