WWW Options History — August 2013

In August 2013, WWW traded between $27.76 and $29.45. ATM implied volatility averaged 23.3%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 9.2% (HV 20d: 14.0%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2013-08-06: Highest Volume — 570 contracts
  • 2013-08-15: Largest IV spike — 28.1% change
  • 2013-08-27: Highest IV Rank — 33.9%
  • 2013-08-27: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.49$27.76$29.45$29.07$28.13
Max Pain$27.50$27.50$27.50$27.50$27.50
ATM IV23.3%17.2%27.6%20.0%25.6%
Expected Move7.1%5.3%7.9%5.7%7.3%
HV 20d14.0%10.9%20.4%20.4%14.7%
HV 60d21.1%20.2%21.6%21.5%20.4%
IV Rank24.7%11.4%33.9%17.6%29.6%
IV Percentile23.6%0.8%44.4%7.1%32.9%
Term Structure3.4%-0.0%11.7%3.1%5.4%
VWIV24.1%16.1%27.4%24.8%27.4%
Skew 25d3.7%-2.1%9.6%2.6%0.5%
Skew 10d6.7%-3.4%19.1%18.3%-1.4%
Call IV 25d22.1%18.2%24.6%20.7%23.3%
Put IV 25d25.8%16.4%29.5%23.3%23.7%
Bid-Ask Spread %77.1947.70101.0747.7065.80
Gamma HHI0.580.390.820.390.71
Net GEX-139.1K-241.3K-18.2K-34.0K-241.3K
Net DEX-2.4M-5.1M-219.4K-4.1M-1.6M
Net VEX-31.7K-34.3K-29.0K-31.9K-30.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.007.140.230.00
Total Volume97.6360570640
Total OI9,1158,6389,5768,8649,062

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$29.07$27.5020.0%5.7%20.4%17.6%24.8%2.6%3.1%-34.0K-4.1M-31.9K0.2347.70N/AN/A52123,8724,992
2013-08-02$29.16$27.5018.4%5.3%17.7%14.2%16.1%-2.1%5.0%-31.0K-4.2M-31.9K0.6992.58N/AN/A32223,8845,002
2013-08-05$29.45$27.5022.3%6.6%17.7%22.6%26.6%9.6%2.7%-37.6K-5.1M-29.0K0.2394.50N/AN/A44103,9045,002
2013-08-06$29.18$27.5017.2%6.9%12.7%11.4%24.8%5.1%4.0%-18.2K-4.7M-30.1K7.1482.62N/AN/A705003,9364,992
2013-08-07$28.93$27.5019.0%7.3%12.7%15.5%25.2%8.2%2.2%-75.7K-3.2M-34.2K0.0092.18N/AN/A4403,9605,452
2013-08-08$28.52$27.5023.5%7.0%13.2%25.2%23.0%4.7%5.0%-99.3K-3.1M-33.1K0.00101.07N/AN/A3604,0005,452
2013-08-09$28.58$27.5020.8%7.3%12.9%19.2%24.8%1.7%3.3%-105.8K-2.5M-34.3K0.7165.83N/AN/A28204,0325,452
2013-08-12$28.65$27.5019.9%7.5%12.8%17.4%0.0%4.9%2.0%-144.0K-2.7M-33.3K0.0077.14N/AN/A1604,0525,472
2013-08-13$28.70$27.5018.4%7.0%10.9%14.2%24.2%5.7%5.3%-157.0K-3.0M-32.1K0.4571.48N/AN/A44204,0525,472
2013-08-14$28.50$27.5021.0%7.2%10.9%19.8%25.3%0.8%3.3%-166.4K-2.7M-32.4K0.0066.16N/AN/A0704,0905,486
2013-08-15$27.90$27.5026.9%7.7%12.8%32.6%27.1%5.9%1.0%-101.9K-1.1M-33.9K1.0058.99N/AN/A22224,0905,442
2013-08-16$27.76$27.5024.4%7.0%12.9%27.2%24.7%5.7%3.4%-43.5K-1.1M-33.1K0.0385.90N/AN/A23064,1105,434
2013-08-19$27.91$27.5026.7%7.7%13.1%32.1%26.7%4.5%1.0%-214.5K-219.4K-31.7K0.2764.77N/AN/A110303,3605,278
2013-08-20$27.95$27.5024.9%7.1%13.2%28.1%23.9%2.3%3.1%-214.6K-765.1K-31.8K0.2693.03N/AN/A78203,4485,272
2013-08-21$28.00$27.5024.9%7.1%13.2%28.2%17.8%4.4%2.9%-226.8K-760.4K-31.5K0.0048.25N/AN/A14603,4785,272
2013-08-22$28.13$27.5027.0%7.7%13.3%32.7%18.0%5.2%1.9%-181.3K-1.6M-31.9K0.0093.45N/AN/A603,6225,272
2013-08-23$28.59$27.5026.6%7.6%14.5%31.8%25.8%3.5%2.2%-212.5K-2.2M-30.1K0.5762.29N/AN/A70403,6225,272
2013-08-26$28.61$27.5023.4%6.7%14.5%24.9%26.8%7.0%11.7%-143.4K-3.3M-29.6K2.5095.31N/AN/A24603,6585,292
2013-08-27$28.19$27.5027.6%7.9%14.8%33.9%24.3%0.3%-0.0%-202.3K-1.7M-30.8K0.1855.92N/AN/A114203,6625,292
2013-08-28$28.45$27.5026.9%7.7%15.2%32.6%23.8%1.1%2.8%-202.1K-2.1M-30.2K0.1289.94N/AN/A100123,6945,292
2013-08-29$28.39$27.5026.6%7.6%14.5%31.9%27.4%-0.2%3.1%-207.9K-2.1M-30.5K0.0093.38N/AN/A1803,7465,304
2013-08-30$28.13$27.5025.6%7.3%14.7%29.6%0.0%0.5%5.4%-241.3K-1.6M-30.3K0.0065.80N/AN/A003,7585,304