WWW Options History — September 2013

In September 2013, WWW traded between $27.71 and $29.11. ATM implied volatility averaged 30.1%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 15.0% (HV 20d: 15.1%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2013-09-11: Highest Volume — 3,482 contracts
  • 2013-09-09: Largest IV spike — 18.4% change
  • 2013-09-30: Highest IV Rank — 50.0%
  • 2013-09-30: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.37$27.71$29.11$28.63$29.11
Max Pain$27.50$27.50$27.50$27.50$27.50
ATM IV30.1%21.4%35.0%25.5%35.0%
Expected Move8.9%6.1%10.0%7.3%10.0%
HV 20d15.1%13.8%16.4%15.8%14.2%
HV 60d18.6%15.7%20.4%20.4%15.7%
IV Rank39.4%20.6%50.0%29.6%50.0%
IV Percentile66.3%15.9%91.3%32.9%91.3%
Term Structure-1.8%-6.7%14.2%5.5%-6.5%
VWIV32.0%27.3%35.8%30.1%35.1%
Skew 25d4.0%0.1%9.8%5.2%9.8%
Skew 10d9.1%-5.7%20.6%3.5%20.6%
Call IV 25d29.7%22.6%34.7%23.0%29.3%
Put IV 25d33.7%25.6%39.1%28.2%39.1%
Bid-Ask Spread %64.5930.5691.0545.6491.05
Gamma HHI0.660.480.850.650.48
Net GEX-436.5K-1.1M-170.9K-221.7K-170.9K
Net DEX-602.3K-3.7M2.2M-2.9M-1.6M
Net VEX-30.7K-37.5K-26.2K-28.3K-27.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.008.890.100.19
Total Volume223.703,4822238
Total OI10,065.18,04612,7329,0628,172

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$28.63$27.5025.5%7.3%15.8%29.6%0.0%5.2%5.5%-221.7K-2.9M-28.3K0.1045.64N/AN/A2023,7585,304
2013-09-04$28.81$27.5024.1%6.9%15.7%26.3%30.1%5.0%4.6%-181.0K-3.2M-28.2K0.0048.23N/AN/A1003,7785,306
2013-09-05$28.75$27.5021.4%6.1%15.5%20.6%27.3%3.0%14.2%-218.6K-3.3M-27.2K0.5032.60N/AN/A843,7685,306
2013-09-06$28.43$27.5024.5%8.2%15.2%27.4%0.0%2.8%0.1%-271.2K-2.6M-27.4K0.0077.28N/AN/A1403,7685,310
2013-09-09$28.53$27.5029.1%9.0%15.2%37.2%28.4%5.7%-1.0%-281.4K-2.6M-26.3K0.0083.26N/AN/A20803,7745,310
2013-09-10$28.75$27.5026.4%8.9%15.4%31.4%30.7%5.3%-1.5%-181.3K-3.7M-26.2K0.5074.85N/AN/A1263,9765,310
2013-09-11$28.30$27.5026.6%9.2%16.4%31.8%32.3%2.8%-4.2%-244.2K-2.8M-26.2K8.8973.42N/AN/A3523,1303,9805,314
2013-09-12$28.09$27.5031.4%9.0%16.4%42.2%29.9%3.1%-2.9%-626.4K939.0K-37.5K0.0068.57N/AN/A3604,1888,424
2013-09-13$28.04$27.5031.2%8.9%14.6%41.8%31.1%4.1%-2.6%-661.2K1.6M-37.5K0.0768.50N/AN/A2824,2188,424
2013-09-16$28.02$27.5032.4%9.3%14.5%44.3%32.2%5.3%-3.8%-712.6K1.5M-36.1K4.0083.93N/AN/A14564,2328,424
2013-09-17$27.71$27.5032.6%9.3%14.9%44.9%30.1%6.6%-4.6%-840.4K2.2M-35.0K0.0084.72N/AN/A4004,2328,432
2013-09-18$27.95$27.5030.1%8.6%15.2%39.5%35.5%0.7%-1.1%-909.5K2.1M-34.0K1.0076.59N/AN/A40404,2448,430
2013-09-19$28.00$27.5032.6%9.4%15.2%45.0%32.5%4.3%-5.9%-996.5K1.1M-32.9K0.0757.50N/AN/A170124,2348,414
2013-09-20$27.96$27.5032.6%9.3%15.1%44.8%32.0%3.6%-4.5%-1.1M474.9K-32.4K0.2255.58N/AN/A1844,3368,396
2013-09-23$27.85$27.5032.2%9.2%13.8%44.1%32.0%0.1%-2.5%-243.8K1.7M-31.0K0.9285.57N/AN/A26243,2764,770
2013-09-24$28.16$27.5032.6%9.3%14.5%44.9%33.6%0.2%-2.8%-308.6K1.3M-30.0K1.1161.16N/AN/A18203,2624,794
2013-09-25$28.55$27.5033.9%9.7%14.4%47.7%35.8%5.0%-3.2%-215.4K33.5K-30.0K0.1449.24N/AN/A88123,2764,814
2013-09-26$28.92$27.5033.7%9.6%14.7%47.1%34.5%5.3%-6.2%-193.5K-888.8K-30.1K0.0043.45N/AN/A2203,3604,816
2013-09-27$28.95$27.5033.5%9.6%14.7%46.9%0.0%1.2%-6.7%-170.9K-1.4M-29.6K0.0030.56N/AN/A003,3564,816
2013-09-30$29.11$27.5035.0%10.0%14.2%50.0%35.1%9.8%-6.5%-170.9K-1.6M-27.5K0.1991.05N/AN/A3263,3564,816