WWW Options History — October 2013

In October 2013, WWW traded between $28.66 and $30.39. ATM implied volatility averaged 27.4%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.4% (HV 20d: 20.0%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 2.02.

Notable Days

  • 2013-10-07: Highest Volume — 5,866 contracts
  • 2013-10-08: Largest IV drop — 46.3% change
  • 2013-10-07: Highest IV Rank — 79.5%
  • 2013-10-03: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.18$28.66$30.39$28.98$28.87
Max Pain$29.02$27.50$30.00$27.50$30.00
ATM IV27.4%19.5%48.6%34.6%21.4%
Expected Move7.6%5.6%11.1%9.9%6.1%
HV 20d20.0%13.1%24.1%13.1%22.5%
HV 60d16.4%13.9%18.0%15.7%17.5%
IV Rank33.7%16.4%79.5%49.3%20.5%
IV Percentile43.5%7.1%99.6%90.9%16.3%
Term Structure-0.7%-9.7%2.0%-8.6%2.0%
VWIV27.3%22.6%45.8%37.5%23.5%
Skew 25d4.4%1.9%11.9%3.5%5.3%
Skew 10d6.8%-2.5%15.2%1.6%5.0%
Call IV 25d25.5%20.4%38.2%33.8%22.0%
Put IV 25d29.9%25.8%44.9%37.3%27.4%
Bid-Ask Spread %40.847.8892.4789.6870.99
Gamma HHI0.380.260.710.510.27
Net GEX121.9K-226.6K903.3K-203.9K152.2K
Net DEX-2.8M-8.8M-539.0K-1.3M-2.0M
Net VEX-25.8K-28.8K-23.3K-27.4K-24.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.0124.401.771.09
Total Volume918.087625,8667292
Total OI8,702.876,83610,9968,1827,922

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$28.98$27.5034.6%9.9%13.1%49.3%37.5%3.5%-8.6%-203.9K-1.3M-27.4K1.7789.68N/AN/A26463,3664,816
2013-10-02$29.50$27.5035.7%10.2%14.3%51.6%35.7%11.9%-4.0%-121.9K-2.6M-25.9K0.0192.47N/AN/A14823,3784,854
2013-10-03$29.44$27.5038.8%11.1%14.3%58.3%45.8%6.7%-9.7%-121.5K-2.6M-27.1K1.5756.40N/AN/A3044763,4404,854
2013-10-04$29.30$30.0041.2%8.4%13.7%63.4%0.0%3.9%-2.8%-143.4K-2.3M-27.3K5.9580.32N/AN/A442623,6665,248
2013-10-07$28.93$30.0048.6%9.5%14.6%79.5%33.9%2.9%-3.5%-212.0K-709.0K-28.8K2.9478.55N/AN/A1,4904,3763,6825,504
2013-10-08$29.48$27.5026.1%7.6%15.8%30.8%27.1%4.1%0.1%-226.6K-2.8M-26.6K0.3331.47N/AN/A1,8366124,3906,522
2013-10-09$28.98$27.5021.7%7.2%15.9%21.3%25.3%3.7%1.2%157.2K-3.0M-25.7K0.1119.07N/AN/A590665,0483,450
2013-10-10$29.82$27.5024.1%6.9%18.3%26.4%23.9%4.1%1.1%312.2K-5.4M-23.4K0.1221.02N/AN/A454544,9483,454
2013-10-11$29.82$27.5025.5%7.3%18.2%29.5%26.3%3.3%-0.1%225.8K-5.2M-23.3K0.3022.21N/AN/A1,7265164,8143,424
2013-10-14$30.39$27.5026.3%7.5%19.0%31.2%26.4%5.9%-0.4%506.6K-8.8M-24.6K0.0468.32N/AN/A1,514686,0463,888
2013-10-15$29.52$27.5027.0%7.7%21.8%32.7%26.7%4.1%0.3%903.3K-5.4M-26.8K0.1023.68N/AN/A2,3362247,1043,892
2013-10-16$28.84$30.0024.0%6.9%23.7%26.3%25.6%2.3%1.2%272.9K-1.7M-25.4K3.0327.24N/AN/A3149526,2144,062
2013-10-17$28.66$30.0026.7%7.7%23.8%32.1%26.8%1.9%0.6%106.7K-539.0K-24.4K0.4924.33N/AN/A2481226,3744,232
2013-10-18$28.74$30.0027.0%7.7%23.8%32.7%26.1%2.2%1.2%133.1K-852.0K-25.0K24.4023.51N/AN/A102446,5624,322
2013-10-21$29.13$30.0023.9%6.9%24.1%26.1%23.3%6.6%1.2%135.1K-2.6M-25.0K0.2235.46N/AN/A240524,0682,768
2013-10-22$28.96$30.0023.1%6.6%24.0%24.4%23.5%2.2%1.5%141.9K-2.5M-25.0K1.0125.36N/AN/A3523564,1982,806
2013-10-23$29.02$30.0023.0%6.6%23.6%24.1%22.6%5.8%0.1%111.0K-2.1M-26.7K0.1715.40N/AN/A222384,4523,148
2013-10-24$29.02$30.0023.2%6.7%23.1%24.5%23.8%5.2%0.7%126.5K-2.3M-26.9K0.5712.96N/AN/A122704,5623,170
2013-10-25$29.20$30.0023.0%6.6%23.2%24.1%23.4%5.9%0.8%127.0K-2.7M-27.2K0.987.88N/AN/A84824,5883,222
2013-10-28$28.90$30.0021.6%6.2%23.4%21.1%22.6%5.1%1.5%132.6K-2.2M-26.1K0.1611.71N/AN/A102164,6423,194
2013-10-29$28.82$30.0024.9%7.1%23.4%28.2%24.6%3.1%1.0%142.5K-1.9M-25.2K0.0515.65N/AN/A15884,7243,206
2013-10-30$28.77$30.0019.5%5.6%22.4%16.4%27.2%2.0%-1.3%146.8K-2.1M-24.8K0.9485.53N/AN/A32304,7323,210
2013-10-31$28.87$30.0021.4%6.1%22.5%20.5%23.5%5.3%2.0%152.2K-2.0M-24.4K1.0970.99N/AN/A44484,7383,184