WWW Options History — November 2013

In November 2013, WWW traded between $29.30 and $33.04. ATM implied volatility averaged 26.1%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.0% (HV 20d: 21.0%). Max pain ranged from $27.50 to $32.50. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.16.

Notable Days

  • 2013-11-01: Highest Volume — 9,600 contracts
  • 2013-11-04: Largest IV spike — 26.8% change
  • 2013-11-11: Highest IV Rank — 50.2%
  • 2013-11-04: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.88$29.30$33.04$29.30$32.91
Max Pain$32.13$27.50$32.50$30.00$32.50
ATM IV26.1%21.2%35.0%23.3%22.7%
Expected Move6.8%6.1%7.5%6.7%6.5%
HV 20d21.0%17.7%24.2%23.1%23.4%
HV 60d19.2%17.6%21.1%17.6%20.8%
IV Rank34.6%24.7%50.2%24.7%29.5%
IV Percentile44.0%15.5%92.9%27.0%24.6%
Term Structure2.3%-1.7%8.3%0.1%-1.7%
VWIV23.6%13.4%28.0%23.5%22.3%
Skew 25d4.0%-1.9%11.2%7.9%11.2%
Skew 10d8.2%-9.9%42.5%12.1%18.2%
Call IV 25d22.0%13.5%26.2%21.8%15.5%
Put IV 25d26.0%19.6%29.8%29.8%26.8%
Bid-Ask Spread %48.5217.04105.2155.3139.52
Gamma HHI0.740.270.950.270.93
Net GEX-939.6K-1.8M165.4K165.4K-1.8M
Net DEX10.8M-2.9M20.2M-2.9M391.1K
Net VEX-42.9K-50.7K-11.2K-24.3K-42.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.0031.2131.210.36
Total Volume727.369,6009,60019
Total OI16,0473,98118,0437,96216,622

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$29.30$30.0023.3%6.7%23.1%24.7%23.5%7.9%0.1%165.4K-2.9M-24.3K31.2155.31N/AN/A2989,3024,7443,218
2013-11-04$29.64$27.5029.6%7.5%22.9%38.3%27.0%5.5%6.5%100.3K-1.9M-11.2K1.78105.21N/AN/A1522702,3721,609
2013-11-05$30.03$32.5029.2%7.0%22.4%37.5%25.5%-0.5%5.1%-704.7K17.4M-49.2K0.0849.32N/AN/A684564,96912,572
2013-11-06$30.26$32.5026.5%7.0%21.5%31.7%24.6%3.1%4.0%-709.9K16.4M-50.7K0.0442.56N/AN/A21585,34112,591
2013-11-07$29.48$32.5031.0%7.2%21.4%41.4%25.4%1.2%0.3%-473.5K19.6M-46.8K0.4342.45N/AN/A107465,45712,586
2013-11-08$29.75$32.5029.8%6.9%21.7%38.8%24.1%2.6%2.7%-535.6K19.0M-45.0K2.0032.76N/AN/A245,41012,593
2013-11-11$29.60$32.5035.0%6.8%20.5%50.2%26.8%0.0%3.4%-472.0K19.9M-41.4K0.2886.10N/AN/A69195,41112,589
2013-11-12$29.68$32.5034.8%6.5%17.7%49.7%24.0%1.3%8.3%-460.7K20.2M-37.5K1.5085.86N/AN/A8125,38612,574
2013-11-13$30.51$32.5027.6%6.8%17.9%42.8%28.0%2.7%4.3%-821.0K15.2M-48.0K0.0020.97N/AN/A0705,38012,562
2013-11-14$30.43$32.5023.0%6.6%17.7%30.2%25.4%2.3%4.8%-836.0K15.8M-45.6K1.2517.04N/AN/A1231545,27412,514
2013-11-15$31.10$32.5024.5%7.0%18.9%34.3%23.8%5.0%3.0%-1.1M12.2M-49.9K0.0427.46N/AN/A416175,21212,469
2013-11-18$30.70$32.5023.4%6.7%19.5%31.3%22.5%-1.9%1.0%-1.0M15.4M-42.7K0.7535.95N/AN/A2732044,55111,717
2013-11-19$30.92$32.5023.7%6.8%19.3%32.2%22.3%3.6%0.9%-1.0M14.8M-45.8K0.2972.64N/AN/A95284,69611,779
2013-11-20$30.87$32.5025.1%7.2%19.4%36.0%23.7%4.3%1.0%-1.0M14.5M-46.1K0.1123.55N/AN/A112124,68111,804
2013-11-21$31.11$32.5024.6%7.1%19.4%34.8%20.4%4.1%-0.2%-1.1M13.6M-46.0K0.0026.44N/AN/A3204,64011,814
2013-11-22$32.52$32.5021.2%6.1%24.2%25.3%21.3%6.1%0.4%-1.7M4.1M-49.1K0.0589.26N/AN/A1,075594,62011,814
2013-11-25$32.83$32.5022.7%6.5%23.5%29.5%22.4%5.1%0.6%-1.7M2.0M-46.5K0.0562.54N/AN/A227114,51411,854
2013-11-26$32.99$32.5021.6%6.2%23.3%26.4%13.4%6.1%1.0%-1.8M306.1K-45.0K0.0024.86N/AN/A14104,63511,861
2013-11-27$33.04$32.5022.3%6.4%23.1%28.3%26.3%9.9%0.2%-1.8M106.5K-44.2K0.8730.52N/AN/A1211054,64411,861
2013-11-29$32.91$32.5022.7%6.5%23.4%29.5%22.3%11.2%-1.7%-1.8M391.1K-42.7K0.3639.52N/AN/A1454,75611,866