WWW Options History — December 2013

In December 2013, WWW traded between $32.17 and $33.96. ATM implied volatility averaged 23.4%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.7% (HV 20d: 20.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2013-12-20: Highest Volume — 928 contracts
  • 2013-12-12: Largest IV spike — 26.0% change
  • 2013-12-12: Highest IV Rank — 48.7%
  • 2013-12-12: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.79$32.17$33.96$32.65$33.96
Max Pain$30.71$30.00$35.00$32.50$35.00
ATM IV23.4%19.5%29.8%22.7%22.0%
Expected Move6.8%5.6%8.5%6.5%6.3%
HV 20d20.7%16.3%23.9%23.8%17.1%
HV 60d21.1%20.4%21.6%20.7%21.5%
IV Rank31.5%20.7%48.7%29.4%27.7%
IV Percentile31.5%7.5%69.0%23.8%23.8%
Term Structure2.9%-3.0%11.4%1.1%2.0%
VWIV22.4%12.8%28.3%24.4%24.7%
Skew 25d5.6%-0.4%37.8%10.7%37.8%
Skew 10d8.3%-1.0%50.2%17.3%50.2%
Call IV 25d21.7%14.8%28.0%17.2%24.8%
Put IV 25d27.3%19.9%62.6%27.8%62.6%
Bid-Ask Spread %91.7814.70115.4514.7020.15
Gamma HHI0.800.381.000.940.38
Net GEX-2.8M-10.4M58.5K-2.0M51.0K
Net DEX4.3M-5.4M13.3M2.7M-2.0M
Net VEX-22.8K-41.6K-7.2K-41.6K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.0016.190.820.04
Total Volume118.9050928151102
Total OI11,763.7621,67416,61316,6131,860

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$32.65$32.5022.7%6.5%23.8%29.4%24.4%10.7%1.1%-2.0M2.7M-41.6K0.8214.70N/AN/A83684,74211,871
2013-12-03$32.50$32.5022.3%6.4%23.9%28.3%0.0%-0.0%-0.3%-2.2M7.5M-38.7K0.0096.46N/AN/A1503,86111,902
2013-12-04$32.65$32.5024.8%7.1%23.7%35.2%24.8%7.2%0.6%-2.0M6.1M-39.0K1.5482.43N/AN/A28433,86311,902
2013-12-05$32.61$32.5023.7%6.8%23.7%32.3%23.6%5.1%1.1%-2.1M5.4M-38.3K3.0081.37N/AN/A263,88511,887
2013-12-06$32.34$30.0022.1%7.8%21.5%27.7%18.2%4.2%-3.0%-2.3M8.5M-35.9K1.0092.85N/AN/A663,88511,889
2013-12-09$32.99$30.0027.5%6.7%22.1%42.5%0.0%1.7%2.7%-2.4M3.1M-31.4K0.0096.30N/AN/A1103,88511,887
2013-12-10$32.68$30.0024.0%6.9%22.4%33.1%0.0%4.1%-1.1%-2.5M3.3M-31.6K0.0094.27N/AN/A003,88511,887
2013-12-11$32.17$30.0023.6%8.1%23.6%32.0%25.0%0.4%-0.7%-2.6M10.2M-30.3K0.1791.40N/AN/A252433,84611,887
2013-12-12$32.17$30.0029.8%8.5%21.9%48.7%28.3%6.5%1.9%-3.2M11.5M-27.8K0.0098.10N/AN/A6703,77611,908
2013-12-13$32.23$30.0024.8%7.1%21.8%35.2%0.0%-0.4%2.9%-4.6M11.6M-26.8K0.00101.53N/AN/A203,78511,908
2013-12-16$32.26$30.0025.8%7.4%20.7%38.0%23.3%4.4%0.3%-3.8M9.6M-23.7K0.40115.45N/AN/A1043,78511,908
2013-12-17$32.35$30.0025.8%7.4%19.9%37.9%12.8%3.7%0.5%-4.8M9.5M-21.9K1.25100.58N/AN/A453,78511,908
2013-12-18$33.01$30.0025.7%7.4%20.8%37.6%0.0%10.0%11.4%-4.2M-5.4M-14.1K0.34109.66N/AN/A180613,78011,912
2013-12-19$32.35$30.0026.2%7.5%22.4%39.0%24.9%3.2%1.6%-10.4M13.3M-16.8K0.26101.05N/AN/A168443,70011,948
2013-12-20$32.59$30.0019.5%5.6%22.4%20.7%0.0%1.7%9.0%-9.4M4.1M-15.1K16.19108.54N/AN/A548743,67711,972
2013-12-23$32.98$30.0019.5%5.6%16.5%20.7%22.1%1.2%6.7%47.2K-1.6M-8.0K0.06111.49N/AN/A3221,072602
2013-12-24$33.19$30.0019.6%5.6%16.3%21.1%25.7%4.4%7.2%48.7K-1.8M-7.8K0.00109.31N/AN/A1601,078601
2013-12-26$33.57$30.0020.2%5.8%16.7%22.7%14.1%9.5%10.8%51.9K-1.9M-7.7K0.00113.88N/AN/A2901,085601
2013-12-27$33.40$30.0021.0%6.0%16.8%24.9%0.0%-0.1%3.2%54.9K-1.9M-7.7K3.3397.99N/AN/A3101,105601
2013-12-30$33.88$30.0021.4%6.1%17.4%25.9%21.4%1.8%3.5%58.5K-2.1M-7.2K0.6289.88N/AN/A1651021,107611
2013-12-31$33.96$35.0022.0%6.3%17.1%27.7%24.7%37.8%2.0%51.0K-2.0M-8.0K0.0420.15N/AN/A9841,176684