WWW Options History — January 2008

In January 2008, WWW traded between $10.11 and $12.65. ATM implied volatility averaged 47.4%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 7.2% (HV 20d: 40.2%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2008-01-30: Highest Volume — 894 contracts
  • 2008-01-04: Largest IV spike — 14.3% change
  • 2008-01-08: Highest IV Rank — 31.6%
  • 2008-01-23: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.94$10.11$12.65$11.90$12.65
Max Pain$11.37$11.25$12.50$12.50$11.25
ATM IV47.4%39.3%53.0%39.4%39.3%
Expected Move13.5%11.3%15.0%11.3%11.3%
HV 20d40.2%29.7%65.0%29.7%65.0%
HV 60d41.0%38.2%47.5%38.2%47.5%
IV Rank26.9%19.9%31.6%20.4%19.9%
IV Percentile92.4%63.9%99.2%72.1%63.9%
Term Structure-2.0%-6.5%4.3%4.2%1.6%
VWIV46.6%38.4%59.9%39.6%47.6%
Skew 25d4.6%-4.6%15.9%3.1%12.0%
Skew 10d7.1%-9.3%29.6%3.4%19.6%
Call IV 25d42.6%32.5%54.0%39.5%32.5%
Put IV 25d47.2%34.1%56.8%42.6%44.5%
Bid-Ask Spread %51.1925.0278.9473.7834.78
Gamma HHI0.360.320.450.450.36
Net GEX-20.1K-39.2K-9.1K-39.2K-9.1K
Net DEX1.3M-135.9K1.8M981.1K-135.9K
Net VEX-6.0K-8.1K-4.2K-8.1K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.007.500.601.00
Total Volume133.429089416248
Total OI4,545.6193,9624,7624,4984,728

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$11.90$12.5039.4%11.3%29.7%20.4%39.6%3.1%4.2%-39.2K981.1K-8.1K0.6073.78N/AN/A1061,9662,532
2008-01-03$11.41$12.5040.4%11.6%32.4%21.3%38.4%0.0%4.3%-34.0K1.2M-7.3K2.9178.94N/AN/A441281,9562,532
2008-01-04$10.99$11.2546.2%13.3%31.7%26.2%49.8%-0.8%-1.9%-27.8K1.4M-6.8K0.0057.39N/AN/A11001,9962,542
2008-01-07$10.96$11.2548.4%13.5%29.7%27.6%44.7%-4.2%-4.2%-23.7K1.5M-6.5K0.0030.11N/AN/A2002,1042,542
2008-01-08$10.65$11.2553.0%13.6%30.4%31.6%0.0%1.6%-4.1%-21.5K1.5M-6.1K1.3835.06N/AN/A32442,1242,542
2008-01-09$11.02$11.2547.3%13.4%33.6%26.7%44.1%15.9%-3.9%-25.9K1.6M-6.2K0.0025.02N/AN/A2002,1102,568
2008-01-10$10.90$11.2545.8%13.1%33.0%25.4%0.0%-4.6%-3.0%-23.4K1.6M-5.9K3.5025.91N/AN/A401402,0922,568
2008-01-11$10.55$11.2547.4%13.6%33.7%26.8%46.0%-2.9%-1.3%-20.9K1.8M-5.1K0.0047.64N/AN/A602,1322,630
2008-01-14$10.47$11.2547.5%13.6%33.7%26.9%0.0%5.9%1.2%-18.2K1.7M-5.0K0.0037.60N/AN/A002,1382,484
2008-01-15$10.23$11.2549.3%14.1%33.9%28.4%49.2%5.7%-0.9%-14.0K1.8M-4.4K7.5038.40N/AN/A4302,1382,478
2008-01-16$10.11$11.2549.8%14.3%33.2%28.8%0.0%3.1%-2.7%-13.5K1.7M-4.5K0.0056.94N/AN/A002,1342,456
2008-01-17$10.32$11.2550.6%14.5%34.7%29.6%45.1%9.2%-3.0%-16.8K1.8M-4.2K0.0054.50N/AN/A0102,1342,406
2008-01-18$10.37$11.2550.3%14.4%35.0%29.3%0.0%8.7%-3.1%-17.5K1.8M-4.2K0.0066.26N/AN/A402,1342,416
2008-01-22$10.86$11.2550.7%14.5%39.5%29.6%59.9%8.1%-5.0%-15.3K1.0M-5.3K1.0257.95N/AN/A1081102,0081,954
2008-01-23$11.63$11.2552.2%15.0%46.0%30.9%52.9%15.5%-6.3%-19.9K756.7K-6.4K0.8055.58N/AN/A1761402,1162,038
2008-01-24$10.78$11.2551.2%14.7%52.4%30.1%47.5%1.1%-6.5%-16.6K928.7K-6.3K0.5862.92N/AN/A148862,2562,150
2008-01-25$10.60$11.2549.6%14.2%52.3%28.7%0.0%6.6%-0.1%-16.3K1.1M-6.0K0.3351.08N/AN/A60202,3402,210
2008-01-28$10.76$11.2547.7%13.7%52.4%27.1%0.0%11.8%-3.1%-17.9K1.1M-5.9K1.0064.68N/AN/A20202,3782,230
2008-01-29$10.91$11.2547.8%13.7%52.9%27.1%0.0%3.3%-2.3%-19.1K1.0M-6.2K0.0068.09N/AN/A01242,3982,210
2008-01-30$11.65$11.2541.2%11.8%58.7%21.5%41.3%-3.4%-1.0%-11.8K417.7K-7.4K0.0952.39N/AN/A820742,3982,190
2008-01-31$12.65$11.2539.3%11.3%65.0%19.9%47.6%12.0%1.6%-9.1K-135.9K-7.6K1.0034.78N/AN/A1241242,5142,214