WWW Options History — February 2008

In February 2008, WWW traded between $12.53 and $13.49. ATM implied volatility averaged 41.8%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 14.1% (HV 20d: 55.9%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.20.

Notable Days

  • 2008-02-07: Highest Volume — 594 contracts
  • 2008-02-13: Largest IV spike — 51.6% change
  • 2008-02-11: Highest IV Rank — 27.0%
  • 2008-02-13: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.12$12.53$13.49$13.04$13.25
Max Pain$12.44$11.25$12.50$11.25$12.50
ATM IV41.8%29.9%47.6%42.9%39.8%
Expected Move12.2%11.1%13.1%12.3%11.4%
HV 20d55.9%32.8%63.4%63.4%32.8%
HV 60d46.2%44.8%47.5%47.5%44.8%
IV Rank22.1%11.9%27.0%23.0%20.3%
IV Percentile73.9%40.5%92.9%82.5%59.9%
Term Structure-0.2%-4.9%2.5%-0.0%1.3%
VWIV42.2%31.8%65.7%44.9%65.7%
Skew 25d3.7%-0.8%10.5%10.5%1.0%
Skew 10d5.5%-10.7%14.6%5.7%-6.6%
Call IV 25d39.3%31.9%42.7%31.9%38.9%
Put IV 25d43.0%39.4%46.9%42.4%39.8%
Bid-Ask Spread %63.9839.7789.2142.9789.21
Gamma HHI0.430.390.470.390.47
Net GEX-17.7K-31.4K2.5K2.5K-27.6K
Net DEX-352.2K-727.3K-23.9K-516.5K-358.4K
Net VEX-9.1K-9.8K-8.0K-8.0K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.005.650.771.43
Total Volume151.8059452834
Total OI5,279.24,7265,6644,7265,350

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$13.04$11.2542.9%12.3%63.4%23.0%44.9%10.5%-0.0%2.5K-516.5K-8.0K0.7742.97N/AN/A2982302,4942,232
2008-02-04$12.93$12.5042.1%11.7%61.6%22.3%36.3%5.5%-0.9%-2.1K-506.1K-8.2K0.0064.10N/AN/A602,6782,364
2008-02-05$12.54$12.5043.6%12.4%62.9%23.6%41.2%-0.8%-0.1%-8.6K-193.9K-8.0K3.6263.50N/AN/A843042,6822,364
2008-02-06$12.53$12.5042.2%12.3%61.7%22.4%43.2%1.1%1.1%-14.1K-23.9K-8.7K1.1065.61N/AN/A2222442,6482,628
2008-02-07$13.06$12.5043.4%12.4%62.2%23.4%40.8%5.1%2.1%-8.0K-353.4K-9.7K0.0865.88N/AN/A550442,8022,822
2008-02-08$12.90$12.5042.1%12.5%62.3%22.3%0.0%2.8%0.8%-16.1K-284.5K-9.4K0.0057.13N/AN/A6602,4302,822
2008-02-11$13.19$12.5047.6%12.9%60.6%27.0%0.0%6.8%-0.0%-11.3K-544.8K-9.3K2.2068.63N/AN/A20442,4762,822
2008-02-12$13.31$12.5029.9%12.8%60.1%11.9%41.1%3.3%-2.0%-12.0K-712.2K-9.2K2.8339.77N/AN/A581642,4962,822
2008-02-13$13.42$12.5045.3%13.1%58.8%25.0%0.0%6.6%-1.5%-12.4K-727.3K-9.6K0.0060.73N/AN/A002,4862,986
2008-02-14$13.17$12.5043.1%12.4%59.2%23.2%43.8%4.4%1.4%-15.8K-606.8K-9.4K5.6541.23N/AN/A402262,4862,986
2008-02-15$12.84$12.5041.8%12.0%60.6%22.0%42.0%2.0%2.5%-28.5K-138.4K-9.8K0.2746.48N/AN/A52142,5063,158
2008-02-19$13.30$12.5045.8%13.1%61.2%25.4%41.2%5.0%-4.9%-21.5K-209.0K-9.7K0.5043.51N/AN/A422,2402,920
2008-02-20$13.49$12.5045.7%13.1%59.9%25.3%0.0%6.4%-2.6%-17.9K-336.5K-9.7K0.0072.89N/AN/A1202,2402,920
2008-02-21$13.23$12.5038.6%11.1%56.7%19.3%38.4%1.0%0.4%-27.5K-215.0K-9.2K0.0075.41N/AN/A17402,2502,920
2008-02-22$13.02$12.5039.4%11.3%48.4%20.0%40.6%3.2%-1.5%-31.4K-36.8K-9.4K2.0075.60N/AN/A20402,3302,920
2008-02-25$13.26$12.5039.8%11.4%47.5%20.3%39.9%4.9%-0.4%-25.5K-277.0K-9.0K1.1078.27N/AN/A20222,3502,948
2008-02-26$13.19$12.5041.5%11.9%47.8%21.8%0.0%-0.3%-0.9%-26.1K-268.8K-9.2K0.0082.92N/AN/A022,3702,958
2008-02-27$13.36$12.5041.7%12.0%47.8%21.9%0.0%4.3%-0.7%-28.8K-280.4K-8.9K0.0057.12N/AN/A1802,3702,960
2008-02-28$13.36$12.5040.2%11.5%43.2%20.7%31.8%1.9%1.7%-21.7K-453.8K-8.8K0.1088.73N/AN/A2022,3882,960
2008-02-29$13.25$12.5039.8%11.4%32.8%20.3%65.7%1.0%1.3%-27.6K-358.4K-8.7K1.4389.21N/AN/A14202,3882,962