WWW Options History — March 2008

In March 2008, WWW traded between $12.98 and $14.96. ATM implied volatility averaged 41.0%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 6.0% (HV 20d: 35.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.33.

Notable Days

  • 2008-03-24: Highest Volume — 430 contracts
  • 2008-03-14: Largest IV spike — 38.8% change
  • 2008-03-17: Highest IV Rank — 74.4%
  • 2008-03-17: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.87$12.98$14.96$13.50$14.51
Max Pain$13.13$12.50$15.00$12.50$15.00
ATM IV41.0%32.7%49.0%43.6%44.7%
Expected Move12.3%9.7%14.1%12.5%12.8%
HV 20d35.0%28.6%42.0%31.7%42.0%
HV 60d46.2%44.1%48.1%44.8%47.7%
IV Rank52.9%18.8%74.4%23.6%64.5%
IV Percentile67.2%37.7%95.2%82.5%83.7%
Term Structure2.0%-1.3%7.9%1.7%-0.7%
VWIV40.6%30.5%47.1%43.1%45.3%
Skew 25d7.0%-2.3%17.8%2.5%9.0%
Skew 10d13.9%-4.4%28.2%-0.9%28.2%
Call IV 25d37.8%26.0%43.4%40.2%39.2%
Put IV 25d44.8%27.9%51.2%42.6%48.3%
Bid-Ask Spread %59.3022.5587.6078.1975.12
Gamma HHI0.470.410.700.470.43
Net GEX-3.4K-48.2K55.5K-24.6K12.6K
Net DEX-871.0K-1.5M-267.8K-504.2K-950.8K
Net VEX-8.7K-9.1K-8.5K-8.5K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.0011.000.000.00
Total Volume127.8043023280
Total OI5,4303,9866,4105,3784,276

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$13.50$12.5043.6%12.5%31.7%23.6%43.1%2.5%1.7%-24.6K-504.2K-8.5K0.0078.19N/AN/A23202,3962,982
2008-03-04$13.46$12.5038.0%10.9%31.5%18.8%40.3%0.1%7.9%-21.2K-651.9K-8.7K0.0087.60N/AN/A0402,5722,982
2008-03-05$13.44$12.5039.3%11.3%29.2%52.5%31.9%-1.6%2.0%-20.7K-650.2K-8.7K2.2057.53N/AN/A10222,5723,012
2008-03-06$13.03$12.5038.5%11.0%31.6%50.7%0.0%4.7%4.5%-43.7K-267.8K-8.7K0.0072.61N/AN/A002,5723,006
2008-03-07$13.27$12.5039.9%13.3%28.6%53.8%0.0%10.0%0.2%-31.0K-491.6K-8.5K0.0040.63N/AN/A34002,5723,006
2008-03-10$12.98$12.5036.5%12.2%29.3%46.2%0.0%3.9%2.8%-48.2K-377.3K-9.0K0.0049.63N/AN/A01042,8623,006
2008-03-11$13.66$12.5036.2%13.3%33.6%45.4%0.0%17.8%0.7%-4.8K-934.3K-8.9K0.8755.13N/AN/A1241082,8623,078
2008-03-12$13.74$12.5032.7%13.1%33.5%37.6%35.1%-2.3%-0.1%3.0K-1.1M-8.5K1.0041.90N/AN/A60602,9103,186
2008-03-13$13.90$12.5033.8%9.7%33.6%40.1%0.0%9.3%6.5%13.8K-1.1M-8.6K0.0050.57N/AN/A0202,9503,246
2008-03-14$13.44$12.5046.9%13.4%35.2%69.5%46.9%7.6%-1.3%-17.9K-847.2K-8.7K1.0771.82N/AN/A60642,9503,266
2008-03-17$13.51$12.5049.0%14.1%33.8%74.4%47.1%10.3%0.7%-10.0K-939.7K-8.7K0.0063.40N/AN/A2002,9703,322
2008-03-18$13.96$12.5036.3%10.4%33.4%45.8%36.3%10.8%5.0%17.2K-1.2M-8.6K0.1947.95N/AN/A54102,9903,322
2008-03-19$13.65$12.5042.8%12.3%34.3%60.3%30.5%4.7%2.2%-3.8K-1.1M-8.5K4.0043.61N/AN/A361442,9703,332
2008-03-20$14.44$12.5041.2%11.8%38.6%56.8%41.2%12.0%3.5%55.5K-1.5M-8.7K0.0045.32N/AN/A29802,9883,422
2008-03-24$14.96$12.5043.5%12.5%39.3%61.8%43.1%12.6%0.3%14.1K-1.2M-8.5K0.6476.83N/AN/A2621681,9542,032
2008-03-25$14.72$15.0044.8%12.8%39.9%64.9%45.7%6.3%0.2%11.2K-1.1M-9.1K0.1722.55N/AN/A120202,1082,146
2008-03-26$14.61$15.0044.2%12.7%40.0%63.5%40.7%7.7%1.1%10.6K-942.3K-9.0K0.0567.89N/AN/A4422,0782,166
2008-03-27$14.50$15.0045.3%13.0%40.1%66.0%45.3%7.2%1.1%10.7K-933.5K-9.0K0.0769.32N/AN/A2822,0942,168
2008-03-28$14.14$15.0043.8%12.5%41.4%62.5%0.0%6.6%1.7%9.7K-683.7K-8.8K11.0068.45N/AN/A2222,1062,168
2008-03-31$14.51$15.0044.7%12.8%42.0%64.5%0.0%9.0%-0.7%12.6K-950.8K-8.5K0.0075.12N/AN/A8002,1062,170