WWW Options History — April 2008

In April 2008, WWW traded between $13.54 and $15.38. ATM implied volatility averaged 43.9%, placing in the 62.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 2.7% (HV 20d: 46.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 3.40.

Notable Days

  • 2008-04-16: Highest Volume — 1,070 contracts
  • 2008-04-24: Largest IV drop — 23.6% change
  • 2008-04-15: Highest IV Rank — 78.9%
  • 2008-04-15: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.44$13.54$15.38$15.13$14.37
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV43.9%37.7%51.1%45.8%38.3%
Expected Move12.5%10.8%14.6%13.1%11.0%
HV 20d46.6%40.2%53.9%43.8%46.2%
HV 60d46.1%40.9%50.7%47.4%40.9%
IV Rank62.7%48.9%78.9%67.0%50.2%
IV Percentile73.9%36.9%98.4%88.9%39.3%
Term Structure-1.0%-6.0%2.8%-0.9%0.7%
VWIV45.9%37.5%52.5%45.2%38.3%
Skew 25d8.4%3.2%14.5%11.0%3.2%
Skew 10d20.1%3.9%30.4%27.4%3.9%
Call IV 25d39.5%34.2%42.8%38.1%40.6%
Put IV 25d47.9%43.7%50.6%49.1%43.7%
Bid-Ask Spread %52.2035.6779.2635.8242.32
Gamma HHI0.380.310.460.420.43
Net GEX2.3K-19.8K16.8K14.6K16.1K
Net DEX-678.5K-1.5M838.9K-1.3M-973.2K
Net VEX-8.1K-8.6K-7.0K-8.5K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.400.0014.872.500.07
Total Volume232.63601,07028298
Total OI4,587.0914,1825,7584,3024,204

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$15.13$15.0045.8%13.1%43.8%67.0%0.0%11.0%-0.9%14.6K-1.3M-8.5K2.5035.82N/AN/A8202,1322,170
2008-04-02$15.38$15.0043.3%12.4%43.9%61.3%0.0%10.9%2.8%13.3K-1.5M-8.6K0.0046.32N/AN/A002,1402,190
2008-04-03$15.22$15.0045.1%12.9%44.2%65.6%45.2%9.1%-0.5%13.6K-1.4M-8.5K7.0068.73N/AN/A181262,1402,190
2008-04-04$15.00$15.0046.1%12.7%42.8%67.7%0.0%7.0%0.0%7.9K-1.2M-8.4K0.0035.67N/AN/A802,1482,314
2008-04-07$14.55$15.0045.8%12.7%44.5%67.1%0.0%6.1%-0.6%6.8K-896.1K-8.4K0.0041.24N/AN/A1002,1562,314
2008-04-08$14.54$15.0045.7%12.4%43.5%66.9%0.0%8.4%1.5%6.3K-849.9K-8.4K5.0045.08N/AN/A201002,1662,314
2008-04-09$14.52$15.0045.4%13.2%40.2%66.1%50.0%5.7%-1.9%-742-713.0K-8.4K0.1237.79N/AN/A3442,1862,414
2008-04-10$15.13$15.0043.1%12.4%42.4%61.0%52.1%11.8%-1.9%3.6K-1.2M-8.1K10.0755.55N/AN/A303022,1922,414
2008-04-11$14.44$15.0044.0%12.6%46.0%63.1%0.0%5.3%-0.6%-17.1K-513.0K-8.4K0.4348.51N/AN/A120522,2222,714
2008-04-14$14.66$15.0047.1%13.5%44.2%70.1%47.2%8.7%-2.8%-12.8K-631.8K-8.4K3.1452.41N/AN/A1023202,2822,746
2008-04-15$15.05$15.0051.1%14.6%44.9%78.9%52.5%9.3%-6.0%-19.8K-898.2K-8.3K14.8751.54N/AN/A608922,3402,966
2008-04-16$13.85$15.0042.6%12.2%53.6%60.0%42.9%6.9%-1.7%-16.3K838.9K-8.2K3.8663.73N/AN/A2208502,3583,400
2008-04-17$14.27$15.0041.7%12.0%53.9%57.9%49.8%11.3%1.0%-3.3K-98.5K-8.1K4.2745.11N/AN/A301282,3942,794
2008-04-18$14.20$15.0041.7%12.0%50.1%57.9%42.3%4.8%-0.0%2.8K-370.8K-8.0K4.0069.39N/AN/A18722,4162,550
2008-04-21$13.94$15.0043.4%12.4%48.5%61.7%43.7%7.1%-2.1%2.7K-432.1K-7.7K0.1349.82N/AN/A176221,9722,224
2008-04-22$13.54$15.0050.2%14.4%49.1%76.9%50.0%12.7%-2.3%-852-126.7K-7.5K1.1444.05N/AN/A1401601,9722,224
2008-04-23$13.61$15.0049.4%14.2%49.2%75.1%0.0%8.4%-5.2%-1.8K-147.6K-8.0K0.0066.08N/AN/A03342,1042,358
2008-04-24$13.77$15.0037.7%10.8%49.5%48.9%37.5%14.5%0.8%845-248.9K-8.0K5.5056.85N/AN/A402202,1042,370
2008-04-25$13.87$15.0039.1%11.2%48.8%52.0%45.1%7.1%-1.3%5.9K-484.3K-7.5K6.0079.26N/AN/A201202,1142,126
2008-04-28$14.10$15.0040.0%11.5%48.3%54.1%0.0%7.3%-0.7%12.0K-758.9K-7.3K0.0077.23N/AN/A3202,1342,048
2008-04-29$14.48$15.0038.4%11.0%46.7%50.5%0.0%8.9%0.6%16.8K-977.8K-7.2K0.0035.94N/AN/A1202,1522,048
2008-04-30$14.37$15.0038.3%11.0%46.2%50.2%38.3%3.2%0.7%16.1K-973.2K-7.0K0.0742.32N/AN/A278202,1562,048