WWW Options History — May 2008

In May 2008, WWW traded between $13.73 and $14.80. ATM implied volatility averaged 35.3%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 3.1% (HV 20d: 32.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.91.

Notable Days

  • 2008-05-07: Highest Volume — 886 contracts
  • 2008-05-14: Largest IV drop — 19.0% change
  • 2008-05-13: Highest IV Rank — 53.2%
  • 2008-05-06: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.45$13.73$14.80$14.75$14.36
Max Pain$12.74$12.50$15.00$15.00$12.50
ATM IV35.3%32.1%39.6%36.7%33.0%
Expected Move10.2%9.3%11.1%10.5%9.5%
HV 20d32.3%20.7%47.3%47.3%20.9%
HV 60d39.2%38.3%40.6%40.6%39.0%
IV Rank43.6%36.3%53.2%46.7%38.3%
IV Percentile27.5%18.7%48.4%32.1%19.4%
Term Structure2.6%0.2%5.0%1.4%1.4%
VWIV36.6%27.5%46.0%36.8%27.5%
Skew 25d5.6%-4.8%13.3%10.8%-4.8%
Skew 10d10.6%-5.2%22.6%18.4%-5.2%
Call IV 25d33.9%27.7%38.1%34.5%32.3%
Put IV 25d39.5%26.7%45.3%45.3%27.5%
Bid-Ask Spread %53.6913.8484.4784.4759.83
Gamma HHI0.430.300.630.410.61
Net GEX14.6K5.9K24.4K15.6K23.0K
Net DEX-915.4K-1.4M-344.6K-1.1M-951.0K
Net VEX-9.6K-11.4K-6.3K-6.8K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.0018.260.000.00
Total Volume147.238088621810
Total OI5,165.4294,0865,6644,1305,392

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$14.75$15.0036.7%10.5%47.3%46.7%36.8%10.8%1.4%15.6K-1.1M-6.8K0.0084.47N/AN/A21802,0822,048
2008-05-02$14.80$15.0034.7%9.9%47.1%42.1%34.7%9.0%3.5%15.7K-1.2M-6.5K0.5984.35N/AN/A34202,0382,048
2008-05-05$14.71$12.5036.6%11.0%45.8%46.4%38.4%5.2%2.8%14.4K-1.1M-6.3K7.0064.20N/AN/A2142,0422,068
2008-05-06$14.63$12.5037.8%11.1%45.9%49.1%38.4%6.8%2.5%15.1K-1.1M-6.4K0.6863.30N/AN/A4182842,0442,076
2008-05-07$14.73$12.5036.8%10.7%46.0%46.9%46.0%6.1%2.5%21.0K-1.4M-8.7K18.2663.06N/AN/A468402,4322,300
2008-05-08$14.77$12.5038.4%10.9%43.4%50.3%38.0%4.0%2.2%7.3K-979.3K-11.0K0.0049.52N/AN/A5202,4782,888
2008-05-09$14.48$12.5034.7%10.6%40.7%42.2%35.5%5.6%3.4%6.2K-782.3K-11.1K0.0035.80N/AN/A7602,5102,888
2008-05-12$14.75$12.5037.2%10.7%40.8%47.7%37.2%5.7%2.8%10.6K-998.7K-11.0K0.0433.60N/AN/A19082,5862,888
2008-05-13$14.64$12.5039.6%10.4%39.7%53.2%0.0%13.3%4.1%14.8K-1.0M-11.4K0.0074.66N/AN/A002,7402,882
2008-05-14$14.72$12.5032.1%10.5%25.3%36.3%36.5%13.3%2.4%17.1K-1.2M-11.3K0.0084.21N/AN/A2002,7602,882
2008-05-15$14.60$12.5037.0%10.6%23.5%47.3%36.9%3.2%2.6%16.8K-1.0M-11.1K0.0037.54N/AN/A2402,7782,882
2008-05-16$14.39$12.5034.2%9.8%24.1%41.0%34.2%7.9%4.0%17.7K-857.1K-10.7K0.0061.95N/AN/A29802,7822,882
2008-05-19$14.36$12.5034.0%9.7%23.0%40.6%35.8%11.4%1.6%17.0K-867.3K-10.5K1.8849.91N/AN/A16302,7062,692
2008-05-20$14.19$12.5035.8%10.3%20.7%44.7%40.9%7.1%0.2%13.0K-677.1K-10.4K2.2217.76N/AN/A721602,6762,722
2008-05-21$13.73$12.5036.9%10.6%24.0%47.0%36.4%0.8%2.7%5.9K-344.6K-9.9K0.9733.44N/AN/A62602,6362,734
2008-05-22$13.97$12.5034.6%9.9%24.4%41.9%0.0%4.7%1.2%9.3K-543.3K-10.1K0.0077.36N/AN/A002,6582,754
2008-05-23$13.88$12.5034.2%9.8%24.4%41.0%0.0%2.4%1.9%8.8K-535.0K-9.9K0.0073.63N/AN/A2202,6582,710
2008-05-27$14.14$12.5032.6%9.3%24.6%37.4%32.3%6.1%3.9%15.0K-725.7K-9.6K0.0042.22N/AN/A062,6742,710
2008-05-28$14.30$12.5032.7%9.4%22.9%37.7%37.1%3.8%2.8%18.7K-858.7K-9.5K0.0022.84N/AN/A0202,6742,710
2008-05-29$14.44$12.5032.6%9.4%23.0%37.5%27.5%-4.6%5.0%24.4K-1.0M-9.4K0.8013.84N/AN/A50402,6742,690
2008-05-30$14.36$12.5033.0%9.5%20.9%38.3%0.0%-4.8%1.4%23.0K-951.0K-9.5K0.0059.83N/AN/A1002,6922,700