WWW Options History — June 2008

In June 2008, WWW traded between $13.34 and $14.44. ATM implied volatility averaged 35.8%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 9.2% (HV 20d: 26.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2008-06-17: Highest Volume — 298 contracts
  • 2008-06-11: Largest IV spike — 71.1% change
  • 2008-06-24: Highest IV Rank — 61.8%
  • 2008-06-24: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.85$13.34$14.44$14.14$13.34
Max Pain$14.52$12.50$15.00$12.50$15.00
ATM IV35.8%21.8%43.5%31.4%41.5%
Expected Move10.6%8.4%12.5%9.0%11.9%
HV 20d26.6%21.3%30.2%21.4%28.4%
HV 60d36.0%33.5%38.6%38.6%33.5%
IV Rank44.6%13.2%61.8%34.7%57.4%
IV Percentile33.2%2.0%73.8%15.5%58.3%
Term Structure2.0%-1.1%6.5%4.9%3.0%
VWIV36.6%31.4%39.3%31.4%36.6%
Skew 25d2.5%-13.5%41.7%-4.8%4.6%
Skew 10d7.1%-12.8%52.5%-6.7%11.5%
Call IV 25d35.1%24.1%43.2%31.2%37.9%
Put IV 25d37.6%24.0%71.1%26.4%42.5%
Bid-Ask Spread %44.3717.8678.0734.2478.07
Gamma HHI0.500.360.840.600.38
Net GEX10.0K-1.7K33.1K19.7K3.3K
Net DEX-277.3K-951.6K410.5K-706.8K410.5K
Net VEX-7.7K-8.9K-6.5K-8.9K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.003.130.500.25
Total Volume35.23802986010
Total OI4,728.8572,7725,6725,4022,820

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$14.14$12.5031.4%9.0%21.4%34.7%31.4%-4.8%4.9%19.7K-706.8K-8.9K0.5034.24N/AN/A40202,7022,700
2008-06-03$14.11$12.5031.5%9.0%21.3%34.9%0.0%-5.2%3.5%20.7K-727.8K-8.9K0.0034.28N/AN/A202,7242,720
2008-06-04$14.04$12.5033.1%9.5%21.3%38.5%0.0%-4.6%2.3%15.7K-621.8K-8.7K0.0034.61N/AN/A002,7262,720
2008-06-05$14.44$12.5029.2%8.4%23.7%29.9%0.0%41.7%6.5%33.1K-951.6K-8.7K0.0017.86N/AN/A4202,7262,720
2008-06-06$14.11$15.0028.4%10.1%24.9%28.0%0.0%-7.2%3.3%22.8K-802.5K-8.8K0.0056.02N/AN/A602,7462,720
2008-06-09$13.89$15.0031.6%10.6%24.6%35.1%0.0%-9.7%1.1%12.3K-475.6K-8.3K0.0027.03N/AN/A002,7442,720
2008-06-10$14.02$15.0021.8%10.6%23.7%13.2%0.0%4.5%0.7%14.7K-536.7K-7.9K0.0055.54N/AN/A002,7442,720
2008-06-11$13.47$15.0037.3%10.8%27.2%48.0%39.3%-10.5%4.2%-1.7K-109.2K-7.9K2.2059.45N/AN/A10222,7442,720
2008-06-12$13.53$15.0039.2%11.2%27.2%52.3%37.2%-13.5%0.9%-498-141.6K-7.9K0.0031.73N/AN/A0602,7342,740
2008-06-13$13.78$15.0038.2%11.0%28.3%50.1%0.0%7.3%0.8%-153-318.2K-7.2K0.0029.24N/AN/A002,7342,740
2008-06-16$14.15$15.0036.1%10.3%29.8%45.2%0.0%5.8%1.1%21.5K-578.2K-7.6K0.0036.32N/AN/A002,7342,740
2008-06-17$13.97$15.0038.2%11.0%30.1%50.0%38.5%4.6%-1.1%10.4K-478.8K-7.5K0.0061.43N/AN/A29802,7342,740
2008-06-18$13.78$15.0037.4%10.7%30.2%48.2%0.0%5.4%0.6%8.6K-420.9K-7.4K0.0056.85N/AN/A002,9322,740
2008-06-19$13.96$15.0035.1%10.1%28.4%43.0%0.0%7.0%2.1%5.1K-473.1K-7.4K0.0059.69N/AN/A1202,9322,734
2008-06-20$13.93$15.0036.9%10.6%27.7%47.2%36.6%5.6%-0.0%4.7K-428.3K-7.1K1.8258.00N/AN/A22402,9322,734
2008-06-23$13.68$15.0042.5%12.2%28.3%59.8%0.0%4.0%3.9%3.4K268.4K-7.2K0.0030.85N/AN/A2001,4701,302
2008-06-24$13.49$15.0043.5%12.5%27.8%61.8%0.0%4.1%-0.3%3.8K312.6K-6.9K0.0058.04N/AN/A3001,4901,302
2008-06-25$13.78$15.0037.2%10.7%28.6%47.8%0.0%3.7%0.5%4.2K304.0K-7.1K3.1340.18N/AN/A16501,4961,302
2008-06-26$13.67$15.0041.8%12.0%28.3%58.2%0.0%4.8%3.9%4.7K294.3K-7.0K0.0029.88N/AN/A001,5121,302
2008-06-27$13.53$15.0040.0%11.5%28.5%54.1%0.0%4.3%-0.5%4.0K359.1K-6.7K0.0042.51N/AN/A0401,5121,302
2008-06-30$13.34$15.0041.5%11.9%28.4%57.4%0.0%4.6%3.0%3.3K410.5K-6.5K0.2578.07N/AN/A821,5121,308