WWW Options History — July 2008

In July 2008, WWW traded between $11.52 and $13.72. ATM implied volatility averaged 45.1%, placing in the 61.6% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 11.3% (HV 20d: 56.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2008-07-08: Highest Volume — 912 contracts
  • 2008-07-09: Largest IV drop — 28.6% change
  • 2008-07-08: Highest IV Rank — 100.0%
  • 2008-07-03: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.84$11.52$13.72$13.43$13.37
Max Pain$13.30$12.50$15.00$15.00$12.50
ATM IV45.1%39.9%62.8%43.3%45.5%
Expected Move12.6%11.4%13.7%12.4%13.1%
HV 20d56.5%28.6%69.0%28.6%68.0%
HV 60d40.5%33.0%44.1%33.0%44.1%
IV Rank61.6%44.3%100.0%61.3%57.9%
IV Percentile76.2%41.7%100.0%72.2%84.1%
Term Structure-1.3%-4.6%3.8%0.6%0.0%
VWIV43.3%37.5%48.0%43.4%43.5%
Skew 25d7.9%-1.0%16.7%5.9%15.4%
Skew 10d13.1%-8.2%25.6%10.1%13.9%
Call IV 25d36.5%28.0%42.8%37.9%29.3%
Put IV 25d44.4%39.6%47.6%43.8%44.7%
Bid-Ask Spread %51.6417.7494.1273.0594.12
Gamma HHI0.480.360.580.370.52
Net GEX3.7K-9.7K13.4K3.1K11.2K
Net DEX539.4K19.6K1.4M438.5K171.2K
Net VEX-6.1K-7.6K-4.1K-6.4K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.003.882.000.26
Total Volume191491260106
Total OI3,648.3642,8204,2022,8223,648

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$13.43$15.0043.3%12.4%28.6%61.3%43.4%5.9%0.6%3.1K438.5K-6.4K2.0073.05N/AN/A20401,5141,308
2008-07-02$12.99$15.0044.5%12.7%30.6%64.0%0.0%3.1%-2.3%-61573.4K-6.0K0.0022.06N/AN/A5001,5221,348
2008-07-03$13.22$15.0047.9%13.7%29.3%71.7%48.0%8.1%-4.6%-765546.3K-6.1K0.1538.42N/AN/A420641,4721,348
2008-07-07$12.74$15.0049.9%12.4%30.8%76.2%0.0%3.3%-1.6%3.5K622.4K-6.1K0.1956.16N/AN/A62121,8301,412
2008-07-08$13.29$15.0062.8%13.0%34.6%100.0%43.1%5.3%-3.0%7.9K410.6K-7.0K1.1627.14N/AN/A4224901,8601,424
2008-07-09$11.52$15.0044.9%12.9%60.3%61.7%45.1%2.0%-1.1%-9.7K1.4M-4.5K1.8758.63N/AN/A2745122,1821,838
2008-07-10$11.66$15.0042.3%12.1%59.7%56.2%42.1%7.7%0.2%-1.8K1.1M-4.3K1.6322.50N/AN/A1302122,4161,582
2008-07-11$11.63$12.5042.4%12.2%59.6%56.6%37.5%12.7%1.1%-1.4K1.1M-4.5K1.4325.00N/AN/A14202,4941,642
2008-07-14$11.63$12.5044.5%12.8%58.9%61.0%0.0%9.9%-1.6%-1.3K1.1M-4.1K0.0034.18N/AN/A0222,4941,632
2008-07-15$12.07$12.5041.8%12.0%59.9%55.2%0.0%9.9%-1.2%-5.7K1.0M-4.8K0.5056.67N/AN/A422,4941,630
2008-07-16$12.67$12.5043.4%12.5%63.0%58.7%43.6%16.5%-1.2%-7.8K623.0K-5.9K0.3817.74N/AN/A132502,4981,632
2008-07-17$13.00$12.5045.1%12.9%63.8%62.2%44.5%5.8%-2.4%2.2K314.0K-6.7K0.1429.32N/AN/A152222,5241,660
2008-07-18$13.06$12.5046.0%13.2%63.6%64.1%0.0%5.4%-2.9%2.7K278.4K-6.9K1.3627.74N/AN/A22302,5201,682
2008-07-21$12.89$12.5044.4%12.7%63.7%60.8%44.4%16.7%-2.5%8.0K436.2K-6.4K0.1241.76N/AN/A430501,9901,460
2008-07-22$13.38$12.5045.2%13.0%65.1%62.4%46.7%7.1%-1.5%9.3K320.1K-6.8K1.0037.46N/AN/A1001001,9981,484
2008-07-23$13.72$12.5045.5%13.0%65.5%63.1%41.4%11.0%-3.2%13.4K19.6K-7.6K0.1373.72N/AN/A4662,0841,514
2008-07-24$13.28$12.5043.3%12.4%66.1%58.5%39.5%2.0%-2.0%11.5K188.7K-7.0K0.0985.54N/AN/A7062,1041,516
2008-07-25$12.96$12.5043.4%12.5%66.6%52.8%43.5%12.7%-1.5%8.5K371.5K-6.5K0.0082.92N/AN/A0202,0921,518
2008-07-28$12.89$12.5044.1%12.6%66.5%54.5%0.0%11.9%-1.3%5.9K518.1K-6.1K1.0054.43N/AN/A442,0921,538
2008-07-29$13.56$12.5043.3%12.4%69.0%52.4%0.0%3.1%0.4%12.1K134.5K-6.9K0.0085.47N/AN/A402,0921,540
2008-07-30$13.49$12.5039.9%11.4%69.0%44.3%0.0%-1.0%3.8%11.4K115.7K-6.9K3.8892.00N/AN/A16622,0961,540
2008-07-31$13.37$12.5045.5%13.1%68.0%57.9%0.0%15.4%0.0%11.2K171.2K-7.0K0.2694.12N/AN/A84222,1061,542