WWW Options History — August 2008

In August 2008, WWW traded between $12.77 and $13.84. ATM implied volatility averaged 40.1%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 3.0% (HV 20d: 37.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 121.02.

Notable Days

  • 2008-08-19: Highest Volume — 4,022 contracts
  • 2008-08-11: Largest IV spike — 40.8% change
  • 2008-08-05: Highest IV Rank — 63.5%
  • 2008-08-04: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.30$12.77$13.84$13.34$13.16
Max Pain$14.88$12.50$15.00$12.50$15.00
ATM IV40.1%28.3%47.8%43.2%37.3%
Expected Move11.7%10.1%12.8%12.4%10.7%
HV 20d37.1%22.4%67.7%67.7%25.1%
HV 60d44.4%44.1%44.9%44.1%44.3%
IV Rank44.7%15.9%63.5%52.2%37.9%
IV Percentile43.4%0.8%92.1%65.5%19.0%
Term Structure2.6%-2.7%7.9%1.3%7.2%
VWIV37.6%27.8%42.8%42.8%37.2%
Skew 25d7.0%1.2%14.3%14.2%10.4%
Skew 10d12.2%2.3%21.4%13.3%5.4%
Call IV 25d35.1%25.1%41.8%28.2%26.7%
Put IV 25d42.1%32.4%46.2%42.4%37.1%
Bid-Ask Spread %52.6713.2582.8625.5362.26
Gamma HHI0.610.490.690.520.60
Net GEX-9.7K-55.2K19.7K11.7K-51.9K
Net DEX776.1K-31.2K2.0M166.6K1.5M
Net VEX-9.1K-14.3K-5.1K-6.8K-13.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio121.020.002010.000.920.00
Total Volume248.38104,022460
Total OI5,255.1433,5288,1723,6828,172

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$13.34$12.5043.2%12.4%67.7%52.2%0.0%14.2%1.3%11.7K166.6K-6.8K0.9225.53N/AN/A24222,1381,544
2008-08-04$13.28$15.0043.1%12.8%66.3%52.1%0.0%5.8%-0.9%10.2K254.4K-6.4K1.5076.51N/AN/A462,1481,540
2008-08-05$13.62$15.0047.8%12.6%65.3%63.5%0.0%7.6%-2.7%15.5K47.0K-6.8K0.1337.49N/AN/A1622,1481,540
2008-08-06$13.65$15.0039.2%12.5%37.2%42.4%0.0%6.7%-1.0%15.8K57.8K-6.7K0.0079.23N/AN/A4002,1481,542
2008-08-07$13.45$15.0037.5%12.1%38.0%38.2%42.8%2.2%0.4%13.8K96.4K-6.8K1.1337.49N/AN/A30342,1721,542
2008-08-08$13.84$15.0028.3%10.3%38.6%15.9%0.0%10.9%4.1%19.7K-31.2K-6.9K0.0082.86N/AN/A022,1681,554
2008-08-11$13.80$15.0039.9%11.1%38.7%44.2%38.4%4.5%1.4%19.4K-22.5K-6.7K1.6473.06N/AN/A22362,1681,554
2008-08-12$13.57$15.0044.2%11.8%38.1%54.7%0.0%1.2%0.8%16.7K89.5K-6.4K0.5073.64N/AN/A40202,1721,560
2008-08-13$13.23$15.0035.2%12.4%36.2%32.6%0.0%2.5%-1.0%13.3K271.1K-5.9K0.0053.11N/AN/A2002,2121,560
2008-08-14$13.38$15.0044.1%12.6%35.3%54.5%36.9%6.9%-0.0%15.1K266.0K-5.9K0.0079.65N/AN/A3402,2321,560
2008-08-15$13.49$15.0043.1%12.4%35.3%52.1%0.0%5.3%0.1%18.4K202.0K-6.1K4.5080.65N/AN/A4182,2501,560
2008-08-18$13.37$15.0042.3%12.1%35.1%50.1%39.7%3.6%5.8%17.9K325.6K-5.5K0.0025.32N/AN/A1602,1741,354
2008-08-19$13.16$15.0040.9%11.7%33.0%46.6%40.9%5.5%4.4%16.0K508.7K-5.1K2010.0056.85N/AN/A24,0202,1901,354
2008-08-20$12.99$15.0042.0%12.0%31.8%49.3%0.0%5.4%2.9%-48.3K1.8M-14.0K1.0032.67N/AN/A40402,1925,334
2008-08-21$12.95$15.0043.4%12.4%29.7%52.6%0.0%6.7%1.4%-47.4K1.8M-14.3K0.0043.64N/AN/A002,2305,374
2008-08-22$13.02$15.0039.7%11.4%28.5%43.7%36.2%3.6%4.3%-48.9K1.8M-13.9K0.0047.39N/AN/A4402,2305,374
2008-08-25$12.77$15.0040.2%11.5%29.3%44.9%0.0%14.3%5.0%-54.7K2.0M-13.1K0.0022.72N/AN/A0322,2325,374
2008-08-26$12.86$15.0038.3%11.0%22.4%40.3%38.3%11.1%6.6%-55.2K2.0M-13.1K0.9965.96N/AN/A2522502,2325,326
2008-08-27$13.04$15.0035.2%10.1%23.1%32.7%27.8%6.3%7.9%-53.4K1.7M-13.7K35.0013.25N/AN/A41402,4565,576
2008-08-28$13.35$15.0037.4%10.7%24.6%38.2%37.2%12.2%6.9%-48.1K1.4M-13.7K0.0036.87N/AN/A202,4565,716
2008-08-29$13.16$15.0037.3%10.7%25.1%37.9%0.0%10.4%7.2%-51.9K1.5M-13.1K0.0062.26N/AN/A002,4565,716