WWW Options History — September 2008

In September 2008, WWW traded between $12.77 and $13.80. ATM implied volatility averaged 43.4%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 14.7% (HV 20d: 28.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2008-09-30: Highest Volume — 930 contracts
  • 2008-09-11: Largest IV spike — 36.7% change
  • 2008-09-30: Highest IV Rank — 87.6%
  • 2008-09-30: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.25$12.77$13.80$13.32$13.23
Max Pain$14.76$12.50$15.00$15.00$12.50
ATM IV43.4%33.4%57.7%37.0%57.7%
Expected Move12.9%10.1%16.5%10.6%16.5%
HV 20d28.7%22.4%38.5%25.4%38.5%
HV 60d44.6%43.5%46.3%44.2%45.9%
IV Rank52.7%28.3%87.6%37.2%87.6%
IV Percentile59.9%6.3%99.6%17.5%99.6%
Term Structure-1.7%-10.3%8.1%7.5%-10.3%
VWIV44.0%25.8%57.1%25.8%57.1%
Skew 25d6.4%-4.0%11.6%9.4%11.6%
Skew 10d13.0%-6.3%31.6%8.2%30.3%
Call IV 25d33.9%26.2%39.1%27.3%36.1%
Put IV 25d40.3%26.3%47.8%36.7%47.8%
Bid-Ask Spread %48.5926.2178.1432.1956.55
Gamma HHI0.690.570.770.600.74
Net GEX-58.4K-79.4K-45.2K-50.8K-54.0K
Net DEX1.4M741.3K2.0M1.4M1.1M
Net VEX-11.2K-12.8K-10.0K-12.8K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.006.203.001.34
Total Volume113.905093024930
Total OI7,516.2865,6008,3688,1726,228

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$13.32$15.0037.0%10.6%25.4%37.2%25.8%9.4%7.5%-50.8K1.4M-12.8K3.0032.19N/AN/A6182,4565,716
2008-09-03$13.41$15.0039.4%11.3%23.8%43.0%0.0%9.8%4.3%-45.2K1.3M-12.3K0.1748.98N/AN/A60102,4605,722
2008-09-04$13.18$15.0035.1%10.1%24.5%32.6%0.0%4.9%8.1%-53.1K1.5M-12.3K0.0050.25N/AN/A0302,5205,722
2008-09-05$13.11$15.0036.4%12.3%24.1%35.7%0.0%7.0%-0.9%-57.6K1.6M-12.3K0.0033.85N/AN/A002,5205,752
2008-09-08$13.31$15.0033.4%12.6%22.4%28.3%0.0%10.3%-2.5%-55.9K1.5M-11.6K0.0026.21N/AN/A002,5205,752
2008-09-09$13.05$15.0040.7%12.8%23.3%46.0%0.0%5.4%-3.0%-58.1K1.6M-11.8K0.0034.38N/AN/A002,5205,752
2008-09-10$13.38$15.0033.5%13.6%24.6%28.4%38.5%8.9%-5.4%-51.8K1.5M-11.5K0.7533.97N/AN/A40302,5205,752
2008-09-11$13.64$15.0045.7%13.1%23.8%58.4%45.3%6.2%-4.1%-52.6K1.3M-11.2K0.0037.17N/AN/A1002,5605,782
2008-09-12$13.25$15.0044.8%12.8%25.8%56.0%0.0%-4.0%-3.5%-59.8K1.5M-11.5K0.0032.01N/AN/A022,5705,782
2008-09-15$13.00$15.0045.7%13.1%26.4%58.2%0.0%7.6%-2.6%-59.3K1.7M-11.2K0.0028.99N/AN/A002,5705,778
2008-09-16$12.77$15.0044.6%12.8%27.0%55.7%44.4%4.0%-3.8%-79.4K2.0M-11.4K0.2454.95N/AN/A84202,5705,778
2008-09-17$13.04$15.0045.0%12.9%27.7%56.5%0.0%9.9%-2.4%-63.7K1.6M-10.9K0.0051.33N/AN/A0402,5705,798
2008-09-18$13.36$15.0043.0%12.3%28.6%51.7%0.0%7.9%-1.0%-60.7K1.4M-10.6K0.0064.33N/AN/A202,5705,798
2008-09-19$13.63$15.0044.9%12.9%29.3%56.5%39.8%5.6%-4.1%-53.1K1.1M-10.0K0.0065.07N/AN/A202,5705,798
2008-09-22$13.49$15.0044.8%12.8%29.6%56.1%47.2%4.1%1.2%-53.4K807.4K-10.2K1.2155.50N/AN/A1241509704,630
2008-09-23$13.80$15.0042.3%12.1%29.4%50.0%42.3%5.0%-1.2%-50.0K741.3K-10.0K0.3566.99N/AN/A86301,0964,758
2008-09-24$13.00$15.0046.8%13.4%37.1%60.9%44.9%1.8%-0.8%-68.5K1.2M-10.8K6.2059.31N/AN/A201241,1004,768
2008-09-25$12.97$15.0044.1%12.6%36.8%54.3%0.0%2.6%0.7%-72.7K1.4M-10.9K0.8052.72N/AN/A50401,0984,872
2008-09-26$13.34$15.0050.2%14.4%37.1%69.2%50.2%10.3%-3.8%-64.1K1.3M-10.7K0.0057.41N/AN/A30601,0864,854
2008-09-29$12.97$12.5056.0%16.1%38.1%83.5%48.8%6.4%-7.5%-61.9K1.2M-11.0K1.7078.14N/AN/A661121,3504,854
2008-09-30$13.23$12.5057.7%16.5%38.5%87.6%57.1%11.6%-10.3%-54.0K1.1M-11.2K1.3456.55N/AN/A3985321,3504,878