WWW Options History — October 2008

In October 2008, WWW traded between $10.84 and $13.22. ATM implied volatility averaged 61.8%, placing in the 71.0% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 9.2% (HV 20d: 52.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 3.54.

Notable Days

  • 2008-10-28: Highest Volume — 1,062 contracts
  • 2008-10-16: Largest IV drop — 27.6% change
  • 2008-10-09: Highest IV Rank — 100.0%
  • 2008-10-27: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.91$10.84$13.22$13.22$11.75
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV61.8%40.0%86.9%47.0%61.2%
Expected Move16.8%11.5%19.1%13.5%17.6%
HV 20d52.6%37.8%62.8%38.4%61.3%
HV 60d40.1%33.3%45.1%45.1%43.3%
IV Rank71.0%44.4%100.0%61.4%60.6%
IV Percentile92.8%35.3%100.0%87.7%94.4%
Term Structure-5.2%-10.8%5.3%-0.7%-3.3%
VWIV56.7%40.1%66.6%45.9%53.0%
Skew 25d7.9%3.6%15.1%11.1%13.6%
Skew 10d17.9%3.7%28.9%26.8%23.5%
Call IV 25d48.4%35.0%56.7%35.0%42.1%
Put IV 25d56.3%44.7%65.2%46.1%55.7%
Bid-Ask Spread %47.9526.9385.5578.8769.42
Gamma HHI0.800.720.860.750.79
Net GEX-73.3K-85.9K-60.0K-63.0K-72.2K
Net DEX1.9M932.1K2.8M1.0M1.6M
Net VEX-10.8K-11.6K-9.3K-10.8K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.540.0020.001.790.47
Total Volume202.43501,06250288
Total OI6,998.6966,4107,5566,7607,556

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$13.22$12.5047.0%13.5%38.4%61.4%45.9%11.1%-0.7%-63.0K1.0M-10.8K1.7978.87N/AN/A1803221,4845,276
2008-10-02$13.13$12.5043.3%12.4%37.9%52.3%43.5%6.2%3.7%-60.0K932.1K-11.0K0.0085.55N/AN/A061,6105,198
2008-10-03$12.96$12.5040.0%11.5%38.2%44.4%40.1%5.6%5.3%-60.7K1.0M-11.1K1.3456.08N/AN/A941261,6105,198
2008-10-06$12.70$12.5049.1%14.5%38.3%66.6%57.7%10.2%-4.7%-62.6K1.4M-11.1K7.5639.43N/AN/A362721,6585,202
2008-10-07$12.21$12.5051.8%14.4%40.1%73.3%49.6%4.5%-4.1%-76.3K1.8M-11.5K12.0041.17N/AN/A202401,6645,318
2008-10-08$11.97$12.5056.0%15.3%39.0%83.4%53.5%5.2%-5.1%-79.5K1.9M-11.5K1.7542.29N/AN/A48841,6745,344
2008-10-09$11.90$12.5064.8%17.1%37.8%100.0%62.7%7.1%-5.6%-72.9K2.0M-11.4K2.2547.76N/AN/A561261,6765,300
2008-10-10$13.05$12.5070.6%17.6%50.7%100.0%55.0%14.5%-4.5%-61.3K1.3M-11.4K1.0039.98N/AN/A1281281,6885,404
2008-10-13$12.36$12.5079.8%17.9%53.8%100.0%63.9%4.7%-6.2%-82.3K1.8M-11.5K0.4332.68N/AN/A4001721,7825,452
2008-10-14$12.04$12.5080.7%17.5%54.2%100.0%62.3%4.0%-5.0%-80.4K2.0M-11.6K0.7330.68N/AN/A120881,8125,614
2008-10-15$11.26$12.5086.9%19.1%57.9%100.0%65.1%3.6%-6.4%-83.2K2.8M-11.0K1.0747.77N/AN/A60641,8445,660
2008-10-16$12.04$12.5062.9%18.0%62.8%63.1%62.5%15.1%-7.3%-78.7K2.3M-11.2K0.0034.52N/AN/A02081,9025,620
2008-10-17$11.79$12.5065.0%18.6%62.3%66.3%66.6%6.5%-7.1%-81.6K2.4M-11.0K0.4334.97N/AN/A94401,9025,600
2008-10-20$11.88$12.5062.7%18.0%62.5%62.8%65.9%11.5%-8.3%-69.4K1.9M-10.7K12.3840.41N/AN/A161981,4304,980
2008-10-21$11.68$12.5060.5%17.3%61.7%59.4%60.1%7.1%-6.0%-77.9K2.1M-10.7K20.0045.14N/AN/A2401,4465,138
2008-10-22$11.29$12.5061.0%17.5%59.4%60.3%0.0%8.8%-4.9%-75.2K2.4M-10.3K0.0044.32N/AN/A001,4465,158
2008-10-23$11.23$12.5062.3%17.8%59.4%62.2%61.8%8.0%-5.7%-77.1K2.4M-10.2K4.0026.93N/AN/A281,4465,138
2008-10-24$10.85$12.5065.1%18.7%58.7%66.5%0.0%5.7%-7.7%-76.3K2.6M-9.8K0.0051.38N/AN/A001,4445,140
2008-10-27$10.84$12.5066.5%19.1%58.4%68.6%0.0%6.5%-8.4%-75.6K2.6M-9.4K0.0027.43N/AN/A2401,4445,140
2008-10-28$11.09$12.5059.1%16.9%58.6%57.3%0.0%8.4%-8.6%-85.9K2.7M-9.3K0.0452.87N/AN/A1,022401,4265,140
2008-10-29$11.25$12.5063.2%18.1%59.2%63.5%64.7%4.8%-10.8%-66.5K1.7M-11.0K0.0070.99N/AN/A5802,3285,148
2008-10-30$11.35$12.5061.8%17.7%59.5%61.4%43.2%9.3%-8.5%-67.0K1.9M-11.0K0.0062.26N/AN/A4602,3825,148
2008-10-31$11.75$12.5061.2%17.6%61.3%60.6%53.0%13.6%-3.3%-72.2K1.6M-10.9K0.4769.42N/AN/A60282,4085,148