WWW Options History — November 2008

In November 2008, WWW traded between $8.32 and $11.07. ATM implied volatility averaged 66.1%, placing in the 68.1% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 8.5% (HV 20d: 57.6%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 4.12.

Notable Days

2008-11-03: Highest Volume — 704 contracts
2008-11-17: Largest IV spike — 19.7% change
2008-11-18: Highest IV Rank — 77.6%
2008-11-18: Largest Expected Move — 20.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.68	$8.32	$11.07	$11.07	$9.63
Max Pain	$11.51	$11.25	$12.50	$12.50	$11.25
ATM IV	66.1%	55.7%	72.3%	55.7%	65.6%
Expected Move	18.6%	16.0%	20.7%	16.0%	18.8%
HV 20d	57.6%	45.6%	66.9%	64.1%	66.9%
HV 60d	49.1%	44.4%	55.5%	44.4%	55.5%
IV Rank	68.1%	52.0%	77.6%	52.0%	67.2%
IV Percentile	95.6%	90.1%	98.8%	91.7%	92.9%
Term Structure	-3.9%	-9.7%	3.3%	1.0%	-3.1%
VWIV	58.5%	43.4%	75.7%	55.5%	58.3%
Skew 25d	10.0%	-3.4%	28.3%	8.3%	2.0%
Skew 10d	21.3%	-2.4%	40.8%	19.4%	3.7%
Call IV 25d	58.1%	44.2%	65.1%	49.4%	65.1%
Put IV 25d	68.0%	54.8%	80.7%	57.6%	67.2%
Bid-Ask Spread %	75.04	38.44	91.70	69.52	89.83
Gamma HHI	0.83	0.78	0.89	0.78	0.89
Net GEX	-53.9K	-72.9K	-24.3K	-64.4K	-54.4K
Net DEX	3.6M	2.1M	4.3M	2.1M	3.7M
Net VEX	-6.4K	-10.4K	-2.9K	-10.4K	-4.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.12	0.00	12.00	10.21	4.00
Total Volume	149.789	2	704	704	50
Total OI	7,982.316	7,436	8,246	7,614	7,436

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2008-11-03	$11.07	$12.50	55.7%	16.0%	64.1%	52.0%	55.5%	8.3%	1.0%	-64.4K	2.1M	-10.4K	0.00	69.52	N/A	N/A	0	704	2,458	5,156
2008-11-04	$10.56	$12.50	66.0%	18.9%	64.6%	67.8%	66.4%	-3.4%	-9.7%	-66.9K	2.7M	-9.8K	10.21	64.56	N/A	N/A	48	490	2,458	5,388
2008-11-05	$10.28	$12.50	65.9%	18.9%	64.9%	67.8%	43.4%	10.4%	-7.3%	-68.5K	3.2M	-9.3K	12.00	76.95	N/A	N/A	6	72	2,484	5,650
2008-11-06	$10.20	$12.50	68.4%	19.6%	64.9%	71.5%	0.0%	12.9%	-9.6%	-65.5K	3.3M	-9.0K	0.00	84.68	N/A	N/A	0	62	2,484	5,668
2008-11-07	$10.07	$11.25	66.0%	17.3%	53.1%	67.9%	60.5%	2.8%	-5.4%	-65.1K	3.4M	-8.6K	1.25	61.34	N/A	N/A	8	10	2,484	5,700
2008-11-10	$10.05	$11.25	67.9%	17.9%	50.9%	70.8%	59.4%	13.9%	-8.8%	-66.4K	3.6M	-8.0K	1.00	52.25	N/A	N/A	8	8	2,492	5,690
2008-11-11	$9.87	$11.25	65.9%	17.0%	50.7%	67.7%	56.3%	6.3%	-4.4%	-65.6K	3.6M	-7.3K	7.50	38.44	N/A	N/A	20	150	2,500	5,604
2008-11-12	$9.59	$11.25	67.2%	16.8%	46.5%	69.8%	59.4%	10.4%	-5.0%	-58.0K	3.8M	-6.5K	0.00	39.23	N/A	N/A	8	0	2,500	5,556
2008-11-13	$10.21	$11.25	60.2%	17.3%	45.6%	58.9%	45.0%	28.3%	3.3%	-72.9K	3.7M	-7.2K	0.57	85.42	N/A	N/A	74	42	2,500	5,556
2008-11-14	$9.46	$11.25	59.5%	17.1%	51.4%	57.9%	54.4%	18.0%	-2.9%	-59.6K	3.6M	-6.6K	5.50	78.49	N/A	N/A	40	220	2,562	5,576
2008-11-17	$9.23	$11.25	71.2%	20.4%	51.1%	75.9%	0.0%	15.8%	-6.4%	-49.7K	3.9M	-5.5K	8.33	79.31	N/A	N/A	12	100	2,566	5,680
2008-11-18	$9.13	$11.25	72.3%	20.7%	51.1%	77.6%	56.0%	11.0%	-8.8%	-36.8K	4.2M	-4.3K	10.20	80.86	N/A	N/A	10	102	2,578	5,646
2008-11-19	$8.51	$11.25	71.6%	20.5%	54.7%	76.5%	75.7%	5.8%	-9.7%	-30.0K	4.0M	-3.7K	0.00	91.70	N/A	N/A	4	0	2,576	5,648
2008-11-20	$8.32	$11.25	69.6%	20.0%	54.7%	73.4%	0.0%	17.3%	-1.5%	-24.3K	4.1M	-2.9K	0.00	88.83	N/A	N/A	0	2	2,580	5,648
2008-11-21	$8.90	$11.25	69.8%	20.0%	61.4%	73.8%	62.7%	11.6%	1.6%	-26.5K	4.3M	-3.2K	0.00	89.56	N/A	N/A	0	156	2,580	5,574
2008-11-24	$9.40	$11.25	62.9%	18.0%	65.5%	63.2%	63.3%	3.4%	1.5%	-46.0K	3.8M	-4.6K	0.45	87.35	N/A	N/A	76	34	2,238	5,308
2008-11-25	$9.51	$11.25	65.7%	18.8%	65.0%	67.5%	56.0%	5.6%	0.9%	-46.1K	3.8M	-4.5K	0.57	83.80	N/A	N/A	14	8	2,306	5,318
2008-11-26	$9.90	$11.25	64.6%	18.5%	66.8%	65.7%	64.0%	9.0%	0.1%	-57.3K	3.6M	-5.0K	0.28	83.63	N/A	N/A	240	68	2,316	5,200
2008-11-28	$9.63	$11.25	65.6%	18.8%	66.9%	67.2%	58.3%	2.0%	-3.1%	-54.4K	3.7M	-4.5K	4.00	89.83	N/A	N/A	10	40	2,244	5,192