WWW Options History — December 2008

In December 2008, WWW traded between $9.20 and $10.73. ATM implied volatility averaged 61.4%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 2.6% (HV 20d: 58.8%). Max pain ranged from $8.75 to $11.25. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.06.

Notable Days

  • 2008-12-09: Highest Volume — 1,344 contracts
  • 2008-12-03: Largest IV spike — 12.4% change
  • 2008-12-04: Highest IV Rank — 69.5%
  • 2008-12-04: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.08$9.20$10.73$9.20$10.52
Max Pain$9.89$8.75$11.25$11.25$8.75
ATM IV61.4%51.7%67.0%66.5%56.0%
Expected Move17.7%14.8%19.2%19.1%16.1%
HV 20d58.8%46.6%67.8%66.2%46.6%
HV 60d57.6%56.1%59.0%56.1%58.9%
IV Rank60.8%46.0%69.5%68.7%52.5%
IV Percentile85.7%75.8%95.2%95.2%76.6%
Term Structure0.5%-2.9%8.6%8.6%1.5%
VWIV55.4%35.7%64.4%64.4%46.4%
Skew 25d9.0%2.7%28.4%2.7%10.5%
Skew 10d15.9%-2.8%38.1%11.3%34.6%
Call IV 25d56.3%41.8%71.7%70.5%47.7%
Put IV 25d65.3%52.4%78.7%73.2%58.3%
Bid-Ask Spread %68.8941.01101.9079.4450.17
Gamma HHI0.710.330.960.880.51
Net GEX-50.5K-197.0K11.5K-42.5K11.5K
Net DEX2.6M-405.9K4.2M3.8M-405.9K
Net VEX-2.7K-4.3K-1.3K-3.3K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.0010.500.000.00
Total Volume154.72701,344208
Total OI5,515.0911,0267,6647,4462,118

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$9.20$11.2566.5%19.1%66.2%68.7%0.0%2.7%8.6%-42.5K3.8M-3.3K0.0079.44N/AN/A2002,2345,212
2008-12-02$9.42$11.2558.8%16.9%64.9%56.8%0.0%3.9%4.4%-37.0K4.1M-2.8K0.0085.88N/AN/A1002,2545,212
2008-12-03$9.65$11.2566.1%18.9%64.1%68.0%0.0%4.3%-2.5%-50.4K3.8M-3.8K0.00101.56N/AN/A0422,2645,212
2008-12-04$9.72$11.2567.0%19.2%63.7%69.5%64.4%13.6%-2.2%-66.4K3.6M-4.1K0.05101.90N/AN/A11262,2645,252
2008-12-05$9.99$10.0064.0%18.1%64.5%64.8%63.6%5.3%0.2%-61.0K4.0M-3.5K10.5062.10N/AN/A202102,1865,246
2008-12-08$10.30$10.0062.8%18.7%65.3%62.9%0.0%5.1%-2.9%-98.4K3.6M-4.3K10.0045.37N/AN/A2202,2065,456
2008-12-09$9.98$10.0062.2%18.9%66.3%62.1%0.0%28.4%-1.1%-76.1K3.9M-3.6K0.8156.51N/AN/A7446002,2085,456
2008-12-10$10.28$10.0064.7%18.5%66.7%65.9%0.0%15.1%-1.0%-96.1K3.7M-3.6K0.0046.97N/AN/A03002,0505,282
2008-12-11$9.84$10.0065.3%18.7%67.8%66.8%0.0%4.5%-1.2%-63.9K3.9M-2.7K0.0056.28N/AN/A002,0505,206
2008-12-12$9.97$10.0065.3%18.7%64.1%66.8%0.0%27.3%-0.5%-47.9K4.1M-2.3K0.0055.07N/AN/A002,0505,206
2008-12-15$9.64$10.0065.3%18.7%59.1%66.9%0.0%7.1%0.2%-28.6K4.1M-1.8K0.0041.01N/AN/A002,0505,206
2008-12-16$10.26$10.0062.5%17.9%62.0%62.5%63.2%11.1%-0.9%-87.2K4.0M-2.3K0.1069.46N/AN/A4042,0505,206
2008-12-17$10.31$10.0063.5%18.2%61.7%64.1%61.7%7.5%-1.9%-1.9K4.2M-1.3K0.3053.99N/AN/A88262,0705,202
2008-12-18$10.71$10.0057.1%16.4%55.4%54.2%58.5%6.4%2.1%-186.9K3.7M-2.2K0.0863.09N/AN/A5242,0665,180
2008-12-19$10.73$10.0057.6%16.5%54.1%54.9%0.0%10.1%0.7%-197.0K3.6M-2.0K0.0074.33N/AN/A002,0865,180
2008-12-22$10.36$10.0061.8%17.7%52.6%61.5%35.7%3.8%0.8%-543-13.4K-1.3K4.0076.75N/AN/A1040390636
2008-12-23$10.07$8.7559.7%17.1%51.0%58.2%0.0%4.8%2.5%-867-397-1.3K0.0076.00N/AN/A00400676
2008-12-24$10.07$8.7558.5%16.8%50.9%56.4%0.0%5.3%1.5%-88817.1K-1.3K0.0079.69N/AN/A02400676
2008-12-26$10.37$8.7551.7%14.8%49.9%46.0%49.9%7.4%4.0%-486-10.1K-1.3K0.0081.08N/AN/A1,0040400678
2008-12-29$10.10$8.7557.9%16.6%49.8%55.4%0.0%6.0%-2.7%9.6K-327.7K-3.7K0.0081.65N/AN/A001,400678
2008-12-30$10.34$8.7556.1%16.1%46.9%52.6%0.0%7.8%0.3%10.9K-339.3K-3.7K1.0077.25N/AN/A20201,400678
2008-12-31$10.52$8.7556.0%16.1%46.6%52.5%46.4%10.5%1.5%11.5K-405.9K-3.9K0.0050.17N/AN/A801,420698