WWW Options History — January 2009

In January 2009, WWW traded between $9.07 and $10.76. ATM implied volatility averaged 52.9%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 5.4% (HV 20d: 47.5%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.07.

Notable Days

  • 2009-01-22: Highest Volume — 110 contracts
  • 2009-01-15: Largest IV spike — 22.2% change
  • 2009-01-22: Highest IV Rank — 61.7%
  • 2009-01-22: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.78$9.07$10.76$10.76$9.07
Max Pain$9.94$8.75$10.00$8.75$10.00
ATM IV52.9%45.6%62.0%48.1%53.5%
Expected Move15.5%13.5%17.8%13.8%15.3%
HV 20d47.5%44.6%53.0%46.5%46.5%
HV 60d55.1%53.4%58.7%58.7%53.4%
IV Rank47.8%36.6%61.7%40.4%48.6%
IV Percentile72.7%58.7%83.7%68.3%71.8%
Term Structure-0.0%-5.9%5.2%4.3%0.7%
VWIV46.8%38.4%54.9%54.9%38.4%
Skew 25d6.1%0.0%9.5%7.3%5.5%
Skew 10d13.5%5.4%27.3%15.8%5.4%
Call IV 25d51.7%48.0%54.7%48.8%53.4%
Put IV 25d57.8%53.5%60.9%56.1%58.9%
Bid-Ask Spread %53.1830.6590.7690.7675.30
Gamma HHI0.410.340.500.490.35
Net GEX10.2K6.3K13.8K12.2K6.8K
Net DEX-270.7K-490.1K-79.1K-473.8K-79.1K
Net VEX-3.3K-4.0K-2.6K-4.0K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.670.000.00
Total Volume23.401104020
Total OI2,224.82,1222,3102,1222,290

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$10.76$8.7548.1%13.8%46.5%40.4%0.0%7.3%4.3%12.2K-473.8K-4.0K0.0090.76N/AN/A4001,424698
2009-01-05$10.64$10.0051.7%15.0%46.9%45.9%0.0%6.7%0.1%12.6K-486.5K-3.9K0.0040.78N/AN/A001,464698
2009-01-06$10.70$10.0047.9%14.8%46.1%40.0%0.0%6.9%-0.7%13.4K-473.8K-3.8K0.0042.13N/AN/A601,464698
2009-01-07$10.46$10.0054.3%15.9%45.8%49.9%0.0%5.9%-1.8%12.7K-454.3K-3.8K0.0036.80N/AN/A4001,466698
2009-01-08$10.68$10.0047.9%15.6%44.6%40.1%0.0%5.5%-4.0%13.8K-490.1K-3.8K0.0047.58N/AN/A061,506698
2009-01-09$9.82$10.0053.3%15.7%53.0%48.4%0.0%0.0%-0.1%11.1K-305.0K-3.6K0.0045.37N/AN/A1001,506702
2009-01-12$9.74$10.0057.2%16.0%50.8%54.4%54.9%6.6%-1.3%10.5K-248.4K-3.3K0.1240.13N/AN/A5061,506702
2009-01-13$9.85$10.0055.0%15.6%50.7%51.0%0.0%7.4%-0.8%12.0K-289.9K-3.5K0.0330.65N/AN/A6021,552702
2009-01-14$9.47$10.0045.6%16.7%51.1%36.6%0.0%5.2%-5.9%9.5K-187.7K-3.2K0.0047.86N/AN/A601,608702
2009-01-15$9.68$10.0055.7%16.0%46.4%52.1%0.0%6.2%-2.4%11.6K-236.6K-3.3K0.0038.10N/AN/A001,608702
2009-01-16$9.78$10.0053.9%15.5%46.5%49.3%0.0%8.4%0.6%11.8K-242.7K-3.2K0.0042.79N/AN/A001,608702
2009-01-20$9.27$10.0054.9%15.7%47.3%50.9%0.0%3.6%0.4%6.5K-171.9K-3.1K0.0050.68N/AN/A1001,480662
2009-01-21$9.50$10.0051.7%14.8%48.6%45.9%0.0%9.5%-1.8%6.3K-154.1K-3.0K0.0056.86N/AN/A201,490662
2009-01-22$9.37$10.0062.0%17.8%47.5%61.7%53.2%8.2%-2.5%6.9K-159.9K-3.1K0.0248.19N/AN/A10821,490662
2009-01-23$9.32$10.0055.1%15.8%46.7%51.1%0.0%6.6%3.5%8.2K-165.3K-3.1K0.1067.64N/AN/A2021,578660
2009-01-26$9.36$10.0055.8%16.0%46.8%52.2%41.3%3.9%5.1%9.7K-196.3K-3.0K0.0073.20N/AN/A0241,598660
2009-01-27$9.51$10.0051.6%14.8%45.7%45.8%0.0%8.1%4.2%9.7K-196.1K-3.1K0.0049.10N/AN/A001,598684
2009-01-28$9.56$10.0047.0%13.5%45.1%38.7%46.4%4.9%5.2%9.9K-250.4K-3.2K0.0057.03N/AN/A0441,598684
2009-01-29$9.08$10.0056.2%16.1%47.2%52.8%38.4%5.0%-3.1%8.3K-151.9K-3.0K0.6782.62N/AN/A641,598688
2009-01-30$9.07$10.0053.5%15.3%46.5%48.6%0.0%5.5%0.7%6.8K-79.1K-2.6K0.0075.30N/AN/A2001,604686