WWW Options History — February 2009

In February 2009, WWW traded between $7.58 and $9.15. ATM implied volatility averaged 52.9%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 14.2% (HV 20d: 38.8%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 25.37.

Notable Days

  • 2009-02-06: Highest Volume — 2,900 contracts
  • 2009-02-06: Largest IV drop — 14.9% change
  • 2009-02-03: Highest IV Rank — 67.6%
  • 2009-02-03: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.38$7.58$9.15$8.95$7.58
Max Pain$9.54$8.75$10.00$10.00$8.75
ATM IV52.9%47.0%65.8%64.6%53.2%
Expected Move15.1%13.5%18.9%18.5%15.2%
HV 20d38.8%29.8%49.5%45.1%29.8%
HV 60d49.1%42.7%54.0%52.7%42.7%
IV Rank47.8%38.7%67.6%65.7%48.2%
IV Percentile69.7%60.3%92.1%88.5%69.0%
Term Structure-1.5%-14.1%5.1%-5.2%3.7%
VWIV55.8%27.7%86.7%67.1%50.5%
Skew 25d2.3%-4.7%8.2%5.7%-0.4%
Skew 10d3.1%-11.0%16.8%4.8%-4.8%
Call IV 25d48.2%43.1%54.4%54.4%46.3%
Put IV 25d50.4%45.9%60.0%60.0%45.9%
Bid-Ask Spread %68.5316.6085.6453.4472.09
Gamma HHI0.500.330.740.350.40
Net GEX-29.5K-82.5K6.8K6.8K-2.8K
Net DEX570.4K-87.8K1.5M-87.8K137.6K
Net VEX-2.3K-4.7K-1.0K-2.6K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio25.370.00148.2511.380.00
Total Volume420.84202,9002,4260
Total OI3,591.6842,3025,7582,3102,414

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$8.95$10.0064.6%18.5%45.1%65.7%67.1%5.7%-5.2%6.8K-87.8K-2.6K11.3853.44N/AN/A1962,2301,624686
2009-02-03$9.15$10.0065.8%18.9%46.5%67.6%64.2%8.2%-14.1%-42.7K600.4K-4.4K0.0047.19N/AN/A01,0581,7762,894
2009-02-04$9.03$10.0060.1%17.2%46.3%58.8%60.3%3.2%-13.4%-72.8K911.4K-4.7K0.2880.45N/AN/A80221,7763,798
2009-02-05$8.59$10.0058.9%16.9%48.4%56.9%60.8%2.9%-8.3%-82.5K1.5M-4.2K148.2579.19N/AN/A81,1861,8243,934
2009-02-06$8.87$10.0050.1%13.7%49.5%43.4%27.7%6.5%0.2%-70.8K791.2K-3.8K144.0042.65N/AN/A202,8801,8303,016
2009-02-09$8.73$10.0052.3%13.8%41.3%46.9%0.0%3.6%1.0%-78.6K958.4K-3.6K0.0076.59N/AN/A001,8503,030
2009-02-10$8.55$10.0050.7%13.9%41.6%44.3%50.6%-0.9%-0.7%-31.4K484.3K-2.3K0.0380.78N/AN/A8021,8501,650
2009-02-11$8.49$10.0047.1%14.1%41.2%38.8%0.0%-0.4%-1.2%-34.2K560.6K-2.3K0.0079.46N/AN/A001,9161,652
2009-02-12$8.54$10.0047.0%13.5%39.7%38.7%50.7%3.5%-0.5%-37.9K577.6K-2.2K0.2076.74N/AN/A1021,9161,652
2009-02-13$8.44$10.0047.8%13.7%38.5%39.9%0.0%0.8%0.7%-37.4K616.9K-2.1K0.0078.10N/AN/A001,9261,654
2009-02-17$8.28$10.0050.0%14.3%38.2%43.4%0.0%1.2%-0.7%-38.0K684.7K-1.8K0.0079.63N/AN/A1001,9261,648
2009-02-18$8.11$10.0048.5%13.9%34.6%41.0%48.8%-1.5%2.4%-14.8K884.2K-1.5K0.0077.36N/AN/A3001,9361,648
2009-02-19$8.11$8.7550.7%14.5%32.7%44.5%0.0%5.4%-0.9%-12.4K867.1K-1.4K0.0083.74N/AN/A0221,9661,618
2009-02-20$8.11$8.7551.0%14.6%32.7%44.8%0.0%4.7%-0.6%-1.0K890.7K-1.3K0.0085.64N/AN/A4001,9661,616
2009-02-23$8.00$8.7550.5%14.5%32.8%44.2%86.7%1.4%4.0%-1.6K88.3K-1.3K0.0078.46N/AN/A401,676628
2009-02-24$8.02$8.7550.0%14.3%32.7%43.3%49.7%-1.3%5.1%-2.0K99.3K-1.2K0.0016.60N/AN/A041,676626
2009-02-25$8.02$8.7553.1%15.2%31.7%48.1%52.4%4.8%3.0%-1.9K97.5K-1.2K0.3384.64N/AN/A30101,676626
2009-02-26$7.67$8.7554.6%15.7%33.5%50.4%50.5%-4.7%-3.7%-3.7K159.3K-1.0K0.0029.29N/AN/A7201,706636
2009-02-27$7.58$8.7553.2%15.2%29.8%48.2%0.0%-0.4%3.7%-2.8K137.6K-1.1K0.0072.09N/AN/A001,778636