WWW Options History — March 2009 In March 2009, WWW traded between $6.61 and $7.93. ATM implied volatility averaged 51.9%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 9.6% (HV 20d: 42.3%). Max pain ranged from $6.25 to $8.75. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.46.
Notable Days 2009-03-02 : Highest Volume — 220 contracts2009-03-04 : Largest IV spike — 23.8% change2009-03-04 : Highest IV Rank — 53.7%2009-03-09 : Largest Expected Move — 17.8%Monthly Statistics Metric Avg Min Max Open Close Price $7.27 $6.61 $7.93 $7.38 $7.79 Max Pain $7.50 $6.25 $8.75 $8.75 $6.25 ATM IV 51.9% 43.6% 56.8% 55.8% 55.2% Expected Move 15.3% 12.5% 17.8% 16.0% 15.8% HV 20d 42.3% 28.0% 55.2% 30.2% 52.8% HV 60d 43.3% 41.1% 45.4% 42.5% 44.7% IV Rank 46.2% 33.5% 53.7% 52.2% 51.3% IV Percentile 63.9% 40.5% 75.4% 73.4% 71.4% Term Structure -1.9% -13.1% 4.0% -1.4% 0.4% VWIV 54.1% 50.5% 59.7% 55.7% 50.5% Skew 25d 4.3% -28.0% 30.1% 5.8% 6.7% Skew 10d 10.7% -24.0% 32.2% 3.9% 8.9% Call IV 25d 48.8% 34.7% 61.1% 40.7% 45.1% Put IV 25d 53.1% 32.0% 64.8% 46.6% 51.8% Bid-Ask Spread % 58.00 27.76 99.65 85.99 99.65 Gamma HHI 0.51 0.19 0.85 0.43 0.19 Net GEX -5.0K -28.5K 3.6K -3.6K 3.3K Net DEX 141.4K -73.2K 308.1K 146.8K -67.9K Net VEX -643 -1.1K -458 -1.1K -662 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.46 0.00 4.50 4.50 0.55 Total Volume 24.364 0 220 220 34 Total OI 2,096.909 1,454 2,384 2,374 1,550
Daily Data (22 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 2009-03-02 $7.38 $8.75 55.8% 16.0% 30.2% 52.2% 55.7% 5.8% -1.4% -3.6K 146.8K -1.1K 4.50 85.99 N/A N/A 40 180 1,778 596 2009-03-03 $7.13 $8.75 45.9% 13.1% 31.5% 37.0% 0.0% -7.5% -0.0% -5.1K 192.1K -894 0.00 69.87 N/A N/A 0 0 1,778 596 2009-03-04 $7.25 $8.75 56.8% 16.3% 30.6% 53.7% 0.0% -4.8% -2.5% -5.0K 203.5K -875 0.00 57.22 N/A N/A 30 0 1,778 596 2009-03-05 $6.83 $8.75 43.6% 12.5% 35.1% 33.5% 0.0% -28.0% 3.1% -4.7K 271.9K -642 0.00 62.27 N/A N/A 0 0 1,788 596 2009-03-06 $6.68 $0.00 53.7% 17.8% 32.5% 49.0% 0.0% -5.1% -3.7% -4.0K 286.2K -618 0.00 59.79 N/A N/A 0 0 1,788 596 2009-03-09 $6.61 $0.00 53.8% 17.8% 28.0% 49.2% 0.0% -4.7% -3.5% -3.3K 308.1K -458 1.00 29.03 N/A N/A 6 6 1,788 592 2009-03-10 $6.97 $0.00 46.5% 15.8% 36.9% 37.9% 0.0% 9.2% -3.9% -6.0K 267.7K -639 0.00 58.76 N/A N/A 4 0 1,782 592 2009-03-11 $6.80 $0.00 54.2% 17.0% 37.0% 49.8% 0.0% 3.3% -13.1% -5.3K 271.5K -534 0.00 32.90 N/A N/A 0 0 1,786 572 2009-03-12 $6.90 $0.00 52.4% 15.0% 38.1% 46.9% 0.0% 2.8% -1.9% -5.9K 268.8K -584 0.00 27.76 N/A N/A 4 0 1,786 564 2009-03-13 $7.05 $0.00 51.9% 14.9% 39.4% 46.2% 0.0% 30.1% -4.1% -7.7K 247.6K -565 0.00 34.06 N/A N/A 22 0 1,790 564 2009-03-16 $6.96 $0.00 52.2% 15.0% 39.4% 46.8% 52.4% 9.4% -1.4% -5.3K 295.1K -501 0.17 32.50 N/A N/A 12 2 1,784 564 2009-03-17 $7.28 $7.50 51.0% 14.6% 43.6% 44.9% 0.0% 8.4% -2.5% -9.9K 204.2K -602 0.00 61.20 N/A N/A 6 0 1,796 562 2009-03-18 $7.46 $7.50 51.4% 14.7% 44.6% 45.5% 0.0% 7.9% -3.7% -18.1K 179.3K -615 0.00 61.47 N/A N/A 30 0 1,790 562 2009-03-19 $7.50 $7.50 53.8% 15.4% 44.7% 49.2% 0.0% 5.9% -4.8% -28.5K 141.6K -697 0.00 53.64 N/A N/A 0 4 1,820 562 2009-03-20 $7.28 $7.50 51.7% 14.8% 45.6% 45.9% 0.0% 6.5% -2.2% -19.5K 196.0K -590 0.00 47.18 N/A N/A 0 0 1,820 560 2009-03-23 $7.73 $7.50 52.4% 15.0% 51.1% 47.0% 52.4% 7.7% -0.2% 2.4K -34.2K -540 0.00 70.13 N/A N/A 20 0 1,354 100 2009-03-24 $7.49 $7.50 50.2% 14.4% 52.2% 43.6% 0.0% 4.6% 3.4% 3.1K -44.1K -579 0.00 49.50 N/A N/A 0 20 1,374 100 2009-03-25 $7.45 $7.50 51.9% 14.9% 52.2% 46.3% 59.7% 8.3% 0.7% 2.3K -27.9K -535 0.14 58.82 N/A N/A 28 4 1,374 120 2009-03-26 $7.93 $6.25 51.3% 14.7% 55.0% 45.4% 0.0% 9.0% -0.1% 3.4K -64.8K -627 0.00 71.45 N/A N/A 42 0 1,398 124 2009-03-27 $7.79 $6.25 50.1% 14.4% 55.2% 43.5% 50.5% 8.0% 4.0% 3.6K -73.2K -681 0.60 63.25 N/A N/A 10 6 1,438 124 2009-03-30 $7.70 $6.25 55.1% 15.8% 54.5% 51.2% 0.0% 11.0% -4.7% 3.0K -57.1K -626 0.00 89.64 N/A N/A 26 0 1,426 124 2009-03-31 $7.79 $6.25 55.2% 15.8% 52.8% 51.3% 0.0% 6.7% 0.4% 3.3K -67.9K -662 0.55 99.65 N/A N/A 22 12 1,426 124
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