WWW Options History — April 2009

In April 2009, WWW traded between $7.83 and $10.89. ATM implied volatility averaged 48.2%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 9.2% (HV 20d: 57.4%). Max pain ranged from $6.25 to $11.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 4.99.

Notable Days

  • 2009-04-21: Highest Volume — 438 contracts
  • 2009-04-27: Largest IV spike — 48.7% change
  • 2009-04-29: Highest IV Rank — 59.6%
  • 2009-04-29: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.42$7.83$10.89$7.83$10.41
Max Pain$7.56$6.25$11.25$6.25$11.25
ATM IV48.2%36.4%60.6%53.2%58.2%
Expected Move13.9%10.4%17.4%15.3%16.7%
HV 20d57.4%49.2%69.2%52.6%67.5%
HV 60d49.1%44.7%55.5%44.7%54.3%
IV Rank40.5%22.4%59.6%48.3%55.9%
IV Percentile48.9%10.7%81.0%65.9%77.0%
Term Structure-3.7%-18.0%12.9%2.7%-18.0%
VWIV49.1%36.5%57.0%47.4%57.0%
Skew 25d6.5%-8.5%25.2%8.8%-8.5%
Skew 10d10.1%-19.5%33.1%19.2%-14.0%
Call IV 25d43.8%24.2%52.8%43.6%52.8%
Put IV 25d50.3%44.3%54.3%52.4%44.3%
Bid-Ask Spread %74.7644.73108.2696.2384.89
Gamma HHI0.320.200.450.200.45
Net GEX15.9K3.4K36.0K3.4K27.9K
Net DEX-369.5K-897.5K-67.2K-67.2K-659.8K
Net VEX-2.0K-4.1K-676-676-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.990.0061.000.0061.00
Total Volume88.952043800
Total OI2,031.811,5843,0341,5843,034

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$7.83$6.2553.2%15.3%52.6%48.3%0.0%8.8%2.7%3.4K-67.2K-6760.0096.23N/AN/A001,448136
2009-04-02$8.35$6.2539.0%11.2%51.0%26.5%0.0%12.0%3.5%6.0K-137.0K-9740.0060.08N/AN/A2001,448136
2009-04-03$8.52$6.2540.2%13.4%49.8%28.2%47.4%5.4%-2.9%5.9K-143.5K-8920.0058.28N/AN/A1001,468136
2009-04-06$8.55$6.2552.5%14.0%49.2%47.2%0.0%5.1%-3.4%6.0K-147.8K-9050.0053.90N/AN/A1201,478136
2009-04-07$8.14$6.2547.7%14.1%51.4%39.8%0.0%6.8%-4.0%5.1K-127.2K-8090.0066.46N/AN/A0201,478136
2009-04-08$8.41$6.2544.3%13.7%50.7%34.6%0.0%12.5%-1.1%5.6K-131.5K-8670.0084.27N/AN/A001,478156
2009-04-09$8.98$6.2547.0%13.5%54.4%38.8%0.0%11.8%-0.7%7.0K-183.6K-8940.0083.49N/AN/A0121,478156
2009-04-13$9.03$6.2549.1%14.1%54.4%41.9%48.4%5.0%-4.8%7.8K-199.5K-9480.0044.73N/AN/A601,478156
2009-04-14$9.01$6.2549.4%14.2%53.9%42.4%0.0%4.1%-5.3%7.8K-199.3K-9560.0048.76N/AN/A001,484156
2009-04-15$9.04$6.2549.8%14.3%52.6%43.0%0.0%6.3%-1.6%8.6K-208.9K-1.0K0.0074.75N/AN/A0701,484156
2009-04-16$9.37$6.2541.4%11.9%53.2%30.1%0.0%14.1%12.9%9.3K-225.0K-1.0K0.0088.72N/AN/A401,476178
2009-04-17$9.52$6.2543.9%12.6%53.2%34.0%0.0%2.3%-3.9%10.3K-248.9K-1.1K0.3757.02N/AN/A162601,476178
2009-04-20$9.12$6.2549.0%14.0%54.7%41.8%0.0%11.8%-8.1%9.0K-212.3K-1.3K0.9370.06N/AN/A86801,586234
2009-04-21$9.45$6.2546.6%13.4%52.4%38.0%50.4%1.1%-1.0%12.3K-288.8K-2.0K0.0076.01N/AN/A43801,648314
2009-04-22$10.89$6.2549.0%14.0%68.0%41.7%47.1%25.2%0.7%36.0K-897.5K-3.5K1.19108.26N/AN/A1361622,048314
2009-04-23$10.64$10.0055.0%15.8%69.2%51.1%54.4%-5.3%-12.3%31.7K-721.7K-3.5K0.8785.12N/AN/A1501302,040476
2009-04-24$10.69$10.0036.4%10.4%67.2%22.4%36.5%3.7%-1.5%33.9K-776.4K-3.9K0.5088.09N/AN/A84422,168606
2009-04-27$10.58$11.2554.1%15.5%66.8%49.7%51.7%5.0%-8.9%32.1K-696.3K-3.9K0.0082.55N/AN/A0202,242648
2009-04-28$10.69$11.2544.6%12.8%66.0%35.1%0.0%8.0%-2.4%33.9K-764.4K-3.9K0.0082.35N/AN/A4002,242648
2009-04-29$10.56$11.2560.6%17.4%66.8%59.6%57.0%1.5%-16.6%33.1K-723.5K-3.9K61.0075.92N/AN/A21222,282648
2009-04-30$10.41$11.2558.2%16.7%67.5%55.9%0.0%-8.5%-18.0%27.9K-659.8K-4.1K0.0084.89N/AN/A002,284750