WWW Options History — May 2009

In May 2009, WWW traded between $9.28 and $10.38. ATM implied volatility averaged 44.8%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 9.5% (HV 20d: 54.3%). Max pain ranged from $8.75 to $11.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2009-05-01: Highest Volume — 264 contracts
  • 2009-05-11: Largest IV spike — 28.9% change
  • 2009-05-12: Highest IV Rank — 50.5%
  • 2009-05-01: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.79$9.28$10.38$10.07$9.90
Max Pain$8.88$8.75$11.25$11.25$8.75
ATM IV44.8%38.3%54.7%51.8%40.0%
Expected Move12.6%11.0%14.9%14.9%11.5%
HV 20d54.3%31.2%67.3%66.8%39.3%
HV 60d54.5%53.5%55.5%54.7%54.6%
IV Rank35.4%25.3%50.5%46.1%27.9%
IV Percentile34.9%12.3%68.3%59.9%16.3%
Term Structure2.1%-5.4%13.8%-5.4%3.8%
VWIV41.6%34.4%46.0%41.5%38.2%
Skew 25d7.0%-3.4%15.4%-3.4%-0.6%
Skew 10d11.6%-9.4%33.1%-9.4%0.8%
Call IV 25d40.1%33.9%48.1%48.1%34.2%
Put IV 25d47.2%33.6%50.2%44.7%33.6%
Bid-Ask Spread %91.8972.11114.0591.85103.56
Gamma HHI0.350.270.430.420.27
Net GEX17.2K9.8K26.6K22.8K13.0K
Net DEX-301.9K-533.7K45.0K-472.5K-322.6K
Net VEX-2.8K-3.7K-2.1K-3.6K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.006.500.972.00
Total Volume54.602642646
Total OI3,152.62,9163,3503,0343,098

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$10.07$11.2551.8%14.9%66.8%46.1%41.5%-3.4%-5.4%22.8K-472.5K-3.6K0.9791.85N/AN/A1341302,284750
2009-05-04$10.38$8.7544.0%12.8%67.1%34.1%41.2%5.9%2.0%25.2K-505.2K-3.6K0.0082.99N/AN/A4402,400840
2009-05-05$10.32$8.7546.5%13.0%67.3%38.0%42.0%7.3%1.3%25.8K-506.3K-3.7K0.0079.93N/AN/A2202,410840
2009-05-06$10.23$8.7550.3%13.5%64.1%43.7%0.0%12.8%-0.1%26.6K-533.7K-3.7K0.0085.34N/AN/A002,404840
2009-05-07$9.95$8.7552.3%13.3%65.1%46.9%42.8%6.1%-1.1%23.9K-440.5K-3.4K0.0072.11N/AN/A2002,404840
2009-05-08$10.05$8.7539.6%12.8%61.5%27.4%0.0%3.4%1.1%20.3K-365.0K-3.2K0.0086.79N/AN/A002,416840
2009-05-11$9.74$8.7551.1%13.2%62.8%45.0%46.0%3.1%-2.4%15.6K-206.5K-2.8K2.5091.61N/AN/A4102,416840
2009-05-12$9.44$8.7554.7%12.8%64.1%50.5%44.0%2.4%0.1%13.0K-98.0K-2.5K2.5097.99N/AN/A8202,412840
2009-05-13$9.28$8.7546.6%13.4%64.5%38.1%0.0%9.6%-1.7%9.8K45.0K-2.2K0.0089.12N/AN/A0642,420850
2009-05-14$9.55$8.7544.5%12.8%64.0%34.8%0.0%11.1%2.3%10.8K-81.0K-2.6K0.2095.41N/AN/A100202,420874
2009-05-15$9.57$8.7543.4%12.5%63.8%33.2%0.0%5.3%0.8%12.3K-100.1K-2.6K0.0085.94N/AN/A022,460890
2009-05-18$9.74$8.7544.1%12.6%62.0%34.2%44.5%5.3%-2.2%16.0K-287.9K-2.5K0.0084.61N/AN/A15402,272644
2009-05-19$9.71$8.7541.9%12.0%60.8%30.8%34.4%3.3%4.0%16.2K-311.8K-2.7K0.0091.84N/AN/A602,412644
2009-05-20$9.86$8.7545.2%12.9%31.2%35.9%0.0%6.2%1.7%23.3K-444.4K-2.8K0.0080.25N/AN/A0222,412644
2009-05-21$9.48$8.7543.9%12.6%32.8%34.0%38.2%12.8%1.6%16.1K-300.6K-2.6K0.00101.04N/AN/A802,412642
2009-05-22$9.29$8.7539.7%11.4%33.0%27.6%0.0%8.6%13.8%13.0K-256.7K-2.4K0.18105.27N/AN/A120222,410642
2009-05-26$9.79$8.7538.7%11.1%39.1%25.9%0.0%15.4%7.0%13.0K-268.6K-2.1K0.0095.57N/AN/A002,352664
2009-05-27$9.75$8.7538.3%11.0%38.8%25.3%0.0%15.2%9.7%14.0K-291.1K-2.1K6.50114.05N/AN/A201302,352664
2009-05-28$9.73$8.7540.1%11.5%38.7%28.1%0.0%11.1%4.9%13.3K-290.7K-2.4K0.00102.59N/AN/A0262,372726
2009-05-29$9.90$8.7540.0%11.5%39.3%27.9%0.0%-0.6%3.8%13.0K-322.6K-2.3K2.00103.56N/AN/A242,372726