WWW Options History — June 2009

In June 2009, WWW traded between $10.26 and $11.61. ATM implied volatility averaged 40.9%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 1.2% (HV 20d: 39.7%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.25.

Notable Days

  • 2009-06-30: Highest Volume — 270 contracts
  • 2009-06-04: Largest IV drop — 22.9% change
  • 2009-06-09: Highest IV Rank — 35.6%
  • 2009-06-09: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.90$10.26$11.61$10.26$11.03
Max Pain$9.77$8.75$10.00$8.75$10.00
ATM IV40.9%33.6%45.0%38.6%41.0%
Expected Move11.9%9.6%13.1%11.1%11.8%
HV 20d39.7%32.4%44.7%39.7%36.5%
HV 60d51.8%49.1%53.8%53.2%49.1%
IV Rank24.4%15.2%35.6%25.8%21.6%
IV Percentile18.1%3.2%36.9%11.9%15.9%
Term Structure2.6%-1.8%13.4%10.7%1.0%
VWIV38.8%26.3%43.7%26.3%42.0%
Skew 25d10.6%0.1%17.9%10.8%16.0%
Skew 10d13.3%1.7%53.9%5.9%20.0%
Call IV 25d33.7%21.6%45.4%28.3%31.2%
Put IV 25d44.3%31.4%51.4%39.0%47.2%
Bid-Ask Spread %76.2238.39116.41111.4038.39
Gamma HHI0.480.330.860.350.35
Net GEX33.8K9.7K73.0K22.7K12.6K
Net DEX-622.3K-1.2M-404.6K-445.5K-493.5K
Net VEX-2.4K-2.6K-2.2K-2.5K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.0015.000.000.03
Total Volume48.455027016270
Total OI2,735.5451,5783,4283,1001,750

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$10.26$8.7538.6%11.1%39.7%25.8%26.3%10.8%10.7%22.7K-445.5K-2.5K0.00111.40N/AN/A1602,374726
2009-06-02$10.48$8.7538.6%11.1%39.0%25.9%0.0%13.2%7.6%26.5K-485.2K-2.3K0.00111.43N/AN/A002,388726
2009-06-03$10.48$8.7543.6%12.5%38.9%33.4%0.0%10.4%3.9%31.2K-539.8K-2.6K0.00106.27N/AN/A802,388726
2009-06-04$10.59$8.7533.6%9.6%38.8%18.1%0.0%9.8%5.5%31.5K-553.2K-2.5K0.00116.41N/AN/A002,396726
2009-06-05$10.50$10.0038.5%12.9%37.4%25.6%0.0%5.7%-0.9%34.3K-584.1K-2.5K0.0068.67N/AN/A0122,396726
2009-06-08$10.52$10.0041.9%12.9%37.2%30.8%0.0%3.2%-1.0%30.7K-534.9K-2.4K0.0065.75N/AN/A002,396738
2009-06-09$10.56$10.0045.0%13.1%35.1%35.6%0.0%13.0%-1.8%30.5K-537.1K-2.3K0.0077.57N/AN/A002,396738
2009-06-10$10.60$10.0037.0%12.5%32.4%23.3%43.7%16.5%0.6%30.9K-536.0K-2.2K15.0071.80N/AN/A101502,396738
2009-06-11$11.61$10.0042.4%12.1%43.2%24.0%38.6%9.7%1.9%73.0K-1.2M-2.6K0.8880.44N/AN/A34302,376888
2009-06-12$11.52$10.0037.2%10.7%43.1%15.2%0.0%0.1%13.4%55.7K-1.0M-2.3K0.0077.72N/AN/A202,394918
2009-06-15$11.46$10.0040.2%11.5%43.4%20.2%0.0%6.6%0.8%57.8K-945.5K-2.3K0.0082.19N/AN/A402,394918
2009-06-16$11.27$10.0042.5%12.2%44.1%24.3%0.0%8.0%-0.8%53.9K-879.5K-2.3K0.0063.50N/AN/A2802,394918
2009-06-17$11.29$10.0043.8%12.6%44.0%26.5%0.0%7.3%-1.2%56.7K-896.0K-2.2K0.0060.39N/AN/A002,410918
2009-06-18$11.12$10.0043.2%12.4%44.7%25.4%43.3%7.1%0.3%58.4K-723.2K-2.2K0.0059.74N/AN/A10002,410918
2009-06-19$11.09$10.0040.9%11.7%41.7%21.4%0.0%9.8%1.4%72.6K-736.6K-2.2K0.0055.95N/AN/A22402,510918
2009-06-22$10.80$10.0041.9%12.0%42.2%23.3%42.0%16.5%10.2%10.0K-425.4K-2.4K0.5085.05N/AN/A168954624
2009-06-23$10.80$10.0044.5%12.7%38.8%27.5%0.0%13.3%0.3%9.7K-405.8K-2.4K1.0368.56N/AN/A7476970632
2009-06-24$10.78$10.0042.5%12.2%38.7%24.1%0.0%15.0%0.7%10.6K-404.6K-2.5K0.0085.58N/AN/A201,042708
2009-06-25$10.99$10.0040.9%11.7%39.0%21.5%0.0%17.9%1.1%10.6K-442.6K-2.6K0.0062.62N/AN/A001,040708
2009-06-26$10.97$10.0041.3%11.9%38.8%22.2%0.0%9.3%1.6%10.9K-445.6K-2.5K0.0073.17N/AN/A001,040708
2009-06-29$11.02$10.0040.3%11.6%37.1%20.5%0.0%14.1%2.5%11.8K-482.0K-2.5K0.0054.26N/AN/A201,040708
2009-06-30$11.03$10.0041.0%11.8%36.5%21.6%0.0%16.0%1.0%12.6K-493.5K-2.5K0.0338.39N/AN/A26281,042708