WWW Options History — July 2009

In July 2009, WWW traded between $10.58 and $12.05. ATM implied volatility averaged 47.0%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 19.3% (HV 20d: 27.7%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2009-07-13: Highest Volume — 4,026 contracts
  • 2009-07-15: Largest IV drop — 57.1% change
  • 2009-07-13: Highest IV Rank — 100.0%
  • 2009-07-02: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.30$10.58$12.05$11.07$12.05
Max Pain$10.74$10.00$11.25$10.00$11.25
ATM IV47.0%26.3%102.4%46.2%30.4%
Expected Move11.2%7.5%14.6%13.2%8.7%
HV 20d27.7%19.3%39.0%36.5%21.4%
HV 60d40.5%33.3%49.1%49.1%33.3%
IV Rank29.5%0.0%100.0%30.5%5.4%
IV Percentile33.5%0.0%100.0%40.9%1.2%
Term Structure-1.2%-10.0%11.2%-3.7%0.9%
VWIV41.1%30.4%54.5%46.2%30.4%
Skew 25d7.4%-8.5%15.2%15.2%7.1%
Skew 10d15.7%6.2%24.4%17.7%13.9%
Call IV 25d36.3%28.7%56.7%34.8%29.2%
Put IV 25d43.7%29.7%62.0%50.0%36.3%
Bid-Ask Spread %60.0836.3694.3548.7273.75
Gamma HHI0.470.370.780.380.47
Net GEX34.7K14.0K111.4K16.6K29.5K
Net DEX-1.1M-4.3M-458.5K-592.2K-988.0K
Net VEX-3.5K-4.9K-3.1K-3.3K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.000.730.730.14
Total Volume425.90904,02649016
Total OI2,888.4552,0166,4982,0162,166

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$11.07$10.0046.2%13.2%36.5%30.5%46.2%15.2%-3.7%16.6K-592.2K-3.3K0.7348.72N/AN/A2842061,304712
2009-07-02$10.76$11.2551.0%14.6%38.1%38.8%54.5%15.0%-10.0%14.0K-458.5K-3.6K0.1136.36N/AN/A280321,546904
2009-07-06$10.79$10.0053.9%12.4%38.0%43.6%0.0%10.2%-2.3%19.4K-576.2K-3.6K0.0042.77N/AN/A001,752916
2009-07-07$10.66$10.0057.6%12.4%38.3%49.9%0.0%8.9%-1.4%18.8K-570.4K-3.6K0.0039.99N/AN/A0201,752916
2009-07-08$10.78$10.0046.7%12.6%38.4%31.3%0.0%-8.5%-2.8%20.2K-610.2K-3.5K0.0042.27N/AN/A001,752936
2009-07-09$10.58$10.0066.9%14.5%39.0%65.9%50.3%6.0%-9.1%18.3K-520.8K-3.5K0.0045.47N/AN/A021,752936
2009-07-10$10.63$10.0068.3%13.1%19.3%68.2%0.0%5.3%-0.2%18.7K-507.2K-3.5K0.0846.11N/AN/A260201,752938
2009-07-13$11.04$10.0087.4%13.2%24.5%100.0%46.7%8.0%-5.6%26.6K-781.5K-3.3K0.1250.22N/AN/A3,6104161,900954
2009-07-14$11.01$10.00102.4%13.1%24.5%100.0%0.0%8.0%-5.1%96.3K-3.3M-4.9K0.5743.15N/AN/A140805,0541,336
2009-07-15$11.24$10.0043.9%10.5%25.2%21.1%34.8%8.9%-0.1%74.9K-4.3M-3.2K0.1673.46N/AN/A2,2023565,1001,398
2009-07-16$11.33$11.2536.0%10.3%25.3%10.3%33.7%7.9%0.6%68.9K-2.4M-3.7K0.0562.12N/AN/A1,148623,3261,652
2009-07-17$11.32$11.2537.0%10.6%24.6%11.7%37.1%7.8%0.7%111.4K-1.2M-3.6K0.5649.23N/AN/A32182,2301,564
2009-07-20$11.47$11.2538.5%11.0%25.0%13.7%0.0%-5.2%-4.3%23.0K-662.1K-3.2K0.0058.02N/AN/A001,366708
2009-07-21$11.43$11.2537.0%10.6%22.8%11.7%37.3%7.7%-1.1%22.3K-641.0K-3.3K0.0057.21N/AN/A1001,366708
2009-07-22$11.65$11.2534.2%9.8%23.6%7.9%40.4%12.3%-3.7%24.1K-729.9K-3.2K0.0072.82N/AN/A0521,366708
2009-07-23$11.84$11.2531.7%9.1%23.8%4.6%0.0%6.9%5.4%25.4K-832.2K-3.1K0.0094.35N/AN/A7001,366690
2009-07-24$11.77$11.2535.3%10.1%23.4%9.4%0.0%9.4%3.3%25.3K-841.0K-3.4K0.0079.02N/AN/A001,436690
2009-07-27$11.66$11.2536.0%10.3%23.8%10.3%0.0%6.3%-0.8%27.4K-791.3K-3.2K0.0073.25N/AN/A3001,436690
2009-07-28$11.83$11.2529.8%8.5%24.1%2.0%0.0%8.1%11.2%29.0K-880.4K-3.3K0.0075.23N/AN/A001,466690
2009-07-29$11.78$11.2537.3%10.7%24.3%12.1%0.0%9.3%-0.9%27.1K-862.2K-3.4K0.0074.42N/AN/A1001,466690
2009-07-30$11.90$11.2526.3%7.5%24.4%0.0%0.0%8.5%2.1%26.5K-971.6K-3.3K0.4083.74N/AN/A1041,466690
2009-07-31$12.05$11.2530.4%8.7%21.4%5.4%30.4%7.1%0.9%29.5K-988.0K-3.2K0.1473.75N/AN/A1421,476690