WWW Options History — August 2009

In August 2009, WWW traded between $11.38 and $12.46. ATM implied volatility averaged 32.5%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 10.6% (HV 20d: 21.8%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2009-08-11: Highest Volume — 272 contracts
  • 2009-08-11: Largest IV spike — 29.0% change
  • 2009-08-13: Highest IV Rank — 14.5%
  • 2009-08-13: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.85$11.38$12.46$12.03$12.46
Max Pain$10.24$10.00$11.25$11.25$10.00
ATM IV32.5%26.5%37.3%29.4%30.6%
Expected Move9.5%7.6%10.7%8.4%8.8%
HV 20d21.8%20.2%24.2%21.5%24.2%
HV 60d30.3%27.9%32.7%32.7%28.5%
IV Rank8.1%0.3%14.5%4.1%5.7%
IV Percentile4.7%0.4%11.9%0.8%4.0%
Term Structure3.0%-5.6%12.8%0.1%-0.0%
VWIV32.1%30.2%35.8%35.8%30.2%
Skew 25d4.9%-2.5%10.9%8.0%-2.2%
Skew 10d9.7%-5.8%62.8%15.4%-3.1%
Call IV 25d30.2%25.1%35.2%28.9%29.5%
Put IV 25d35.1%27.3%39.5%36.9%27.3%
Bid-Ask Spread %46.5323.9075.9865.7143.59
Gamma HHI0.510.420.680.480.68
Net GEX33.8K27.9K44.8K29.3K34.5K
Net DEX-926.5K-1.1M-740.8K-997.5K-1.1M
Net VEX-3.3K-3.6K-3.1K-3.2K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.003.750.000.21
Total Volume47.90502720104
Total OI2,315.5242,0982,5842,1742,182

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$12.03$11.2529.4%8.4%21.5%4.1%0.0%8.0%0.1%29.3K-997.5K-3.2K0.0065.71N/AN/A001,482692
2009-08-04$12.15$11.2531.7%9.1%20.5%7.1%0.0%7.1%0.3%27.9K-1.1M-3.2K0.0060.04N/AN/A1401,482692
2009-08-05$11.85$11.2529.2%8.4%23.3%3.8%0.0%6.7%12.8%28.7K-948.6K-3.2K0.0075.67N/AN/A22401,484692
2009-08-06$11.83$11.2534.2%9.8%21.8%10.5%0.0%8.9%6.4%31.2K-994.5K-3.5K0.0068.19N/AN/A001,616692
2009-08-07$12.12$10.0028.9%9.2%22.7%3.4%0.0%8.4%4.3%30.1K-1.1M-3.4K0.0044.69N/AN/A401,616692
2009-08-10$11.96$10.0026.5%8.9%20.3%0.3%0.0%7.8%4.8%31.7K-1.0M-3.3K0.0036.04N/AN/A401,620692
2009-08-11$11.79$10.0034.2%10.5%21.3%10.4%0.0%8.2%1.7%33.5K-937.8K-3.3K0.0027.72N/AN/A27201,620692
2009-08-12$11.88$10.0032.7%10.5%20.2%8.5%0.0%4.6%-0.2%35.5K-1.0M-3.6K0.0052.87N/AN/A001,782692
2009-08-13$11.73$10.0037.3%10.7%20.8%14.5%0.0%6.0%1.3%41.6K-943.1K-3.4K0.0040.22N/AN/A6401,782692
2009-08-14$11.63$10.0034.7%10.0%21.2%11.1%0.0%-2.5%4.3%42.4K-942.4K-3.5K0.0035.92N/AN/A0401,814692
2009-08-17$11.38$10.0036.5%10.5%22.2%13.5%0.0%2.5%1.8%41.9K-766.9K-3.4K3.7541.81N/AN/A8301,814732
2009-08-18$11.53$10.0035.8%10.3%22.6%12.6%35.8%5.7%1.7%44.8K-842.5K-3.4K0.0023.90N/AN/A0161,822762
2009-08-19$11.66$10.0035.7%10.2%21.9%12.4%0.0%-0.9%-1.4%38.8K-876.2K-3.2K0.0039.09N/AN/A001,766748
2009-08-20$11.71$10.0034.2%9.8%21.1%10.4%0.0%2.9%2.1%36.5K-903.6K-3.1K0.0037.24N/AN/A001,766748
2009-08-21$11.88$10.0032.8%9.4%21.6%8.5%31.4%1.1%6.6%33.0K-1.0M-3.3K0.0033.44N/AN/A8201,766748
2009-08-24$11.65$10.0036.4%10.4%22.4%13.3%0.0%10.9%-5.6%28.2K-740.8K-3.2K0.0075.98N/AN/A001,524574
2009-08-25$11.75$10.0035.0%10.0%22.0%11.4%0.0%4.9%0.9%28.9K-776.3K-3.2K0.0042.85N/AN/A001,524574
2009-08-26$11.78$10.0029.1%8.3%22.0%3.7%0.0%1.8%7.4%29.7K-785.9K-3.1K0.0053.40N/AN/A001,524574
2009-08-27$11.96$10.0026.5%7.6%22.3%0.3%31.0%9.4%8.5%29.7K-801.7K-3.1K0.6849.30N/AN/A62421,524574
2009-08-28$12.15$10.0030.0%8.6%22.6%4.9%0.0%4.2%6.0%31.0K-909.9K-3.3K0.0029.42N/AN/A4001,546616
2009-08-31$12.46$10.0030.6%8.8%24.2%5.7%30.2%-2.2%-0.0%34.5K-1.1M-3.2K0.2143.59N/AN/A86181,566616