WWW Options History — September 2009

In September 2009, WWW traded between $12.26 and $13.49. ATM implied volatility averaged 34.1%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 3.9% (HV 20d: 30.2%). 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 10 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2009-09-18: Highest Volume — 1,298 contracts
  • 2009-09-16: Largest IV drop — 17.6% change
  • 2009-09-28: Highest IV Rank — 19.5%
  • 2009-09-28: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.73$12.26$13.49$12.30$12.42
Max Pain$11.07$10.00$11.25$10.00$11.25
ATM IV34.1%28.2%41.1%30.4%40.6%
Expected Move10.0%8.1%11.8%8.7%11.6%
HV 20d30.2%19.2%41.7%24.5%40.5%
HV 60d26.5%22.2%30.3%28.6%29.6%
IV Rank10.2%2.5%19.5%5.5%18.8%
IV Percentile11.9%1.2%28.6%4.0%27.8%
Term Structure1.1%-4.4%10.4%2.7%-3.6%
VWIV34.8%28.1%41.1%30.5%40.6%
Skew 25d5.6%-6.6%61.7%-5.9%3.7%
Skew 10d10.6%-10.4%104.8%-8.3%10.3%
Call IV 25d31.0%24.1%34.5%30.0%34.0%
Put IV 25d36.6%23.5%92.0%24.1%37.7%
Bid-Ask Spread %53.9718.1192.9734.4945.46
Gamma HHI0.680.600.810.670.71
Net GEX36.4K28.1K60.7K34.7K48.9K
Net DEX-1.2M-1.6M-797.6K-1.0M-1.0M
Net VEX-3.4K-4.3K-2.7K-3.4K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.250.000.00
Total Volume113.90501,2988110
Total OI2,209.811,8222,3242,2562,270

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$12.30$10.0030.4%8.7%24.5%5.5%30.5%-5.9%2.7%34.7K-1.0M-3.4K0.0034.49N/AN/A801,636620
2009-09-02$12.38$10.0028.2%8.1%22.6%2.5%28.1%-6.6%6.9%35.6K-1.1M-3.4K0.5621.28N/AN/A50281,644620
2009-09-03$12.59$10.0028.4%8.1%23.0%2.7%0.0%61.7%6.1%33.7K-1.1M-3.3K0.0018.11N/AN/A001,644648
2009-09-04$12.53$11.2528.2%9.8%21.8%2.6%34.3%-4.5%-0.5%33.9K-1.1M-3.4K1.2544.54N/AN/A24301,644648
2009-09-08$12.86$11.2530.1%10.0%22.8%5.1%0.0%-0.7%-0.8%35.1K-1.3M-3.2K0.0061.36N/AN/A2001,640678
2009-09-09$12.97$11.2532.8%10.2%21.8%8.5%0.0%1.3%-1.1%33.6K-1.3M-3.2K0.0079.01N/AN/A001,630678
2009-09-10$13.00$11.2534.9%10.0%21.8%11.3%0.0%3.1%0.5%33.2K-1.3M-3.2K0.0032.82N/AN/A3001,630678
2009-09-11$13.11$11.2532.6%9.3%21.0%8.3%31.1%-2.9%4.9%30.8K-1.4M-3.1K0.0045.59N/AN/A1001,624678
2009-09-14$12.93$11.2535.8%10.3%21.5%12.5%0.0%5.1%-1.3%34.9K-1.3M-3.0K0.0058.92N/AN/A001,624678
2009-09-15$12.91$11.2534.9%10.0%19.2%11.4%35.0%7.0%0.9%35.8K-1.3M-3.0K0.3340.49N/AN/A1241,624678
2009-09-16$13.49$11.2528.8%8.3%23.3%3.3%32.2%6.4%10.4%28.3K-1.6M-2.7K0.0480.76N/AN/A9641,624682
2009-09-17$13.37$11.2532.9%9.4%24.0%8.7%31.4%5.1%6.3%28.1K-1.5M-2.9K0.0082.20N/AN/A3201,610682
2009-09-18$12.42$11.2538.1%10.9%37.2%15.5%37.8%2.2%0.2%60.7K-1.0M-2.9K0.2166.35N/AN/A1,0762221,626682
2009-09-21$13.04$11.2532.2%9.2%40.5%7.7%0.0%6.2%8.1%34.3K-1.0M-3.5K0.2692.97N/AN/A76201,430392
2009-09-22$12.79$11.2537.2%10.7%40.6%14.4%0.0%4.9%-1.2%32.0K-1.1M-3.8K0.0062.33N/AN/A0601,498412
2009-09-23$12.57$11.2535.3%10.1%41.3%11.8%0.0%10.8%-0.7%31.3K-989.6K-3.9K0.0086.75N/AN/A8601,498432
2009-09-24$12.44$11.2535.3%10.1%41.6%11.9%0.0%5.4%-0.8%32.0K-879.0K-4.0K0.0060.66N/AN/A001,584432
2009-09-25$12.26$11.2538.1%10.9%41.7%15.6%37.8%6.0%-4.4%30.9K-797.6K-3.9K0.0038.95N/AN/A30801,584432
2009-09-28$12.46$11.2541.1%11.8%41.7%19.5%41.1%3.4%-4.4%47.9K-1.0M-4.3K0.0044.18N/AN/A8201,892432
2009-09-29$12.45$11.2539.5%11.3%40.8%17.4%38.0%5.4%-4.0%49.0K-1.0M-4.1K1.0036.13N/AN/A221,836432
2009-09-30$12.42$11.2540.6%11.6%40.5%18.8%40.6%3.7%-3.6%48.9K-1.0M-4.0K0.0045.46N/AN/A11001,838432