WWW Options History — October 2009

In October 2009, WWW traded between $12.07 and $13.93. ATM implied volatility averaged 34.9%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 5.4% (HV 20d: 40.3%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2009-10-06: Highest Volume — 402 contracts
  • 2009-10-12: Largest IV spike — 64.2% change
  • 2009-10-14: Highest IV Rank — 30.4%
  • 2009-10-02: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.18$12.07$13.93$12.11$12.79
Max Pain$11.76$11.25$12.50$11.25$12.50
ATM IV34.9%25.9%49.4%39.5%32.8%
Expected Move9.1%7.1%11.6%11.3%9.4%
HV 20d40.3%33.1%48.7%41.5%36.1%
HV 60d32.3%29.5%34.2%30.1%33.9%
IV Rank11.5%0.0%30.4%17.4%9.0%
IV Percentile16.8%0.0%51.2%24.2%13.1%
Term Structure0.6%-4.7%9.9%-3.4%-2.0%
VWIV27.4%17.3%35.7%17.3%35.7%
Skew 25d3.2%0.8%8.8%4.9%1.7%
Skew 10d7.9%-0.3%17.0%4.8%0.6%
Call IV 25d30.4%26.9%34.7%34.2%30.8%
Put IV 25d33.6%30.3%39.6%39.1%32.6%
Bid-Ask Spread %60.5421.30110.7642.7427.94
Gamma HHI0.630.550.800.730.66
Net GEX44.6K37.1K81.4K53.1K37.8K
Net DEX-1.5M-2.4M-828.5K-926.5K-828.5K
Net VEX-3.5K-4.0K-2.8K-4.0K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.005.911.500.00
Total Volume66.727040200
Total OI2,359.5451,8122,7162,3802,152

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$12.11$11.2539.5%11.3%41.5%17.4%0.0%4.9%-3.4%53.1K-926.5K-4.0K0.0042.74N/AN/A001,948432
2009-10-02$12.07$11.2540.6%11.6%41.0%18.8%0.0%5.0%-2.6%51.6K-873.0K-4.0K0.0046.01N/AN/A0101,948432
2009-10-05$12.28$11.2544.6%11.5%41.6%24.1%0.0%4.5%-4.7%55.8K-947.7K-3.8K1.5021.30N/AN/A461,960434
2009-10-06$12.60$11.2546.5%10.9%41.5%26.6%0.0%3.7%-0.7%60.3K-1.2M-3.9K0.0925.61N/AN/A368341,960434
2009-10-07$13.21$11.2537.2%9.6%44.8%14.3%17.3%3.5%1.9%81.4K-1.9M-3.6K0.6569.53N/AN/A92602,262448
2009-10-08$13.91$11.2533.0%7.1%48.3%8.9%0.0%8.8%0.4%40.8K-2.4M-3.2K0.0050.70N/AN/A23202,210504
2009-10-09$13.93$11.2529.1%8.2%48.3%3.7%0.0%4.9%1.3%40.1K-2.4M-3.0K0.2633.04N/AN/A38102,196504
2009-10-12$13.65$11.2547.8%8.5%48.6%28.3%0.0%3.1%6.4%47.5K-2.3M-3.1K0.0071.92N/AN/A002,202514
2009-10-13$13.58$11.2534.7%9.3%48.7%11.0%0.0%2.7%1.9%40.1K-2.2M-3.2K0.1064.46N/AN/A2022,202514
2009-10-14$13.68$11.2549.4%7.8%46.2%30.4%0.0%2.8%9.9%42.3K-2.3M-3.1K0.0067.95N/AN/A402,184516
2009-10-15$13.60$11.2530.2%8.7%46.1%5.1%0.0%1.8%4.9%47.2K-2.2M-3.0K0.0078.43N/AN/A002,182516
2009-10-16$13.56$11.2528.3%8.1%37.0%2.7%24.7%2.1%5.7%40.5K-2.2M-2.9K0.0061.32N/AN/A5802,182516
2009-10-19$13.77$11.2525.9%7.4%33.4%0.0%32.0%4.2%-0.1%38.6K-1.4M-2.8K3.1074.04N/AN/A20621,478334
2009-10-20$13.53$12.5027.1%7.8%33.1%1.5%0.0%1.5%6.0%39.1K-1.2M-3.1K2.8392.60N/AN/A24681,498396
2009-10-21$13.15$12.5032.9%9.4%34.3%9.1%35.7%2.0%-1.7%38.2K-1.2M-3.3K5.9197.98N/AN/A221301,518448
2009-10-22$13.49$12.5027.8%8.0%34.8%2.4%0.0%1.5%-3.8%38.9K-1.1M-3.6K0.42102.47N/AN/A48201,538548
2009-10-23$13.14$12.5032.3%9.3%36.0%8.4%0.0%0.8%-4.1%37.7K-1.1M-3.9K0.00110.76N/AN/A4001,558568
2009-10-26$13.14$12.5030.2%8.7%35.7%5.6%0.0%4.9%2.9%37.1K-1.1M-3.9K0.0085.52N/AN/A001,598568
2009-10-27$13.14$12.5033.3%9.5%35.6%9.6%0.0%2.6%-0.5%37.3K-1.0M-4.0K0.0062.50N/AN/A0401,598568
2009-10-28$12.79$12.5031.3%9.0%37.2%7.1%0.0%1.9%-1.8%38.9K-849.9K-4.0K0.0022.45N/AN/A4401,598588
2009-10-29$12.90$12.5032.9%9.4%35.9%9.1%0.0%1.9%-2.0%37.6K-915.1K-4.0K0.0022.55N/AN/A0121,568588
2009-10-30$12.79$12.5032.8%9.4%36.1%9.0%0.0%1.7%-2.0%37.8K-828.5K-3.9K0.0027.94N/AN/A001,568584