WWW Options History — December 2009

In December 2009, WWW traded between $13.14 and $13.87. ATM implied volatility averaged 27.5%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.5% (HV 20d: 27.0%). Max pain ranged from $11.25 to $15.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 5.25.

Notable Days

  • 2009-12-14: Highest Volume — 140 contracts
  • 2009-12-10: Largest IV spike — 41.1% change
  • 2009-12-14: Highest IV Rank — 16.5%
  • 2009-12-14: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.49$13.14$13.87$13.14$13.61
Max Pain$14.49$11.25$15.00$11.25$15.00
ATM IV27.5%19.5%34.5%33.1%23.1%
Expected Move8.4%5.6%9.9%9.5%6.6%
HV 20d27.0%18.0%43.9%43.9%18.4%
HV 60d36.3%33.4%39.9%39.9%33.4%
IV Rank7.3%0.0%16.5%9.3%4.4%
IV Percentile10.2%0.0%28.2%20.6%2.4%
Term Structure6.7%-2.4%15.5%1.1%7.2%
VWIV20.3%20.3%20.3%20.3%20.3%
Skew 25d4.4%-18.9%11.5%7.3%5.1%
Skew 10d8.3%-16.0%20.1%8.9%12.6%
Call IV 25d29.3%21.4%40.0%26.7%30.5%
Put IV 25d33.7%21.1%38.6%34.0%35.6%
Bid-Ask Spread %59.1514.63101.0316.3687.99
Gamma HHI0.510.450.710.450.47
Net GEX11.2K-5.1K41.9K41.9K-3.2K
Net DEX-595.0K-1.3M140.6K-637.4K53.3K
Net VEX-9.4K-10.1K-8.8K-10.1K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.250.0022.000.000.00
Total Volume23.54501402020
Total OI3,8522,9464,3564,3003,044

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$13.14$11.2533.1%9.5%43.9%9.3%0.0%7.3%1.1%41.9K-637.4K-10.1K0.0016.36N/AN/A0202,3081,992
2009-12-02$13.29$11.2534.0%9.7%43.8%10.5%0.0%8.4%-0.0%34.9K-784.4K-10.1K0.0014.63N/AN/A4602,3081,992
2009-12-03$13.24$11.2525.3%7.3%42.3%0.0%0.0%6.5%11.4%37.0K-851.9K-10.0K0.0019.96N/AN/A002,3481,992
2009-12-04$13.47$15.0025.7%9.5%32.5%0.5%0.0%11.5%2.0%32.2K-1.0M-10.1K0.0052.94N/AN/A002,3481,992
2009-12-07$13.44$15.0021.2%9.6%32.3%0.0%0.0%-18.9%3.5%33.6K-902.7K-10.1K0.0041.80N/AN/A002,3481,992
2009-12-08$13.27$15.0022.4%9.5%30.4%1.5%0.0%-3.1%3.8%25.2K-965.7K-9.6K0.0049.01N/AN/A002,3481,992
2009-12-09$13.29$15.0023.0%9.3%30.1%2.3%0.0%-0.5%5.9%21.4K-962.9K-9.5K0.0067.61N/AN/A002,3481,992
2009-12-10$13.31$15.0032.5%9.3%29.8%13.9%0.0%-1.8%4.9%16.0K-1.0M-9.3K0.0039.47N/AN/A002,3481,992
2009-12-11$13.45$15.0033.1%9.5%27.3%14.7%0.0%-1.9%4.2%2.9K-1.1M-9.3K0.0068.69N/AN/A0142,3481,992
2009-12-14$13.52$15.0034.5%9.9%26.6%16.5%0.0%7.2%2.6%1.6K-1.1M-9.2K0.0074.03N/AN/A14002,3481,992
2009-12-15$13.46$15.0033.8%9.7%22.4%15.6%0.0%5.6%4.5%13.4K-1.1M-9.2K0.0058.79N/AN/A002,3261,992
2009-12-16$13.87$15.0024.0%6.9%23.6%3.5%0.0%9.5%13.0%11.3K-1.3M-9.3K0.00101.03N/AN/A4202,3261,992
2009-12-17$13.63$15.0027.1%7.8%24.4%7.4%0.0%8.2%14.8%4.2K-1.2M-9.2K0.0047.80N/AN/A13202,3641,992
2009-12-18$13.44$15.0027.5%7.9%22.0%7.8%0.0%5.2%15.5%-262-1.0M-9.1K0.0065.31N/AN/A002,3301,992
2009-12-21$13.58$15.0033.5%9.6%21.9%15.2%0.0%7.7%-2.4%-2.6K117.8K-9.2K20.0069.01N/AN/A2401,2621,684
2009-12-22$13.54$15.0031.9%9.1%21.9%13.2%0.0%7.2%3.0%-3.0K101.7K-9.2K0.0070.21N/AN/A001,2641,724
2009-12-23$13.59$15.0032.0%9.2%21.3%13.3%0.0%7.4%1.9%-3.0K107.5K-9.2K22.0067.56N/AN/A2441,2641,724
2009-12-24$13.65$15.0026.6%7.6%21.3%6.7%0.0%7.2%10.9%-3.2K95.1K-9.1K0.0076.53N/AN/A001,2661,768
2009-12-28$13.52$15.0019.5%5.6%20.0%0.0%20.3%6.4%13.6%-4.1K120.2K-9.0K0.0063.20N/AN/A041,2661,768
2009-12-29$13.64$15.0020.6%5.9%20.1%1.4%0.0%4.7%13.1%-5.1K140.6K-8.9K0.0088.50N/AN/A001,2661,772
2009-12-30$13.77$15.0021.8%6.3%18.0%2.8%0.0%8.9%11.9%-4.5K64.4K-8.9K0.0060.94N/AN/A1201,2661,772
2009-12-31$13.61$15.0023.1%6.6%18.4%4.4%0.0%5.1%7.2%-3.2K53.3K-8.8K0.0087.99N/AN/A2001,2721,772