WWW Options History — January 2007

In January 2007, WWW traded between $13.67 and $15.38. ATM implied volatility averaged 28.0%. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 2.0% (HV 20d: 26.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2007-01-31: Highest Volume — 1,532 contracts
  • 2007-01-25: Largest IV spike — 54.7% change
  • 2007-01-23: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.04$13.67$15.38$14.34$15.38
Max Pain$14.00$12.50$15.00$15.00$12.50
ATM IV28.0%15.3%38.8%25.4%24.7%
Expected Move8.6%4.4%11.1%7.3%7.1%
HV 20d26.1%21.3%33.1%21.3%33.1%
Term Structure-1.6%-9.3%13.7%4.5%0.9%
VWIV31.0%24.7%40.1%29.3%24.7%
Bid-Ask Spread %76.0656.64105.8476.7656.64
Gamma HHI0.900.641.000.891.00
Net GEX30.5K18.9K125.7K18.9K125.7K
Net DEX-532.9K-3.6M-229.6K-345.2K-3.6M
Net VEX-2.4K-3.8K-2.1K-2.4K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.003.330.000.00
Total Volume215.301,5321161,532
Total OI1,2679883,2909883,290

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$14.34$15.0025.4%7.3%0.0%0.0%0.0%0.0%4.5%18.9K-345.2K-2.4K0.0076.76N/AN/A1160768220
2007-01-04$14.32$15.0015.3%4.4%0.0%0.0%0.0%0.0%13.7%24.1K-428.9K-2.6K0.50105.84N/AN/A2010854220
2007-01-05$13.89$15.0019.5%8.6%0.0%0.0%0.0%0.0%-1.5%22.2K-301.6K-2.4K0.0072.42N/AN/A20854230
2007-01-08$13.92$15.0019.5%8.5%0.0%0.0%0.0%0.0%-2.4%22.4K-286.5K-2.3K0.0069.27N/AN/A00852230
2007-01-09$13.82$15.0019.6%8.5%0.0%0.0%29.3%0.0%-2.0%22.1K-253.5K-2.3K0.0077.89N/AN/A020852230
2007-01-10$13.68$15.0025.2%9.0%0.0%0.0%0.0%0.0%-1.9%20.1K-242.4K-2.1K0.0070.04N/AN/A40852220
2007-01-11$13.83$15.0028.1%8.0%0.0%0.0%0.0%0.0%-1.5%21.9K-281.0K-2.2K0.0069.15N/AN/A00848220
2007-01-12$14.00$15.0029.7%8.5%0.0%0.0%29.0%0.0%-1.4%22.6K-312.9K-2.3K0.0069.33N/AN/A400848220
2007-01-16$13.96$15.0031.6%9.1%0.0%0.0%0.0%0.0%-2.3%23.6K-326.4K-2.3K0.0075.43N/AN/A220870220
2007-01-17$13.98$15.0030.3%8.7%0.0%0.0%0.0%0.0%-3.1%25.5K-348.9K-2.3K0.0076.15N/AN/A00892218
2007-01-18$13.74$15.0034.1%9.8%0.0%0.0%33.2%0.0%-9.3%23.4K-307.5K-2.2K0.0082.10N/AN/A720892218
2007-01-19$13.90$15.0029.0%8.3%0.0%0.0%24.7%0.0%-0.9%26.7K-321.4K-2.2K0.0670.41N/AN/A342952218
2007-01-22$13.70$12.5033.6%9.6%0.0%0.0%0.0%0.0%-3.6%25.9K-259.4K-2.1K2.5086.21N/AN/A820934218
2007-01-23$13.73$12.5038.8%11.1%0.0%0.0%40.1%0.0%-5.6%24.7K-260.2K-2.2K2.0073.24N/AN/A24926238
2007-01-24$13.95$12.5024.6%7.0%0.0%0.0%0.0%0.0%-1.3%27.3K-304.9K-2.3K0.0076.99N/AN/A400926238
2007-01-25$13.67$12.5038.0%10.9%21.3%0.0%0.0%0.0%-5.3%24.0K-229.6K-2.1K3.3368.21N/AN/A620930238
2007-01-26$13.85$12.5026.0%7.5%21.5%0.0%0.0%0.0%-0.5%25.6K-253.7K-2.3K0.0081.64N/AN/A00930258
2007-01-29$14.48$12.5030.0%8.6%27.6%0.0%30.0%0.0%-1.0%34.7K-441.2K-2.4K0.0284.07N/AN/A91020930258
2007-01-30$14.54$12.5037.3%10.7%26.8%0.0%36.8%0.0%-7.8%47.9K-1.5M-3.0K0.0079.37N/AN/A1,40201,750278
2007-01-31$15.38$12.5024.7%7.1%33.1%0.0%24.7%0.0%0.9%125.7K-3.6M-3.8K0.0056.64N/AN/A1,53203,012278