WWW Options History — February 2007

In February 2007, WWW traded between $13.84 and $15.15. ATM implied volatility averaged 24.7%. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 9.6% (HV 20d: 34.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2007-02-02: Highest Volume — 2,000 contracts
  • 2007-02-28: Largest IV drop — 26.1% change
  • 2007-02-06: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.66$13.84$15.15$14.79$13.88
Max Pain$14.87$12.50$15.00$12.50$15.00
ATM IV24.7%18.2%28.1%26.1%18.2%
Expected Move7.1%5.2%7.7%7.5%5.2%
HV 20d34.3%31.7%35.6%35.6%31.7%
Term Structure2.4%-0.0%12.3%1.0%12.3%
VWIV25.6%18.2%30.0%26.1%18.2%
Bid-Ask Spread %80.2718.61106.4365.19106.43
Gamma HHI0.630.491.001.000.50
Net GEX61.3K-9.0K163.3K137.5K-9.0K
Net DEX-961.6K-3.8M514.0K-3.8M514.0K
Net VEX-9.6K-11.4K-4.2K-4.2K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.003.353.350.26
Total Volume218.42102,000148144
Total OI4,278.5262,8885,3143,9783,822

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$14.79$12.5026.1%7.5%35.6%0.0%26.1%0.0%1.0%137.5K-3.8M-4.2K3.3565.19N/AN/A341143,700278
2007-02-02$14.84$15.0026.9%6.9%35.6%0.0%0.0%0.0%1.9%136.1K-2.0M-4.6K0.0087.55N/AN/A02,0002,496392
2007-02-05$14.65$15.0028.1%7.5%34.0%0.0%26.1%0.0%1.2%102.6K-1.2M-10.4K0.2287.39N/AN/A278602,4962,392
2007-02-06$14.97$15.0025.1%7.7%34.6%0.0%0.0%0.0%0.5%138.6K-1.7M-10.7K0.0086.15N/AN/A21602,6482,452
2007-02-07$15.13$15.0025.3%7.7%34.5%0.0%26.8%0.0%1.3%163.3K-2.1M-11.4K0.1686.75N/AN/A8181322,8622,452
2007-02-08$15.15$15.0026.8%7.7%34.0%0.0%0.0%0.0%-0.0%54.6K-1.6M-10.6K0.0085.62N/AN/A002,1882,584
2007-02-09$14.84$15.0025.6%7.3%35.2%0.0%0.0%0.0%1.3%62.1K-1.2M-10.5K0.0086.39N/AN/A002,1622,584
2007-02-12$14.74$15.0024.6%7.1%35.2%0.0%24.6%0.0%2.8%52.2K-1.1M-10.2K0.0085.95N/AN/A402,1622,584
2007-02-13$14.84$15.0025.7%7.4%35.2%0.0%25.7%0.0%0.9%64.8K-1.2M-10.2K0.0018.61N/AN/A6002,1642,584
2007-02-14$14.79$15.0024.9%7.1%35.3%0.0%0.0%0.0%1.6%76.0K-1.1M-10.0K0.0069.91N/AN/A002,1442,584
2007-02-15$14.60$15.0025.1%7.2%34.9%0.0%0.0%0.0%1.7%39.6K-895.9K-10.2K0.8088.15N/AN/A1082,1442,584
2007-02-16$14.62$15.0024.6%7.1%34.8%0.0%0.0%0.0%2.6%45.1K-872.6K-10.3K0.0049.15N/AN/A002,1342,592
2007-02-20$14.71$15.0022.3%6.4%34.2%0.0%0.0%0.0%4.8%23.8K-183.5K-10.1K0.0088.36N/AN/A2001,3122,342
2007-02-21$14.65$15.0024.4%7.0%34.3%0.0%0.0%0.0%3.1%21.5K-184.4K-9.9K0.0088.92N/AN/A001,3322,342
2007-02-22$14.61$15.0023.4%6.7%34.1%0.0%0.0%0.0%3.7%21.4K-136.2K-9.9K0.0071.32N/AN/A001,3322,342
2007-02-23$14.50$15.0021.7%6.2%33.3%0.0%0.0%0.0%4.5%22.7K-59.0K-9.7K0.0087.99N/AN/A001,3322,342
2007-02-26$14.32$15.0026.2%7.5%33.5%0.0%27.3%0.0%0.6%12.7K80.7K-9.8K0.1784.31N/AN/A116201,3322,342
2007-02-27$13.84$15.0024.6%7.0%31.7%0.0%30.0%0.0%0.6%-884429.5K-9.9K1.52101.07N/AN/A46701,3962,362
2007-02-28$13.88$15.0018.2%5.2%31.7%0.0%18.2%0.0%12.3%-9.0K514.0K-9.6K0.26106.43N/AN/A114301,3902,432