WWW Options History — March 2007

In March 2007, WWW traded between $13.40 and $14.63. ATM implied volatility averaged 32.6%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.2% (HV 20d: 29.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.24.

Notable Days

  • 2007-03-06: Highest Volume — 146 contracts
  • 2007-03-05: Largest IV spike — 561.1% change
  • 2007-03-13: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.16$13.40$14.63$14.08$14.29
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV32.6%20.2%133.3%24.3%27.1%
Expected Move8.2%5.8%9.4%7.0%7.8%
HV 20d29.4%20.6%33.9%23.8%30.3%
HV 60d30.5%29.2%31.9%29.8%29.2%
Term Structure0.0%-4.2%9.0%4.5%1.9%
VWIV28.2%20.4%36.5%25.1%28.8%
Bid-Ask Spread %63.3429.84136.26125.6559.66
Gamma HHI0.490.480.530.500.49
Net GEX-5.1K-16.7K11.2K11.2K-7.2K
Net DEX143.8K-135.6K498.9K198.3K61.3K
Net VEX-9.8K-10.5K-9.3K-9.8K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.001.200.030.00
Total Volume30.6360146640
Total OI3,849.7273,4324,1943,9263,640

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$14.08$15.0024.3%7.0%23.8%0.0%25.1%0.0%4.5%11.2K198.3K-9.8K0.03125.65N/AN/A6221,4922,434
2007-03-02$13.84$15.0020.2%5.8%20.6%0.0%0.0%0.0%9.0%-103301.2K-10.2K0.00136.26N/AN/A001,4962,434
2007-03-05$13.40$15.00133.3%7.9%22.8%0.0%20.4%0.0%6.0%-12.9K388.8K-10.3K1.2069.78N/AN/A20241,4962,432
2007-03-06$13.90$15.0022.0%8.2%27.0%0.0%36.5%0.0%-2.9%438373.4K-10.1K0.7060.55N/AN/A86601,5162,456
2007-03-07$13.88$15.0024.6%8.2%25.5%0.0%0.0%0.0%-1.5%-4.4K319.2K-10.0K0.0062.30N/AN/A001,6022,456
2007-03-08$13.96$15.0024.8%8.6%25.2%0.0%0.0%0.0%-1.6%-1.6K276.0K-10.0K0.0064.81N/AN/A10401,6022,456
2007-03-09$14.02$15.0024.2%8.8%25.3%0.0%0.0%0.0%-2.6%-142239.4K-10.5K0.0042.07N/AN/A001,6862,456
2007-03-12$14.10$15.0028.9%8.6%24.6%0.0%0.0%0.0%-2.7%-107251.4K-10.0K0.0040.95N/AN/A081,6862,456
2007-03-13$13.60$15.0042.2%9.4%27.3%0.0%31.4%0.0%-3.3%-16.7K498.9K-10.2K0.3254.94N/AN/A50161,6862,464
2007-03-14$14.26$15.0026.5%9.1%32.7%0.0%0.0%0.0%-4.2%-1.9K145.6K-10.1K0.0039.75N/AN/A001,7122,480
2007-03-15$14.36$15.0031.8%9.1%32.8%0.0%0.0%0.0%-4.0%5.2K64.7K-10.1K0.0029.84N/AN/A201,7122,480
2007-03-16$14.14$15.0031.7%9.1%33.0%0.0%0.0%0.0%-3.2%-14.7K194.1K-9.8K0.0031.20N/AN/A1201,7142,480
2007-03-19$14.38$15.0029.2%8.4%33.6%0.0%0.0%0.0%-0.1%-13.0K64.2K-9.6K0.0060.43N/AN/A2201,1022,330
2007-03-20$14.47$15.0027.9%8.0%33.6%0.0%27.9%0.0%0.7%-12.1K11.7K-9.7K0.0078.35N/AN/A4801,1242,330
2007-03-21$14.63$15.0027.1%7.8%33.8%0.0%27.1%0.0%1.8%-7.0K-109.9K-9.3K0.5357.18N/AN/A38201,1682,330
2007-03-22$14.54$15.0028.7%8.2%33.9%0.0%28.8%0.0%0.1%-6.4K-135.6K-9.3K0.2955.27N/AN/A70201,2062,350
2007-03-23$14.54$15.0028.7%8.2%33.8%0.0%0.0%0.0%0.1%-4.6K-122.5K-9.6K0.0054.55N/AN/A001,2762,370
2007-03-26$14.46$15.0029.9%8.6%33.5%0.0%0.0%0.0%-0.7%-5.2K-63.8K-9.8K0.0061.13N/AN/A401,2762,370
2007-03-27$14.29$15.0028.1%8.0%31.3%0.0%0.0%0.0%1.4%-5.1K-24.2K-9.4K0.0057.94N/AN/A001,2762,370
2007-03-28$14.21$15.0026.7%7.6%31.4%0.0%0.0%0.0%1.8%-7.7K100.1K-9.5K0.0061.09N/AN/A001,2762,370
2007-03-29$14.24$15.0028.4%8.2%31.0%0.0%0.0%0.0%-0.0%-9.0K132.2K-9.6K0.0089.76N/AN/A601,2762,370
2007-03-30$14.29$15.0027.1%7.8%30.3%0.0%0.0%0.0%1.9%-7.2K61.3K-9.5K0.0059.66N/AN/A001,2702,370