WWW Options History — April 2007

In April 2007, WWW traded between $14.29 and $15.17. ATM implied volatility averaged 27.5%. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 6.7% (HV 20d: 20.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2007-04-18: Highest Volume — 726 contracts
  • 2007-04-18: Largest IV drop — 21.7% change
  • 2007-04-17: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.73$14.29$15.17$14.32$14.29
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV27.5%19.8%35.2%27.4%19.8%
Expected Move7.7%5.7%9.5%7.9%5.7%
HV 20d20.8%14.2%27.5%27.5%23.2%
HV 60d28.5%24.8%29.6%29.2%24.8%
Term Structure-0.4%-4.9%2.3%1.7%1.9%
VWIV26.7%23.0%33.1%29.6%23.6%
Bid-Ask Spread %66.6410.31108.0132.5328.40
Gamma HHI0.520.480.700.490.49
Net GEX20.2K-6.9K109.0K-6.9K3.6K
Net DEX-353.7K-1.3M205.1K36.5K205.1K
Net VEX-8.5K-9.4K-7.9K-9.4K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.0011.250.000.00
Total Volume156.30726086
Total OI3,941.33,6404,6743,6403,862

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$14.32$15.0027.4%7.9%27.5%0.0%0.0%0.0%1.7%-6.9K36.5K-9.4K0.0032.53N/AN/A001,2702,370
2007-04-03$14.54$15.0026.9%7.7%25.0%0.0%0.0%0.0%2.1%-1.3K-191.8K-8.9K0.0061.59N/AN/A601,2702,370
2007-04-04$14.70$15.0025.6%7.3%25.2%0.0%0.0%0.0%1.9%-284-245.9K-9.1K0.0065.47N/AN/A001,2762,370
2007-04-05$14.62$15.0028.0%8.0%25.3%0.0%0.0%0.0%0.5%917-261.8K-8.9K0.0062.05N/AN/A401,2762,370
2007-04-09$14.65$15.0031.4%8.0%25.3%0.0%0.0%0.0%-1.8%2.6K-263.1K-8.7K0.8810.31N/AN/A34301,2762,370
2007-04-10$14.81$15.0034.4%8.4%25.5%0.0%0.0%0.0%-2.7%3.0K-328.0K-8.5K0.0084.01N/AN/A01421,2982,390
2007-04-11$14.69$15.0035.2%8.5%21.6%0.0%29.6%0.0%-2.6%-5.4K-191.2K-8.9K0.6785.39N/AN/A60401,2982,466
2007-04-12$14.74$15.0029.7%8.5%14.2%0.0%0.0%0.0%-2.6%-2.3K-147.7K-8.7K0.0084.78N/AN/A10001,3562,486
2007-04-13$14.60$15.0029.0%8.3%14.6%0.0%0.0%0.0%-2.5%7.8K-219.2K-8.8K0.0086.34N/AN/A2401,4422,486
2007-04-16$14.96$15.0030.3%8.7%15.5%0.0%30.3%0.0%-3.8%14.2K-511.1K-8.0K0.0084.48N/AN/A47401,4622,486
2007-04-17$14.97$15.0033.1%9.5%14.6%0.0%33.1%0.0%-4.9%47.5K-775.1K-8.5K0.3183.69N/AN/A3181001,8862,486
2007-04-18$15.10$15.0025.9%7.4%14.7%0.0%25.4%0.0%2.3%109.0K-1.2M-8.3K0.37108.01N/AN/A5301962,1282,546
2007-04-19$14.73$15.0025.9%7.4%17.1%0.0%25.9%0.0%0.8%58.4K-315.3K-8.5K0.6183.07N/AN/A3622201,8302,658
2007-04-20$15.17$15.0025.8%7.4%19.7%0.0%25.8%0.0%-0.6%89.3K-1.3M-8.0K0.2083.39N/AN/A122241,9162,728
2007-04-23$14.92$15.0024.6%7.0%20.8%0.0%24.6%0.0%0.3%22.4K-514.8K-7.9K0.0087.69N/AN/A1001,4182,460
2007-04-24$14.67$15.0025.8%7.4%21.7%0.0%25.8%0.0%-1.0%16.3K-222.1K-8.3K0.7988.11N/AN/A38301,4242,460
2007-04-25$14.83$15.0025.1%7.2%21.3%0.0%0.0%0.0%0.4%18.6K-401.2K-7.9K11.2585.35N/AN/A8901,4042,468
2007-04-26$14.72$15.0023.0%6.6%21.4%0.0%23.0%0.0%2.1%16.1K-159.1K-8.4K0.0015.77N/AN/A7601,4042,500
2007-04-27$14.62$15.0023.8%6.8%21.7%0.0%0.0%0.0%0.9%10.8K-74.0K-8.3K0.0012.42N/AN/A021,3602,500
2007-04-30$14.29$15.0019.8%5.7%23.2%0.0%23.6%0.0%1.9%3.6K205.1K-8.0K0.0028.40N/AN/A8601,3602,502