WWW Options History — May 2007

In May 2007, WWW traded between $13.89 and $14.77. ATM implied volatility averaged 22.5%. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.3% (HV 20d: 24.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.09.

Notable Days

  • 2007-05-24: Highest Volume — 540 contracts
  • 2007-05-08: Largest IV drop — 33.4% change
  • 2007-05-08: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.38$13.89$14.77$14.28$14.52
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV22.5%16.5%26.5%20.2%24.3%
Expected Move6.8%5.7%7.6%5.8%7.0%
HV 20d24.8%22.2%28.0%23.2%24.4%
HV 60d25.4%23.7%26.9%24.8%23.7%
Term Structure2.1%-0.6%5.6%2.4%3.7%
VWIV25.4%18.2%39.6%39.6%23.9%
Bid-Ask Spread %37.0819.3480.6135.4624.26
Gamma HHI0.500.490.560.490.54
Net GEX9.1K-12.4K44.2K-2.2K36.2K
Net DEX114.3K-494.5K521.2K325.2K-314.4K
Net VEX-7.2K-8.0K-6.3K-8.0K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.000.740.000.00
Total Volume45.182054066
Total OI3,808.5453,4504,0303,8383,966

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$14.28$15.0020.2%5.8%23.2%0.0%39.6%0.0%2.4%-2.2K325.2K-8.0K0.0035.46N/AN/A061,3362,502
2007-05-02$14.32$15.0019.9%5.7%22.6%0.0%0.0%0.0%2.3%3.0K206.8K-7.9K0.0025.89N/AN/A001,3362,502
2007-05-03$14.38$15.0022.8%6.5%22.2%0.0%0.0%0.0%1.1%3.5K218.4K-8.0K0.0025.76N/AN/A601,3362,502
2007-05-04$14.36$15.0019.1%7.3%22.2%0.0%25.4%0.0%0.4%4.7K183.2K-7.8K0.0052.33N/AN/A401,3422,502
2007-05-07$14.53$15.0024.8%7.5%22.6%0.0%0.0%0.0%0.7%9.0K109.0K-7.6K0.0080.61N/AN/A001,3462,502
2007-05-08$14.27$15.0016.5%7.6%23.0%0.0%26.6%0.0%-0.6%-1.2K311.4K-7.4K0.0078.91N/AN/A401,3462,502
2007-05-09$14.38$15.0016.8%6.9%23.1%0.0%0.0%0.0%1.9%5.4K257.5K-7.3K0.0019.62N/AN/A001,3462,502
2007-05-10$13.93$15.0021.3%6.1%25.4%0.0%24.4%0.0%2.4%-9.7K490.3K-7.2K0.1346.36N/AN/A3041,3462,502
2007-05-11$14.34$15.0026.4%7.6%27.6%0.0%0.0%0.0%0.4%5.6K272.9K-7.5K0.0057.05N/AN/A0601,3462,446
2007-05-14$14.10$15.0026.5%7.6%26.5%0.0%0.0%0.0%0.9%-6.9K438.9K-7.4K0.0042.77N/AN/A001,3462,446
2007-05-15$13.89$15.0021.8%6.3%26.8%0.0%18.2%0.0%1.4%-12.4K521.2K-7.3K0.7464.17N/AN/A54401,3462,446
2007-05-16$14.20$15.0026.2%7.5%28.0%0.0%0.0%0.0%-0.2%-4.4K401.2K-7.1K0.0025.82N/AN/A0401,3862,466
2007-05-17$14.21$15.0020.6%5.9%26.8%0.0%0.0%0.0%0.9%-5.8K318.5K-7.0K0.0028.35N/AN/A001,3862,488
2007-05-18$14.44$15.0023.7%6.8%25.2%0.0%20.2%0.0%2.1%8.8K255.6K-6.8K0.0025.00N/AN/A061,3862,488
2007-05-21$14.75$15.0023.6%6.8%26.0%0.0%0.0%0.0%4.2%9.1K-128.7K-6.5K0.0024.45N/AN/A2601,0842,366
2007-05-22$14.77$15.0024.4%7.0%25.2%0.0%24.4%0.0%2.8%9.8K-142.5K-6.5K0.0025.06N/AN/A8201,1102,366
2007-05-23$14.54$15.0024.3%7.0%25.5%0.0%0.0%0.0%1.7%12.5K-136.6K-6.3K0.0030.19N/AN/A001,1742,366
2007-05-24$14.59$15.0022.7%6.5%25.5%0.0%0.0%0.0%5.6%10.8K5.2K-6.5K0.0030.59N/AN/A54001,1742,366
2007-05-25$14.66$15.0022.9%6.6%25.4%0.0%0.0%0.0%4.3%44.2K-494.5K-7.5K0.0019.34N/AN/A001,6642,366
2007-05-29$14.51$15.0023.1%6.6%24.3%0.0%0.0%0.0%3.9%42.4K-353.9K-7.0K0.0026.20N/AN/A001,6642,366
2007-05-30$14.46$15.0023.2%6.6%24.3%0.0%23.9%0.0%4.4%36.9K-230.4K-7.3K0.0027.67N/AN/A8601,6642,366
2007-05-31$14.52$15.0024.3%7.0%24.4%0.0%0.0%0.0%3.7%36.2K-314.4K-6.8K0.0024.26N/AN/A601,6002,366