WWW Options History — June 2007

In June 2007, WWW traded between $13.71 and $14.68. ATM implied volatility averaged 27.9%. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 7.3% (HV 20d: 20.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2007-06-27: Highest Volume — 244 contracts
  • 2007-06-07: Largest IV spike — 58.4% change
  • 2007-06-27: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.09$13.71$14.68$14.65$13.86
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV27.9%20.3%38.4%22.2%28.0%
Expected Move8.0%6.4%9.4%6.4%8.0%
HV 20d20.6%16.4%26.9%24.5%17.4%
HV 60d22.1%21.3%24.6%23.7%21.3%
Term Structure-2.2%-6.1%5.9%5.9%-6.1%
VWIV26.9%20.6%33.2%22.2%22.5%
Bid-Ask Spread %44.1031.8173.4132.0743.26
Gamma HHI0.510.490.580.560.50
Net GEX-4.8K-21.8K51.5K44.5K-7.3K
Net DEX199.3K-388.8K473.3K-378.1K195.8K
Net VEX-6.3K-6.9K-5.8K-6.9K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.002.100.000.14
Total Volume31.90502441220
Total OI3,689.2383,2684,0583,9703,576

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$14.65$15.0022.2%6.4%24.5%0.0%22.2%0.0%5.9%44.5K-378.1K-6.9K0.0032.07N/AN/A1201,6042,366
2007-06-04$14.68$15.0021.8%8.2%24.5%0.0%27.8%0.0%-2.0%51.5K-388.8K-6.8K0.4440.21N/AN/A1881,6042,366
2007-06-05$14.36$15.0022.1%8.2%25.5%0.0%28.7%0.0%-2.4%25.2K-56.1K-6.8K0.0931.81N/AN/A4441,6222,370
2007-06-06$14.03$15.0020.3%8.3%26.0%0.0%29.1%0.0%-1.7%1.4K209.1K-6.5K1.8531.84N/AN/A40741,6142,370
2007-06-07$13.71$15.0032.1%8.9%26.9%0.0%29.4%0.0%-5.5%-19.5K473.3K-6.5K2.1032.60N/AN/A20421,6142,444
2007-06-08$13.88$15.0026.0%7.9%25.0%0.0%0.0%0.0%-2.8%-16.6K378.5K-6.8K0.0041.03N/AN/A001,6142,406
2007-06-11$13.89$15.0033.1%8.0%22.6%0.0%0.0%0.0%-1.7%-17.9K406.8K-6.7K0.0034.13N/AN/A401,6142,406
2007-06-12$13.85$15.0036.8%7.9%21.8%0.0%0.0%0.0%-2.6%-17.5K397.4K-6.6K0.0036.80N/AN/A001,6182,406
2007-06-13$13.96$15.0038.4%8.2%21.4%0.0%0.0%0.0%-2.7%-8.5K301.5K-6.3K0.0036.67N/AN/A001,6182,406
2007-06-14$14.11$15.0027.6%7.9%20.3%0.0%0.0%0.0%-1.9%-2.3K237.7K-6.4K0.0039.07N/AN/A001,6182,406
2007-06-15$14.16$15.0028.7%8.2%20.3%0.0%20.6%0.0%-2.6%-12.2K169.8K-6.1K0.2233.65N/AN/A46101,6182,406
2007-06-18$14.12$15.0028.0%8.0%19.4%0.0%28.3%0.0%-0.3%-12.0K213.2K-6.2K0.0048.04N/AN/A2009942,274
2007-06-19$14.15$15.0027.0%7.7%17.5%0.0%0.0%0.0%0.7%-11.5K220.2K-5.9K0.0065.97N/AN/A009942,274
2007-06-20$14.16$15.0027.1%7.8%17.5%0.0%0.0%0.0%0.1%-8.9K169.2K-5.8K0.0068.97N/AN/A009942,274
2007-06-21$14.07$15.0029.1%8.4%16.9%0.0%0.0%0.0%-1.7%-17.0K299.4K-6.2K0.0042.87N/AN/A009942,274
2007-06-22$14.04$15.0028.6%8.2%16.8%0.0%0.0%0.0%-3.2%-18.6K340.5K-6.0K0.0053.67N/AN/A009942,274
2007-06-25$13.96$15.0024.8%7.1%16.6%0.0%0.0%0.0%-2.3%-19.1K317.6K-5.8K0.0073.41N/AN/A409942,274
2007-06-26$13.95$15.0024.3%7.0%16.4%0.0%0.0%0.0%-2.4%-21.8K363.3K-5.8K0.0051.81N/AN/A6009982,274
2007-06-27$14.14$15.0032.6%9.4%17.2%0.0%33.2%0.0%-5.3%-14.7K255.9K-5.9K0.1444.55N/AN/A214301,0582,274
2007-06-28$14.07$15.0026.9%7.7%17.2%0.0%0.0%0.0%-5.1%87358.8K-6.0K0.0043.78N/AN/A001,2722,304
2007-06-29$13.86$15.0028.0%8.0%17.4%0.0%22.5%0.0%-6.1%-7.3K195.8K-5.9K0.0043.26N/AN/A0201,2722,304