WWW Options History — July 2007

In July 2007, WWW traded between $13.53 and $14.51. ATM implied volatility averaged 30.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 11.9% (HV 20d: 18.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2007-07-09: Highest Volume — 1,416 contracts
  • 2007-07-26: Largest IV spike — 63.2% change
  • 2007-07-10: Highest IV Rank — 38.3%
  • 2007-07-10: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.05$13.53$14.51$13.88$13.53
Max Pain$14.76$12.50$15.00$15.00$15.00
ATM IV30.0%15.9%60.5%36.4%21.7%
Expected Move7.9%4.6%11.6%10.4%6.2%
HV 20d18.1%12.4%21.8%17.3%21.8%
HV 60d21.2%20.4%22.3%21.3%21.2%
IV Rank12.0%0.6%38.3%18.6%5.5%
IV Percentile53.7%0.7%99.2%95.2%13.2%
Term Structure-2.0%-16.4%12.0%-9.8%-1.7%
VWIV31.2%20.1%42.2%35.4%20.1%
Bid-Ask Spread %39.7512.0687.3749.4014.42
Gamma HHI0.530.450.680.510.68
Net GEX-14.3K-51.7K27.1K-13.3K-51.7K
Net DEX442.0K15.8K968.2K308.8K630.6K
Net VEX-5.6K-6.7K-4.7K-6.0K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.009.441.800.00
Total Volume297.14301,416020
Total OI4,393.7143,5965,8803,5963,864

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$13.88$15.0036.4%10.4%17.3%0.0%0.0%0.0%-9.8%-13.3K308.8K-6.0K0.0049.40N/AN/A001,2722,324
2007-07-03$14.08$15.0035.0%10.0%16.8%0.0%35.4%0.0%-7.5%-873132.1K-5.7K1.8026.00N/AN/A20361,2722,324
2007-07-05$14.23$15.0037.2%10.7%15.2%18.6%37.2%0.0%-8.4%2.2K114.4K-5.6K0.3323.32N/AN/A60201,2922,360
2007-07-06$14.26$12.5040.0%8.2%12.4%21.0%0.0%0.0%-1.7%6.0K15.8K-5.6K0.0034.90N/AN/A2001,3282,380
2007-07-09$14.07$12.5049.1%9.9%12.8%28.7%34.5%0.0%-6.0%-1.3K80.3K-5.6K0.9626.21N/AN/A7246921,3482,380
2007-07-10$13.87$15.0060.5%11.6%13.9%38.3%42.2%0.0%-8.8%-23.1K713.8K-6.7K0.1035.60N/AN/A1,1901141,8822,976
2007-07-11$13.98$15.0033.9%8.8%14.2%15.7%30.7%0.0%-4.2%23.3K567.1K-6.7K0.0833.06N/AN/A864702,8083,072
2007-07-12$14.45$15.0029.1%8.3%18.1%11.7%29.1%0.0%-2.5%27.1K88.6K-5.9K0.0935.98N/AN/A940882,2643,036
2007-07-13$14.51$15.0030.2%8.6%17.9%12.6%0.0%0.0%-3.0%17.6K240.4K-6.3K0.0080.08N/AN/A3002,1563,070
2007-07-16$14.40$15.0028.9%8.3%18.1%11.6%28.9%0.0%-2.8%-5.7K553.8K-5.4K0.3657.93N/AN/A2761001,9383,068
2007-07-17$14.32$15.0026.6%7.6%18.2%9.6%0.0%0.0%-2.3%-4.2K440.3K-5.6K0.0019.67N/AN/A4002,0243,154
2007-07-18$14.32$15.0026.3%7.5%18.2%9.3%0.0%0.0%-2.0%-14.0K768.5K-5.5K0.0057.66N/AN/A002,0643,154
2007-07-19$14.36$15.0027.4%7.9%18.2%10.3%0.0%0.0%-3.2%-9.8K706.6K-5.2K0.0021.14N/AN/A002,0623,154
2007-07-20$14.00$15.0019.8%5.7%20.3%3.8%23.0%0.0%2.2%-25.3K968.2K-4.9K9.4446.42N/AN/A686422,0623,154
2007-07-23$14.06$15.0021.5%6.2%20.4%5.3%20.1%0.0%-0.3%-23.4K200.1K-4.9K1.4330.74N/AN/A42601,2362,524
2007-07-24$13.81$15.0016.0%4.6%21.3%0.6%0.0%0.0%10.9%-39.1K552.4K-5.2K0.0012.06N/AN/A0481,2642,544
2007-07-25$13.90$15.0015.9%4.6%21.4%0.6%0.0%0.0%12.0%-36.8K499.2K-5.1K0.0087.37N/AN/A4401,2642,584
2007-07-26$13.74$15.0026.0%7.4%21.2%9.1%0.0%0.0%9.4%-41.7K572.9K-5.8K0.0065.69N/AN/A041,2842,584
2007-07-27$13.59$15.0026.0%7.5%21.4%9.1%0.0%0.0%-16.4%-42.9K518.1K-5.3K0.0016.71N/AN/A801,2842,584
2007-07-30$13.73$15.0023.5%6.7%21.2%7.0%0.0%0.0%3.6%-43.5K609.6K-5.3K0.0060.34N/AN/A2001,2902,584
2007-07-31$13.53$15.0021.7%6.2%21.8%5.5%0.0%0.0%-1.7%-51.7K630.6K-4.7K0.0014.42N/AN/A2001,2802,584