WWW Options History — August 2007

In August 2007, WWW traded between $12.53 and $13.87. ATM implied volatility averaged 35.0%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 15.1% (HV 20d: 50.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.71.

Notable Days

  • 2007-08-10: Highest Volume — 2,208 contracts
  • 2007-08-09: Largest IV spike — 29.8% change
  • 2007-08-16: Highest IV Rank — 28.6%
  • 2007-08-13: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.34$12.53$13.87$13.45$13.14
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV35.0%23.6%49.0%25.7%38.3%
Expected Move10.7%6.5%16.0%7.4%11.0%
HV 20d50.1%20.6%64.4%21.0%63.2%
HV 60d32.9%20.8%39.6%21.1%39.3%
IV Rank16.7%7.1%28.6%8.8%19.5%
IV Percentile79.4%24.3%98.1%44.8%92.2%
Term Structure-1.0%-17.9%11.5%11.5%-0.4%
VWIV35.5%16.1%44.5%21.0%38.1%
Bid-Ask Spread %45.0419.2177.0644.7558.25
Gamma HHI0.790.530.950.700.94
Net GEX-72.7K-103.9K-28.5K-60.9K-94.7K
Net DEX1.0M359.0K2.0M759.6K1.5M
Net VEX-7.3K-9.9K-4.4K-5.4K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.0011.000.000.00
Total Volume170.34802,20880
Total OI4,938.9573,7325,7623,7765,508

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$13.45$15.0025.7%7.4%21.0%8.8%21.0%0.0%11.5%-60.9K759.6K-5.4K0.0044.75N/AN/A801,2882,488
2007-08-02$13.32$15.0025.9%7.4%20.6%9.1%0.0%0.0%5.2%-65.6K680.4K-5.0K0.0039.84N/AN/A081,2882,444
2007-08-03$12.84$15.0027.8%8.0%23.7%10.6%28.0%0.0%1.3%-84.7K1.1M-5.2K0.4236.21N/AN/A48201,2882,444
2007-08-06$13.48$15.0023.6%9.1%30.2%7.1%31.8%0.0%-1.5%-57.5K655.4K-5.1K0.0052.80N/AN/A2001,3322,426
2007-08-07$13.61$15.0026.9%7.0%30.1%9.9%16.1%0.0%10.4%-44.4K359.0K-4.4K11.0057.32N/AN/A2221,3462,426
2007-08-08$13.47$15.0023.9%6.5%30.0%7.3%0.0%0.0%10.2%-59.6K518.4K-4.6K1.1059.03N/AN/A1341481,3462,426
2007-08-09$12.60$15.0031.0%8.8%35.2%13.3%30.7%0.0%-0.8%-90.4K1.3M-5.9K1.5220.51N/AN/A50761,4802,566
2007-08-10$13.87$15.0032.4%12.3%50.7%14.5%43.0%0.0%-7.6%-28.5K377.3K-6.8K1.8077.06N/AN/A7881,4201,5222,580
2007-08-13$13.23$15.0032.5%16.0%53.2%14.6%44.5%0.0%-17.9%-57.2K1.2M-9.9K0.0041.13N/AN/A9002,0343,674
2007-08-14$12.77$15.0038.6%12.7%54.3%19.7%44.2%0.0%-6.7%-80.5K1.5M-9.5K0.8532.89N/AN/A2001702,0883,674
2007-08-15$12.53$15.0039.0%12.9%54.5%20.1%44.0%0.0%-6.4%-103.9K2.0M-8.8K4.7536.81N/AN/A401901,9903,768
2007-08-16$13.52$15.0049.0%14.0%61.8%28.6%39.9%0.0%-6.7%-70.6K1.2M-9.2K1.4271.64N/AN/A62882,0203,660
2007-08-17$13.72$15.0046.8%13.4%61.5%26.7%37.6%0.0%-8.9%-64.1K918.3K-9.1K0.4443.76N/AN/A54242,0343,672
2007-08-20$13.79$15.0036.3%10.4%61.5%17.8%0.0%0.0%1.5%-65.8K758.7K-8.6K0.0048.02N/AN/A0201,8163,540
2007-08-21$13.65$15.0041.8%12.0%61.3%22.5%41.9%0.0%-2.9%-69.2K875.6K-8.7K0.0045.24N/AN/A0201,8163,560
2007-08-22$13.84$15.0036.5%10.5%61.4%18.0%36.3%0.0%2.0%-65.1K699.6K-8.5K0.6319.21N/AN/A32201,8163,558
2007-08-23$13.64$15.0040.8%11.7%61.5%21.7%0.0%0.0%-2.5%-71.9K960.8K-8.4K0.0020.32N/AN/A001,8483,578
2007-08-24$13.79$15.0036.0%10.3%61.5%17.6%0.0%0.0%0.6%-71.8K858.6K-8.3K0.0022.77N/AN/A001,8483,578
2007-08-27$13.49$15.0038.3%11.0%61.9%19.5%0.0%0.0%-1.4%-78.6K1.0M-7.7K0.0062.25N/AN/A001,8483,578
2007-08-28$12.89$15.0038.0%10.9%63.7%19.3%38.1%0.0%-4.0%-94.9K1.6M-7.4K0.0051.99N/AN/A01221,8483,578
2007-08-29$13.18$15.0038.2%11.0%64.3%19.4%0.0%0.0%1.5%-93.3K1.5M-7.4K0.0042.99N/AN/A4201,8483,618
2007-08-30$12.98$15.0037.9%10.9%64.4%19.1%0.0%0.0%0.6%-98.9K1.6M-7.3K0.0051.19N/AN/A001,8903,618
2007-08-31$13.14$15.0038.3%11.0%63.2%19.5%0.0%0.0%-0.4%-94.7K1.5M-7.2K0.0058.25N/AN/A001,8903,618