WWW Options History — September 2007

In September 2007, WWW traded between $12.46 and $13.97. ATM implied volatility averaged 39.5%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 5.6% (HV 20d: 45.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 31.22.

Notable Days

2007-09-21: Highest Volume — 918 contracts
2007-09-21: Largest IV spike — 24.9% change
2007-09-21: Highest IV Rank — 25.2%
2007-09-21: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.22	$12.46	$13.97	$13.28	$13.70
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	39.5%	35.4%	45.1%	42.6%	35.4%
Expected Move	11.3%	10.2%	12.9%	12.2%	10.2%
HV 20d	45.1%	29.9%	61.0%	60.7%	43.5%
HV 60d	42.2%	39.2%	45.8%	39.2%	45.8%
IV Rank	20.5%	17.1%	25.2%	23.2%	17.1%
IV Percentile	89.9%	76.3%	97.2%	97.0%	76.3%
Term Structure	-3.1%	-9.2%	2.2%	-2.5%	1.6%
VWIV	39.6%	36.6%	43.8%	38.1%	42.3%
Skew 25d	6.5%	0.6%	12.8%	2.6%	5.7%
Skew 10d	15.7%	-0.0%	21.8%	11.3%	17.5%
Call IV 25d	30.5%	25.3%	35.1%	35.1%	27.9%
Put IV 25d	37.0%	33.6%	40.3%	37.7%	33.6%
Bid-Ask Spread %	56.44	39.43	72.38	60.57	67.76
Gamma HHI	0.72	0.45	0.95	0.95	0.50
Net GEX	-69.0K	-231.7K	17.8K	-89.6K	14.7K
Net DEX	983.5K	-521.9K	2.3M	1.3M	-409.1K
Net VEX	-5.1K	-6.8K	-4.0K	-6.8K	-4.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	31.22	0.00	458.00	0.00	0.75
Total Volume	142	0	918	8	248
Total OI	4,592.105	1,690	5,642	5,508	2,074

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-09-04	$13.28	$15.00	42.6%	12.2%	60.7%	23.2%	0.0%	0.0%	-2.5%	-89.6K	1.3M	-6.8K	0.00	60.57	N/A	N/A	8	0	1,890	3,618
2007-09-05	$13.01	$15.00	37.9%	10.9%	61.0%	19.1%	38.1%	0.0%	-0.2%	-109.0K	1.6M	-6.5K	0.00	58.15	N/A	N/A	0	6	1,890	3,618
2007-09-06	$13.03	$15.00	37.7%	10.8%	61.0%	19.0%	0.0%	0.0%	2.2%	-111.5K	1.6M	-6.3K	0.00	60.24	N/A	N/A	0	0	1,890	3,616
2007-09-07	$12.70	$15.00	38.5%	11.2%	56.7%	19.7%	0.0%	0.0%	-2.3%	-126.0K	2.1M	-6.1K	0.00	44.83	N/A	N/A	280	0	1,890	3,616
2007-09-10	$12.46	$15.00	40.6%	10.8%	44.3%	21.5%	0.0%	2.6%	-1.6%	-132.5K	2.3M	-5.7K	0.09	42.36	N/A	N/A	130	12	1,894	3,616
2007-09-11	$12.67	$15.00	39.5%	10.9%	42.0%	20.5%	0.0%	3.5%	-2.0%	-140.6K	2.1M	-5.7K	0.00	46.25	N/A	N/A	0	12	1,938	3,624
2007-09-12	$12.63	$15.00	39.6%	11.2%	40.2%	20.6%	37.9%	4.9%	-3.6%	-143.2K	2.0M	-5.6K	0.00	39.43	N/A	N/A	6	0	1,938	3,624
2007-09-13	$12.82	$15.00	41.0%	11.7%	39.9%	21.8%	0.0%	6.9%	-3.7%	-134.8K	1.7M	-5.5K	5.00	42.32	N/A	N/A	4	20	1,944	3,624
2007-09-14	$13.11	$15.00	39.9%	11.4%	29.9%	20.8%	0.0%	6.8%	-4.2%	-133.4K	1.4M	-5.2K	2.24	52.41	N/A	N/A	100	224	1,948	3,624
2007-09-17	$12.64	$15.00	37.8%	10.8%	31.6%	19.1%	0.0%	0.6%	-4.3%	-231.7K	1.7M	-4.8K	0.00	54.12	N/A	N/A	0	20	1,936	3,630
2007-09-18	$13.57	$15.00	43.6%	12.5%	41.3%	24.0%	0.0%	11.5%	-3.4%	-2.6K	762.1K	-4.1K	0.00	61.50	N/A	N/A	10	0	1,936	3,650
2007-09-19	$13.90	$15.00	39.8%	11.4%	42.0%	20.8%	43.8%	11.1%	-8.5%	-4.8K	595.9K	-4.3K	0.95	58.84	N/A	N/A	44	42	1,938	3,650
2007-09-20	$13.41	$15.00	36.1%	10.3%	43.7%	17.6%	38.4%	0.9%	-1.9%	-28.5K	744.0K	-4.2K	0.67	67.70	N/A	N/A	60	40	1,920	3,684
2007-09-21	$13.71	$15.00	45.1%	12.9%	44.2%	25.2%	0.0%	8.7%	-9.2%	8.8K	681.5K	-4.2K	458.00	68.17	N/A	N/A	2	916	1,942	3,700
2007-09-24	$13.76	$15.00	39.0%	11.2%	44.0%	20.1%	39.7%	9.3%	-7.4%	9.5K	-342.3K	-4.0K	0.00	72.17	N/A	N/A	234	0	1,006	684
2007-09-25	$13.28	$15.00	36.8%	10.5%	45.1%	18.2%	0.0%	4.0%	-0.2%	11.5K	-288.1K	-4.4K	0.00	63.53	N/A	N/A	40	0	1,196	684
2007-09-26	$13.49	$15.00	42.8%	12.3%	42.2%	23.3%	0.0%	8.7%	-4.1%	14.8K	-345.5K	-4.4K	0.00	72.38	N/A	N/A	20	0	1,216	684
2007-09-27	$13.97	$15.00	36.2%	10.4%	43.2%	17.7%	36.6%	12.8%	-3.4%	17.8K	-521.9K	-4.7K	0.62	39.62	N/A	N/A	136	84	1,234	684
2007-09-28	$13.70	$15.00	35.4%	10.2%	43.5%	17.1%	42.3%	5.7%	1.6%	14.7K	-409.1K	-4.8K	0.75	67.76	N/A	N/A	142	106	1,314	760