WWW Options History — October 2007

In October 2007, WWW traded between $12.28 and $14.32. ATM implied volatility averaged 40.1%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 1.1% (HV 20d: 41.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.97.

Notable Days

  • 2007-10-03: Highest Volume — 1,458 contracts
  • 2007-10-10: Largest IV spike — 37.5% change
  • 2007-10-02: Highest IV Rank — 29.0%
  • 2007-10-02: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.17$12.28$14.32$13.98$12.82
Max Pain$14.24$12.50$15.00$15.00$12.50
ATM IV40.1%27.0%49.5%39.5%38.7%
Expected Move11.6%9.8%14.2%11.3%11.1%
HV 20d41.3%35.4%47.6%43.8%36.1%
HV 60d47.5%46.0%49.1%46.0%47.5%
IV Rank21.1%9.9%29.0%20.6%19.8%
IV Percentile87.7%47.7%98.9%90.4%81.3%
Term Structure-5.1%-12.7%-1.6%-7.5%-2.2%
VWIV41.6%34.6%51.0%40.5%41.8%
Skew 25d4.5%-0.9%10.3%10.3%1.4%
Skew 10d8.9%-0.8%21.1%21.1%-0.8%
Call IV 25d33.7%26.1%41.8%26.1%33.7%
Put IV 25d38.2%32.6%46.1%36.5%35.1%
Bid-Ask Spread %52.3914.7577.8930.1677.89
Gamma HHI0.510.420.650.590.42
Net GEX18.6K-21.9K54.6K20.9K10.6K
Net DEX-278.7K-970.6K248.4K-508.7K-99.9K
Net VEX-5.8K-6.7K-4.7K-5.1K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.007.333.770.00
Total Volume256.52201,45812484
Total OI3,629.2172,2244,0862,2243,832

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$13.98$15.0039.5%11.3%43.8%20.6%40.5%10.3%-7.5%20.9K-508.7K-5.1K3.7730.16N/AN/A26981,426798
2007-10-02$14.22$15.0049.5%14.2%44.1%29.0%51.0%2.0%-12.7%20.4K-649.2K-5.3K0.1917.52N/AN/A6441241,450890
2007-10-03$14.14$15.0043.9%12.6%43.3%24.3%43.3%1.9%-9.6%37.2K-735.8K-5.9K0.4214.75N/AN/A1,0304281,908984
2007-10-04$13.81$15.0040.7%11.7%44.4%21.6%40.5%2.9%-7.6%34.4K-534.2K-6.4K1.6418.98N/AN/A2203602,3481,182
2007-10-05$14.32$15.0036.7%9.9%44.6%18.2%34.6%6.5%-2.1%54.6K-970.6K-6.6K0.0057.12N/AN/A18002,4121,178
2007-10-08$13.87$15.0035.5%9.8%45.9%17.1%0.0%1.3%-1.6%44.4K-705.5K-6.3K0.0067.41N/AN/A11202,4301,178
2007-10-09$13.63$15.0027.0%10.5%46.3%9.9%0.0%6.0%-1.8%34.9K-431.3K-6.0K0.0066.46N/AN/A11002,5261,178
2007-10-10$13.53$15.0037.1%11.3%46.5%18.5%0.0%7.6%-1.6%31.7K-364.8K-5.8K0.0062.27N/AN/A11402,5581,178
2007-10-11$13.13$15.0040.0%11.5%47.6%20.9%0.0%0.7%-3.2%16.5K-128.3K-5.1K0.0048.04N/AN/A39402,6641,178
2007-10-12$13.40$15.0040.9%11.7%47.5%21.8%0.0%4.0%-4.1%34.5K-400.2K-6.2K0.1135.43N/AN/A234262,8641,166
2007-10-15$13.07$15.0040.5%11.6%46.6%21.3%0.0%-0.9%-5.2%6.5K-182.7K-5.5K0.0072.05N/AN/A0842,9061,180
2007-10-16$13.02$15.0041.7%12.0%38.7%22.4%39.0%2.1%-6.2%7.9K-208.0K-5.5K0.0060.40N/AN/A10602,9061,154
2007-10-17$12.98$15.0040.3%11.5%37.4%21.2%0.0%2.4%-4.6%5.2K-234.8K-5.2K1.0068.99N/AN/A20202,9461,092
2007-10-18$12.84$15.0040.3%11.5%35.6%21.2%0.0%3.9%-3.7%-3.9K-190.7K-5.3K0.0040.95N/AN/A5002,9421,112
2007-10-19$12.28$15.0038.2%10.9%37.4%19.4%38.2%1.4%-2.2%-21.9K248.4K-4.7K7.3376.66N/AN/A181322,9621,112
2007-10-22$12.71$15.0041.1%11.8%39.9%21.9%43.3%4.3%-3.6%12.6K-68.5K-4.9K0.0038.00N/AN/A16602,190940
2007-10-23$12.40$12.5040.8%11.7%39.0%21.6%40.8%5.5%-5.5%11.2K-7.6K-5.0K1.8068.52N/AN/A2324182,320940
2007-10-24$12.55$12.5042.5%12.2%38.8%23.0%42.6%10.0%-7.4%14.9K2.7K-6.4K1.1765.02N/AN/A82962,5201,304
2007-10-25$12.34$12.5043.5%12.5%36.3%23.9%43.5%4.9%-8.2%15.2K35.2K-6.4K0.0064.69N/AN/A0422,6021,368
2007-10-26$12.63$12.5041.8%12.0%37.3%22.5%41.8%6.4%-4.2%18.7K-180.0K-6.7K0.0052.29N/AN/A25002,6021,382
2007-10-29$12.63$12.5042.6%12.2%36.3%23.1%0.0%8.5%-7.7%10.2K-43.1K-6.3K0.0068.39N/AN/A002,4501,382
2007-10-30$12.64$12.5040.8%11.7%35.4%21.6%0.0%9.9%-4.7%10.0K-53.3K-6.3K0.0033.00N/AN/A002,4501,382
2007-10-31$12.82$12.5038.7%11.1%36.1%19.8%0.0%1.4%-2.2%10.6K-99.9K-6.4K0.0077.89N/AN/A0842,4501,382