WWW Options History — November 2007

In November 2007, WWW traded between $11.86 and $12.93. ATM implied volatility averaged 43.1%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 2.7% (HV 20d: 45.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 3.46.

Notable Days

  • 2007-11-19: Highest Volume — 410 contracts
  • 2007-11-26: Largest IV spike — 16.2% change
  • 2007-11-26: Highest IV Rank — 27.8%
  • 2007-11-26: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.29$11.86$12.93$11.94$12.38
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV43.1%38.5%48.1%47.0%43.5%
Expected Move12.3%11.3%13.8%13.5%12.5%
HV 20d45.8%40.9%50.8%42.7%43.6%
HV 60d43.2%40.9%49.7%49.7%43.5%
IV Rank23.6%19.7%27.8%26.9%23.9%
IV Percentile91.8%77.2%97.8%97.6%92.2%
Term Structure-1.3%-8.8%2.2%-8.8%-1.4%
VWIV42.7%39.9%46.6%42.0%45.0%
Skew 25d5.1%-3.6%14.5%7.1%7.0%
Skew 10d5.3%-20.6%24.6%6.8%8.2%
Call IV 25d40.3%31.5%48.7%41.2%36.6%
Put IV 25d45.4%41.7%48.4%48.3%43.6%
Bid-Ask Spread %54.7728.6669.9652.4764.34
Gamma HHI0.330.310.370.350.31
Net GEX-5.1K-16.2K4.0K-199-10.4K
Net DEX340.1K-116.2K626.1K376.0K280.9K
Net VEX-6.5K-7.2K-5.4K-5.7K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.460.0017.000.003.33
Total Volume102.66704101780
Total OI4,173.0483,6384,4423,9164,256

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$11.94$12.5047.0%13.5%42.7%26.9%0.0%7.1%-8.8%-199376.0K-5.7K0.0052.47N/AN/A01782,4501,466
2007-11-02$12.22$12.5041.5%11.9%41.2%22.3%42.0%7.3%-5.3%471328.4K-5.6K0.0028.66N/AN/A2002,4501,418
2007-11-05$11.88$12.5039.5%11.6%40.9%20.5%40.5%2.5%-3.2%1.0K389.4K-5.4K0.0052.81N/AN/A03922,4701,418
2007-11-06$12.38$12.5041.4%11.7%44.1%22.2%41.0%4.2%-2.4%-3.3K340.1K-7.0K0.0049.86N/AN/A8802,4701,782
2007-11-07$11.95$12.5045.3%11.3%45.4%25.4%0.0%1.9%0.8%-4.5K485.0K-6.7K0.0057.48N/AN/A01422,5521,782
2007-11-08$12.23$12.5041.7%11.7%45.7%22.4%40.9%14.5%1.1%-4.2K451.0K-7.1K15.0064.49N/AN/A4602,5521,874
2007-11-09$12.20$12.5044.8%12.6%44.9%25.0%0.0%2.7%-3.2%-3.2K416.3K-7.0K0.0041.02N/AN/A002,5561,874
2007-11-12$12.34$12.5044.0%12.1%44.6%24.4%39.9%5.2%-0.7%-1.2K299.9K-7.0K0.0047.45N/AN/A802,5561,874
2007-11-13$12.93$12.5041.1%12.7%47.9%21.9%0.0%9.6%-1.7%4.0K-36.9K-7.2K0.0069.96N/AN/A0422,5481,874
2007-11-14$12.82$12.5038.5%12.0%48.0%19.7%0.0%1.9%-0.9%3.9K-116.2K-7.0K17.0067.42N/AN/A81362,5481,860
2007-11-15$12.61$12.5042.4%12.1%48.2%23.0%42.4%4.0%-0.2%1.7K151.6K-7.1K4.5746.08N/AN/A14642,5401,902
2007-11-16$12.51$12.5042.4%12.2%45.5%23.0%42.3%1.5%0.0%3.9K290.6K-6.8K0.4262.09N/AN/A48202,5541,874
2007-11-19$12.11$12.5043.1%12.3%45.1%23.5%45.6%10.9%1.7%-6.6K444.6K-6.2K3.1052.25N/AN/A1003101,9181,720
2007-11-20$12.04$12.5042.3%12.1%44.4%22.9%0.0%11.8%1.9%-15.9K626.1K-6.5K0.0055.65N/AN/A001,9382,018
2007-11-21$11.95$12.5042.3%12.1%44.1%22.9%42.4%5.5%2.2%-16.2K601.8K-6.4K0.0060.39N/AN/A7001,9382,018
2007-11-23$12.39$12.5041.4%11.9%45.9%22.2%40.7%14.5%1.9%-10.7K345.3K-6.6K0.3362.41N/AN/A2482,0081,994
2007-11-26$11.86$12.5048.1%13.8%47.5%27.8%44.2%-3.6%-3.8%-14.8K620.9K-6.0K3.6053.02N/AN/A20722,0281,998
2007-11-27$12.38$12.5044.6%12.8%50.3%24.9%44.9%1.0%-1.5%-13.4K410.9K-6.5K0.1053.61N/AN/A200202,0142,070
2007-11-28$12.60$12.5044.9%12.9%50.7%25.1%46.6%0.4%-1.1%-6.4K144.6K-6.7K1.0555.52N/AN/A40422,1382,090
2007-11-29$12.38$12.5045.0%12.9%50.8%25.2%45.0%-3.3%-2.4%-10.0K291.6K-6.6K3.3353.16N/AN/A6202,1582,086
2007-11-30$12.38$12.5043.5%12.5%43.6%23.9%0.0%7.0%-1.4%-10.4K280.9K-6.5K0.0064.34N/AN/A002,1642,092