WWW Options History — December 2007

In December 2007, WWW traded between $12.25 and $13.07. ATM implied volatility averaged 41.6%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 6.3% (HV 20d: 35.4%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 5.69.

Notable Days

  • 2007-12-17: Highest Volume — 1,630 contracts
  • 2007-12-24: Largest IV drop — 12.2% change
  • 2007-12-04: Highest IV Rank — 25.7%
  • 2007-12-04: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.68$12.25$13.07$12.53$12.26
Max Pain$12.06$11.25$12.50$12.50$12.50
ATM IV41.6%36.9%45.6%44.3%38.1%
Expected Move11.9%10.6%13.1%12.7%10.9%
HV 20d35.4%27.2%43.0%43.0%28.2%
HV 60d40.7%38.7%43.8%43.2%38.7%
IV Rank22.3%18.3%25.7%24.6%19.3%
IV Percentile82.1%62.6%96.6%93.9%66.4%
Term Structure1.0%-2.6%5.1%-0.2%4.1%
VWIV42.2%37.4%45.0%44.3%37.4%
Skew 25d4.2%-6.3%9.8%9.8%4.8%
Skew 10d4.0%-4.5%13.2%12.0%5.4%
Call IV 25d38.7%36.1%46.2%36.9%38.0%
Put IV 25d42.9%36.6%49.0%46.7%42.9%
Bid-Ask Spread %54.4824.4771.2467.7869.85
Gamma HHI0.370.300.480.310.45
Net GEX-18.7K-36.0K-4.3K-8.8K-35.9K
Net DEX164.2K-489.3K756.8K174.7K580.0K
Net VEX-7.0K-8.8K-5.4K-6.3K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.690.0068.000.800.00
Total Volume163.701,6303620
Total OI4,624.34,1546,0204,2564,478

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$12.53$12.5044.3%12.7%43.0%24.6%44.3%9.8%-0.2%-8.8K174.7K-6.3K0.8067.78N/AN/A20162,1642,092
2007-12-04$12.31$12.5045.6%13.1%42.2%25.7%0.0%8.9%-1.4%-12.7K358.9K-6.3K0.0044.77N/AN/A202,1642,108
2007-12-05$12.70$12.5042.6%12.2%41.2%23.2%0.0%8.3%1.5%-9.3K89.2K-6.2K0.0071.24N/AN/A002,1622,108
2007-12-06$13.00$12.5044.7%12.8%39.5%24.9%0.0%4.3%-1.5%-5.4K-131.1K-6.1K0.0066.10N/AN/A602,1622,108
2007-12-07$12.82$11.2540.8%12.3%39.3%21.6%43.0%-0.1%-0.5%-8.0K-46.8K-5.9K0.5024.47N/AN/A1262,1622,108
2007-12-10$12.90$11.2543.6%12.4%39.2%24.0%44.8%3.6%1.0%-6.3K-126.2K-5.7K0.3337.61N/AN/A622,1642,114
2007-12-11$13.01$11.2544.7%11.8%39.1%24.9%44.9%5.1%1.3%-5.2K-221.4K-5.7K68.0041.24N/AN/A21362,1702,114
2007-12-12$13.07$11.2544.7%12.3%35.5%24.9%0.0%6.5%0.8%-4.3K-288.6K-5.8K0.0043.09N/AN/A602,1722,210
2007-12-13$12.97$11.2542.8%12.3%35.5%23.3%0.0%2.7%0.7%-8.6K-178.4K-5.7K0.8041.15N/AN/A20162,1722,210
2007-12-14$12.81$11.2543.3%12.4%35.2%23.7%0.0%-6.3%0.8%-9.1K-80.2K-5.7K0.0060.52N/AN/A4402,1722,198
2007-12-17$12.43$11.2541.6%11.9%36.9%22.4%41.4%2.7%0.9%-14.2K108.5K-5.4K1.7964.21N/AN/A5841,0462,1962,114
2007-12-18$12.47$12.5042.4%12.2%34.9%23.0%0.0%4.8%-1.8%-33.5K616.0K-8.1K0.0066.70N/AN/A042,7463,080
2007-12-19$12.41$12.5041.4%11.9%34.9%22.1%45.0%5.9%0.4%-35.4K756.8K-7.9K0.0045.82N/AN/A01042,7463,076
2007-12-20$12.56$12.5039.3%11.3%34.9%20.4%39.3%5.3%1.3%-26.4K480.0K-7.8K0.4669.50N/AN/A2221022,7463,024
2007-12-21$12.97$12.5042.0%12.1%34.3%22.7%42.0%5.4%-2.6%-19.8K-489.3K-8.4K12.0058.28N/AN/A425042,9403,080
2007-12-24$13.01$12.5036.9%10.6%29.7%18.3%0.0%3.0%5.1%-29.6K220.5K-8.8K1.2559.07N/AN/A16201,7042,450
2007-12-26$12.76$12.5038.3%11.0%27.2%19.5%43.2%3.8%4.1%-31.8K372.3K-8.7K0.0570.66N/AN/A246121,7202,470
2007-12-27$12.38$12.5038.0%10.9%28.7%19.2%39.1%1.5%3.1%-34.1K527.7K-8.8K5.0056.73N/AN/A6301,9442,482
2007-12-28$12.25$12.5037.5%10.7%28.2%18.8%37.4%3.5%3.4%-36.0K560.4K-8.8K0.0030.85N/AN/A2201,9442,512
2007-12-31$12.26$12.5038.1%10.9%28.2%19.3%0.0%4.8%4.1%-35.9K580.0K-8.8K0.0069.85N/AN/A0201,9662,512