GWW Options History — January 2007

In January 2007, GWW traded between $69.34 and $77.65. ATM implied volatility averaged 22.6%. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.4% (HV 20d: 20.3%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.79.

Notable Days

  • 2007-01-18: Highest Volume — 1,466 contracts
  • 2007-01-26: Largest IV drop — 26.9% change
  • 2007-01-25: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.09$69.34$77.65$71.00$77.65
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV22.6%18.1%26.0%19.2%18.1%
Expected Move6.7%5.2%7.5%5.5%5.2%
HV 20d20.3%15.0%24.2%15.1%23.3%
Term Structure-0.9%-2.9%4.2%3.9%0.1%
VWIV22.9%15.2%27.0%15.2%20.7%
Skew 25d3.5%-0.8%8.0%4.9%1.8%
Skew 10d5.5%-2.8%12.7%4.5%3.6%
Call IV 25d18.4%12.5%22.0%12.5%19.0%
Put IV 25d21.9%17.1%24.9%17.4%20.7%
Bid-Ask Spread %20.569.1130.629.1125.29
Gamma HHI0.440.330.580.510.51
Net GEX269.7K-358.4K737.3K344.9K577.1K
Net DEX-9.6M-18.0M-3.7M-7.6M-18.0M
Net VEX-45.3K-53.3K-37.4K-45.3K-42.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.0710.570.084.14
Total Volume432.5501,466307226
Total OI6,7874,1998,5637,0365,780

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$71.00$70.0019.2%5.5%0.0%0.0%15.2%4.9%3.9%344.9K-7.6M-45.3K0.089.11N/AN/A283244,4622,574
2007-01-04$70.78$70.0018.8%5.4%0.0%0.0%18.8%-0.8%4.2%336.5K-7.5M-44.6K0.229.67N/AN/A73164,5712,576
2007-01-05$69.34$70.0021.3%6.8%0.0%0.0%24.7%4.7%-0.8%239.5K-3.7M-45.0K10.5721.77N/AN/A747824,6312,584
2007-01-08$70.02$70.0022.1%7.1%0.0%0.0%24.4%7.7%-1.5%4.7K-4.4M-45.6K0.5325.21N/AN/A3111644,6723,014
2007-01-09$70.07$70.0022.0%7.2%0.0%0.0%0.0%8.0%-1.7%47.1K-5.0M-48.2K0.0024.21N/AN/A004,9153,126
2007-01-10$70.56$70.0020.5%7.2%0.0%0.0%24.8%3.6%-1.6%54.3K-6.7M-46.6K1.3524.62N/AN/A1041404,9153,103
2007-01-11$71.35$70.0024.9%7.1%0.0%0.0%24.9%6.7%-1.7%146.7K-9.6M-44.9K0.6724.00N/AN/A30204,9883,143
2007-01-12$71.76$70.0024.9%7.1%0.0%0.0%22.6%6.3%-1.5%251.6K-11.4M-43.0K0.1324.42N/AN/A294384,9843,144
2007-01-16$71.73$70.0025.8%7.4%0.0%0.0%0.0%2.6%-2.6%53.7K-11.2M-40.7K6.5025.53N/AN/A4264,9583,140
2007-01-17$72.09$70.0024.9%7.1%0.0%0.0%27.0%2.3%-1.7%163.5K-13.5M-37.4K0.1830.62N/AN/A109204,9583,160
2007-01-18$70.90$70.0025.1%7.2%0.0%0.0%25.1%2.2%-2.0%-358.4K-10.0M-39.1K0.0714.82N/AN/A1,374924,9673,176
2007-01-19$71.32$70.0025.1%7.2%0.0%0.0%0.0%2.5%-1.8%203.2K-13.4M-46.6K2.6716.04N/AN/A24645,3223,241
2007-01-22$71.12$70.0025.1%7.2%0.0%0.0%25.3%2.4%-1.6%299.8K-5.6M-44.3K2.0411.94N/AN/A1162372,7111,488
2007-01-23$71.80$70.0025.0%7.2%0.0%0.0%26.0%2.8%-2.5%322.4K-6.4M-47.2K0.6323.23N/AN/A68432,7981,634
2007-01-24$72.42$70.0024.5%7.0%0.0%0.0%23.5%3.5%-2.1%367.6K-7.4M-47.4K0.4610.05N/AN/A6442962,8591,658
2007-01-25$71.99$70.0026.0%7.5%15.1%0.0%25.2%2.5%-2.9%421.5K-7.3M-52.4K0.7329.80N/AN/A5413953,3471,874
2007-01-26$72.73$70.0019.0%5.5%15.0%0.0%19.5%2.1%0.0%523.8K-8.9M-53.3K1.2113.82N/AN/A4044903,5632,139
2007-01-29$76.60$70.0020.6%5.9%24.2%0.0%21.1%1.4%-1.0%657.1K-16.7M-44.8K0.7925.14N/AN/A4513573,4562,139
2007-01-30$76.48$70.0019.8%5.7%23.6%0.0%19.7%2.1%-0.2%737.3K-17.2M-47.5K1.0521.87N/AN/A1551623,6382,332
2007-01-31$77.65$70.0018.1%5.2%23.3%0.0%20.7%1.8%0.1%577.1K-18.0M-42.8K4.1425.29N/AN/A441823,4622,318