GWW Options History — February 2007

In February 2007, GWW traded between $76.95 and $80.37. ATM implied volatility averaged 17.5%. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 3.4% (HV 20d: 20.9%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.88.

Notable Days

  • 2007-02-07: Highest Volume — 1,242 contracts
  • 2007-02-02: Largest IV spike — 8.8% change
  • 2007-02-28: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.66$76.95$80.37$77.60$77.29
Max Pain$74.74$70.00$75.00$70.00$75.00
ATM IV17.5%16.1%19.5%17.8%19.5%
Expected Move5.0%4.6%5.6%5.1%5.6%
HV 20d20.9%17.1%22.8%22.8%17.2%
Term Structure2.0%-0.0%5.6%-0.0%2.1%
VWIV18.0%12.5%28.1%28.1%19.5%
Skew 25d1.9%0.1%5.6%1.8%0.1%
Skew 10d3.2%1.4%9.1%3.5%1.4%
Call IV 25d17.5%12.7%19.6%18.9%19.6%
Put IV 25d19.5%17.0%21.0%20.8%19.7%
Bid-Ask Spread %22.209.6941.7220.2613.85
Gamma HHI0.530.470.640.520.47
Net GEX462.3K281.2K606.6K580.6K472.2K
Net DEX-15.8M-20.4M-12.2M-18.0M-12.2M
Net VEX-39.1K-44.2K-34.6K-43.5K-42.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.0011.140.951.88
Total Volume204.316251,242287118
Total OI5,354.7894,5676,1145,8855,013

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$77.60$70.0017.8%5.1%22.8%0.0%28.1%1.8%-0.0%580.6K-18.0M-43.5K0.9520.26N/AN/A1471403,5002,385
2007-02-02$77.50$75.0019.3%5.4%22.7%0.0%18.8%1.7%0.8%606.6K-18.4M-44.2K11.1419.84N/AN/A7783,5872,468
2007-02-05$78.57$75.0018.8%5.2%20.9%0.0%19.0%1.1%1.4%554.8K-20.4M-39.3K3.4323.06N/AN/A23793,5872,486
2007-02-06$78.61$75.0018.1%5.2%20.9%0.0%19.5%1.4%1.5%547.4K-20.2M-40.5K0.1121.82N/AN/A178203,5952,513
2007-02-07$78.69$75.0018.4%5.1%20.9%0.0%0.0%1.1%1.6%555.0K-20.1M-39.6K0.0122.91N/AN/A1,230123,5812,533
2007-02-08$77.95$75.0017.7%5.1%21.6%0.0%0.0%1.7%1.6%281.2K-12.7M-38.0K0.8823.31N/AN/A24212,6292,528
2007-02-09$78.17$75.0017.3%5.0%21.5%0.0%17.4%1.5%1.8%306.8K-13.0M-38.1K0.2523.30N/AN/A201502,6502,545
2007-02-12$77.60$75.0017.7%5.1%21.9%0.0%17.8%1.2%1.7%327.1K-12.8M-40.3K0.3122.40N/AN/A282872,8102,568
2007-02-13$78.51$75.0017.6%5.1%22.0%0.0%18.4%1.5%1.6%487.7K-14.2M-40.8K3.429.69N/AN/A311062,9572,636
2007-02-14$78.90$75.0017.3%5.0%22.0%0.0%17.4%1.2%2.0%524.6K-14.6M-40.8K3.6710.27N/AN/A15552,9772,707
2007-02-15$79.21$75.0016.9%4.8%20.5%0.0%0.0%2.5%2.4%574.4K-15.4M-38.8K1.8021.50N/AN/A10182,9892,716
2007-02-16$78.73$75.0016.3%4.7%20.9%0.0%18.2%5.0%2.5%454.6K-14.5M-40.0K1.2612.40N/AN/A19242,9892,723
2007-02-20$79.95$75.0016.3%4.7%21.0%0.0%16.3%1.7%2.5%409.7K-16.1M-35.9K1.7132.35N/AN/A48822,8631,704
2007-02-21$80.32$75.0016.1%4.6%21.0%0.0%16.1%2.0%2.3%401.3K-16.6M-34.7K2.9729.57N/AN/A33982,8741,723
2007-02-22$80.37$75.0016.4%4.7%21.0%0.0%16.4%2.2%2.2%380.4K-16.4M-34.6K0.0030.78N/AN/A3602,8631,800
2007-02-23$79.98$75.0016.3%4.7%20.9%0.0%12.5%1.3%2.1%412.0K-16.3M-35.0K0.0430.76N/AN/A2412,8961,800
2007-02-26$79.57$75.0016.7%4.8%21.2%0.0%16.7%5.6%2.3%427.5K-15.8M-35.1K0.0711.94N/AN/A221152,8991,800
2007-02-27$76.95$75.0018.0%5.2%17.1%0.0%16.4%2.1%5.6%480.5K-12.3M-41.0K1.7541.72N/AN/A1272223,0331,814
2007-02-28$77.29$75.0019.5%5.6%17.2%0.0%19.5%0.1%2.1%472.2K-12.2M-42.7K1.8813.85N/AN/A41773,1001,913