GWW Options History — March 2007

In March 2007, GWW traded between $74.30 and $78.71. ATM implied volatility averaged 22.6%. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.2% (HV 20d: 18.4%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 3.02.

Notable Days

  • 2007-03-07: Highest Volume — 2,375 contracts
  • 2007-03-15: Largest IV spike — 23.8% change
  • 2007-03-30: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.30$74.30$78.71$77.04$77.24
Max Pain$74.32$70.00$75.00$75.00$75.00
ATM IV22.6%19.6%25.3%20.1%25.3%
Expected Move6.6%5.8%7.2%5.8%7.2%
HV 20d18.4%16.1%20.2%16.3%16.1%
HV 60d19.6%19.0%20.3%20.2%19.0%
Term Structure-1.4%-3.3%1.8%1.8%-2.5%
VWIV22.9%17.5%25.8%17.5%24.5%
Skew 25d2.6%1.4%4.3%1.4%4.3%
Skew 10d5.5%1.0%12.4%1.0%12.4%
Call IV 25d21.5%19.0%23.6%19.0%21.2%
Put IV 25d24.1%20.4%25.9%20.4%25.5%
Bid-Ask Spread %20.5412.7327.8614.9814.17
Gamma HHI0.530.400.860.490.45
Net GEX-418.6K-3.9M482.0K482.0K22.1K
Net DEX-6.6M-11.7M714.5K-11.7M-7.1M
Net VEX-53.0K-61.9K-43.9K-43.9K-52.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.020.0024.000.790.97
Total Volume276.091122,37552156
Total OI6,525.9095,1167,9695,1166,633

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$77.04$75.0020.1%5.8%16.3%0.0%17.5%1.4%1.8%482.0K-11.7M-43.9K0.7914.98N/AN/A29233,1381,978
2007-03-02$75.76$75.0021.3%6.1%17.3%0.0%21.3%3.2%0.1%446.1K-9.6M-44.2K4.7123.93N/AN/A7333,1521,980
2007-03-05$74.30$70.0023.8%6.4%18.5%0.0%23.2%1.9%-1.6%373.6K-6.8M-43.9K0.5324.82N/AN/A4142203,1532,004
2007-03-06$75.07$70.0022.0%6.2%18.2%0.0%21.5%2.5%-0.8%375.2K-7.6M-45.8K1.3927.86N/AN/A54753,1882,119
2007-03-07$75.40$70.0021.4%6.4%18.3%0.0%22.5%2.1%-1.7%406.7K-8.7M-45.3K24.0025.89N/AN/A952,2803,2052,086
2007-03-08$76.25$75.0020.7%6.3%18.9%0.0%21.5%2.9%-1.2%-790.2K-4.7M-59.8K0.3923.01N/AN/A28113,2264,201
2007-03-09$76.58$75.0020.4%6.3%18.7%0.0%22.6%2.9%-1.7%-739.1K-6.1M-58.5K0.1023.53N/AN/A115123,2294,206
2007-03-12$76.62$75.0021.3%6.9%18.7%0.0%22.9%1.7%-2.6%-777.3K-6.8M-56.2K0.1312.85N/AN/A456583,2334,218
2007-03-13$75.25$75.0022.7%7.2%19.5%0.0%24.3%2.3%-3.3%-1.2M-1.7M-61.9K0.1921.05N/AN/A95183,5844,265
2007-03-14$74.84$75.0019.6%7.0%18.9%0.0%25.3%2.4%-2.9%-1.6M714.5K-60.9K3.7022.01N/AN/A662443,5844,274
2007-03-15$75.11$75.0024.3%7.0%18.9%0.0%25.0%2.1%-2.5%-2.5M-1.4M-60.3K0.6322.67N/AN/A35223,6004,369
2007-03-16$75.26$75.0024.1%6.9%18.8%0.0%25.8%2.4%-2.8%-3.9M-5.6M-56.2K0.9919.50N/AN/A1011003,5664,375
2007-03-19$75.95$75.0023.7%6.8%19.2%0.0%23.3%2.9%-1.1%-24.6K-5.2M-54.6K1.4720.09N/AN/A751103,0152,961
2007-03-20$76.20$75.0023.6%6.8%18.2%0.0%21.8%3.0%-1.3%-37.2K-5.7M-54.2K10.1718.62N/AN/A6613,0613,051
2007-03-21$77.47$75.0022.5%6.4%19.3%0.0%21.6%2.2%0.3%50.0K-8.5M-51.5K1.0422.32N/AN/A77803,0663,092
2007-03-22$78.01$75.0021.2%6.1%19.5%0.0%23.0%3.2%-0.1%73.8K-9.5M-52.7K1.6018.92N/AN/A53853,0673,163
2007-03-23$78.71$75.0021.5%6.2%19.8%0.0%23.9%3.9%-0.4%123.5K-11.1M-50.8K12.8021.87N/AN/A5643,0973,232
2007-03-26$77.71$75.0023.2%6.6%20.2%0.0%23.4%3.3%-1.2%37.6K-8.8M-51.3K0.4723.57N/AN/A189893,1023,264
2007-03-27$77.05$75.0024.3%7.0%16.5%0.0%24.2%2.2%-1.0%20.0K-7.7M-52.7K0.3222.88N/AN/A277903,2623,337
2007-03-28$76.21$75.0025.0%7.2%16.9%0.0%0.0%1.6%-1.8%-96.9K-5.0M-54.7K0.0012.73N/AN/A1203,2303,387
2007-03-29$76.62$75.0024.6%7.1%17.0%0.0%22.4%2.4%-1.9%-52.1K-6.0M-54.0K0.0814.66N/AN/A5043,2303,387
2007-03-30$77.24$75.0025.3%7.2%16.1%0.0%24.5%4.3%-2.5%22.1K-7.1M-52.7K0.9714.17N/AN/A79773,2423,391