GWW Options History — April 2007

In April 2007, GWW traded between $76.39 and $84.02. ATM implied volatility averaged 21.5%. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 6.1% (HV 20d: 15.4%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.51.

Notable Days

  • 2007-04-13: Highest Volume — 2,280 contracts
  • 2007-04-12: Largest IV drop — 27.3% change
  • 2007-04-04: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.53$76.39$84.02$76.39$82.62
Max Pain$79.00$75.00$80.00$75.00$80.00
ATM IV21.5%16.3%31.4%24.9%17.5%
Expected Move5.8%4.7%7.7%7.1%5.0%
HV 20d15.4%13.0%16.8%14.9%16.7%
HV 60d18.5%16.4%19.5%19.1%16.7%
Term Structure-0.7%-4.3%1.3%-2.1%1.1%
VWIV20.6%16.9%26.6%24.5%18.8%
Skew 25d1.3%-3.6%3.0%2.5%1.7%
Skew 10d2.8%-13.7%11.8%9.5%2.4%
Call IV 25d22.6%17.0%37.7%22.7%18.7%
Put IV 25d23.9%18.7%37.9%25.3%20.4%
Bid-Ask Spread %15.717.9528.6211.4815.31
Gamma HHI0.490.320.820.440.32
Net GEX400.0K-92.1K1.3M-92.1K261.4K
Net DEX-15.5M-33.7M-5.5M-5.5M-9.4M
Net VEX-46.4K-54.5K-36.8K-51.1K-46.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.510.0134.141.411.07
Total Volume589.5412,28041242
Total OI7,479.64,44310,7446,7195,238

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$76.39$75.0024.9%7.1%14.9%0.0%24.5%2.5%-2.1%-92.1K-5.5M-51.1K1.4111.48N/AN/A17243,2923,427
2007-04-03$77.08$75.0025.1%7.2%14.8%0.0%24.3%2.4%-2.0%-15.6K-7.2M-50.1K0.6317.79N/AN/A3732343,2963,448
2007-04-04$77.03$75.0026.9%7.7%14.8%0.0%26.6%3.0%-4.3%18.2K-7.4M-52.7K3.8918.96N/AN/A542103,5923,677
2007-04-05$77.51$75.0025.2%7.2%14.4%0.0%25.2%2.9%-4.3%28.6K-8.4M-52.5K0.127.95N/AN/A333403,6093,859
2007-04-09$77.42$80.0031.4%6.7%14.4%0.0%21.7%0.8%-1.7%165.7K-8.4M-51.4K0.6013.79N/AN/A3021803,8923,889
2007-04-10$77.58$80.0030.8%6.3%14.4%0.0%22.5%-0.9%-1.3%267.8K-9.2M-51.4K0.5212.40N/AN/A2981544,1163,997
2007-04-11$77.00$80.0030.7%6.6%13.0%0.0%22.1%-3.6%-1.7%114.5K-7.3M-53.7K0.0712.70N/AN/A343254,2984,137
2007-04-12$78.19$80.0022.3%6.4%13.7%0.0%22.4%0.8%-2.2%476.9K-11.7M-54.5K0.6313.15N/AN/A2601634,4024,155
2007-04-13$79.53$80.0023.9%6.8%14.6%0.0%23.9%0.2%-2.6%702.3K-17.1M-52.9K1.1028.62N/AN/A1,0881,1924,4994,220
2007-04-16$81.59$80.0019.6%5.6%16.7%0.0%19.7%1.3%-0.9%1.3M-27.7M-41.3K0.8024.65N/AN/A9897934,9755,045
2007-04-17$82.10$80.0017.9%5.1%16.6%0.0%17.7%2.0%1.0%1.1M-29.5M-36.8K0.8118.54N/AN/A8136614,8315,064
2007-04-18$82.70$80.0016.7%4.8%16.7%0.0%16.9%1.4%1.3%535.2K-32.2M-38.4K0.8717.95N/AN/A3793294,8915,004
2007-04-19$82.03$80.0017.7%5.1%16.5%0.0%17.2%1.6%0.8%518.1K-29.5M-42.2K0.0113.50N/AN/A52555,0335,285
2007-04-20$82.98$80.0016.3%4.7%16.7%0.0%19.1%1.3%1.1%400.7K-33.7M-41.4K0.4122.30N/AN/A2851175,4545,290
2007-04-23$83.90$80.0016.6%4.8%16.8%0.0%17.5%1.4%0.9%426.5K-13.3M-41.0K0.7112.39N/AN/A1671182,6921,751
2007-04-24$83.08$80.0016.7%4.8%16.5%0.0%17.8%1.4%0.7%455.1K-12.3M-42.0K0.4810.20N/AN/A92442,7731,812
2007-04-25$84.02$80.0016.7%4.8%16.1%0.0%17.7%1.4%0.9%481.6K-13.9M-41.4K1.7315.29N/AN/A1672892,8201,843
2007-04-26$84.02$80.0017.0%4.9%15.2%0.0%18.1%2.1%0.9%398.1K-13.3M-43.7K0.3111.22N/AN/A182572,9032,064
2007-04-27$83.85$80.0017.0%4.9%15.4%0.0%17.7%1.8%1.2%389.9K-12.6M-44.2K34.1415.98N/AN/A72392,9352,084
2007-04-30$82.62$80.0017.5%5.0%16.7%0.0%18.8%1.7%1.1%261.4K-9.4M-46.0K1.0715.31N/AN/A1171252,9392,299