GWW Options History — May 2007

In May 2007, GWW traded between $83.30 and $88.05. ATM implied volatility averaged 18.9%. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.0% (HV 20d: 14.9%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2007-05-09: Highest Volume — 1,319 contracts
  • 2007-05-31: Largest IV drop — 16.4% change
  • 2007-05-21: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.84$83.30$88.05$83.58$88.05
Max Pain$84.32$80.00$85.00$80.00$85.00
ATM IV18.9%16.3%21.4%17.4%16.8%
Expected Move5.5%4.8%6.1%5.0%4.8%
HV 20d14.9%12.7%17.1%16.1%13.5%
HV 60d16.4%14.8%16.9%16.8%14.8%
Term Structure1.3%0.5%2.9%1.1%2.9%
VWIV19.7%17.6%23.3%17.6%18.4%
Skew 25d2.0%-1.7%6.5%2.3%1.9%
Skew 10d3.8%-1.1%10.2%4.3%3.4%
Call IV 25d18.7%14.5%20.7%18.0%19.2%
Put IV 25d20.7%12.9%22.9%20.4%21.2%
Bid-Ask Spread %20.9510.8326.9316.2212.03
Gamma HHI0.340.240.580.320.34
Net GEX178.5K-198.0K1.2M235.0K3.1K
Net DEX-11.3M-16.8M-8.1M-10.5M-16.8M
Net VEX-49.7K-54.3K-40.3K-47.3K-40.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.006.650.040.43
Total Volume249.581,31980120
Total OI5,640.4555,1266,3305,3365,365

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$83.58$80.0017.4%5.0%16.1%0.0%0.0%2.3%1.1%235.0K-10.5M-47.3K0.0416.22N/AN/A7732,9412,395
2007-05-02$84.46$80.0017.6%5.1%16.1%0.0%17.6%1.4%1.0%283.1K-12.6M-45.6K6.6516.87N/AN/A201333,0182,398
2007-05-03$84.32$80.0017.1%4.9%16.2%0.0%23.3%1.6%1.5%230.8K-11.9M-46.3K1.0416.18N/AN/A2492603,0132,501
2007-05-04$84.08$85.0016.3%5.4%16.4%0.0%0.0%2.2%0.7%220.0K-10.5M-53.3K3.4219.68N/AN/A12413,1002,695
2007-05-07$83.30$85.0017.1%5.4%17.0%0.0%19.3%0.1%1.3%192.9K-8.6M-51.1K1.1522.37N/AN/A53613,1112,690
2007-05-08$84.18$85.0016.9%5.3%17.1%0.0%19.5%3.2%1.3%243.4K-10.7M-50.4K2.8225.06N/AN/A17483,1442,688
2007-05-09$84.50$85.0016.5%5.3%16.6%0.0%20.2%-1.7%1.2%256.8K-11.6M-50.0K0.0526.93N/AN/A1,256633,1442,731
2007-05-10$83.62$85.0019.0%5.4%16.9%0.0%19.0%2.9%1.1%171.8K-8.3M-49.5K0.0625.33N/AN/A688432,8912,726
2007-05-11$84.58$85.0019.3%5.5%16.4%0.0%19.4%6.5%1.4%313.4K-11.2M-54.0K1.3523.50N/AN/A1241683,0962,746
2007-05-14$84.45$85.0019.6%5.6%14.1%0.0%19.6%2.3%1.0%322.0K-11.0M-54.3K0.0023.25N/AN/A2003,2172,896
2007-05-15$84.04$85.0019.7%5.7%14.2%0.0%19.7%2.1%1.5%298.0K-9.4M-52.4K0.2225.68N/AN/A69153,1682,896
2007-05-16$83.90$85.0019.6%5.6%14.1%0.0%19.6%2.3%1.5%337.8K-8.5M-51.9K0.0026.87N/AN/A9703,2172,899
2007-05-17$83.61$85.0020.8%5.9%13.8%0.0%20.8%2.0%1.0%292.3K-8.1M-53.6K2.2423.24N/AN/A1192673,2982,899
2007-05-18$84.78$85.0020.6%5.9%14.0%0.0%21.6%2.2%0.6%1.2M-10.5M-54.1K0.3812.92N/AN/A3321253,2893,041
2007-05-21$85.40$85.0021.4%6.1%13.7%0.0%21.1%2.3%0.5%-69.4K-11.5M-51.2K0.2616.29N/AN/A176452,8042,322
2007-05-22$85.82$85.0020.9%6.0%13.2%0.0%20.3%2.5%1.3%-28.1K-12.8M-50.6K0.5419.27N/AN/A98532,9132,340
2007-05-23$86.14$85.0020.3%5.8%12.7%0.0%18.3%1.4%1.4%-59.3K-13.6M-48.5K0.4224.15N/AN/A134562,9032,368
2007-05-24$84.81$85.0019.6%5.6%14.1%0.0%19.3%0.9%2.0%-128.9K-10.7M-51.1K0.3922.83N/AN/A212832,8712,415
2007-05-25$85.64$85.0019.0%5.4%14.4%0.0%19.0%1.3%1.7%-145.4K-12.4M-49.1K0.3324.97N/AN/A622,8522,463
2007-05-29$85.89$85.0020.1%5.8%13.1%0.0%0.0%1.0%1.0%-198.0K-12.6M-45.9K0.0026.37N/AN/A2402,8482,463
2007-05-30$87.25$85.0020.1%5.8%13.6%0.0%18.2%2.2%0.9%-86.5K-15.3M-41.9K0.2410.83N/AN/A97232,8522,463
2007-05-31$88.05$85.0016.8%4.8%13.5%0.0%18.4%1.9%2.9%3.1K-16.8M-40.3K0.4312.03N/AN/A84362,8832,482