GWW Options History — June 2007

In June 2007, GWW traded between $85.15 and $93.34. ATM implied volatility averaged 20.6%. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.3% (HV 20d: 16.3%). Max pain ranged from $75.00 to $85.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2007-06-26: Highest Volume — 820 contracts
  • 2007-06-06: Largest IV spike — 18.2% change
  • 2007-06-27: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.90$85.15$93.34$88.70$93.05
Max Pain$75.48$75.00$85.00$85.00$75.00
ATM IV20.6%16.1%24.1%16.1%23.4%
Expected Move6.1%4.6%6.9%4.6%6.7%
HV 20d16.3%13.4%18.3%13.6%17.1%
HV 60d15.5%14.8%16.0%14.8%15.5%
Term Structure-0.5%-2.4%3.9%3.9%-2.0%
VWIV22.0%18.6%24.3%18.6%23.7%
Skew 25d1.5%0.4%2.4%1.3%0.4%
Skew 10d3.1%1.1%5.2%2.3%1.1%
Call IV 25d21.1%19.3%23.9%19.5%23.5%
Put IV 25d22.6%20.8%25.1%20.8%24.0%
Bid-Ask Spread %15.169.9923.8714.2314.58
Gamma HHI0.380.210.700.320.55
Net GEX273.0K-377.9K1.3M121.3K571.9K
Net DEX-19.1M-23.8M-11.2M-18.6M-22.6M
Net VEX-33.3K-43.7K-26.3K-36.3K-34.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.0013.321.760.54
Total Volume217.4291382011657
Total OI5,065.9524,1215,4745,3905,303

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$88.70$85.0016.1%4.6%13.6%0.0%18.6%1.3%3.9%121.3K-18.6M-36.3K1.7614.23N/AN/A42742,9102,480
2007-06-04$88.23$75.0017.5%5.8%13.7%0.0%23.7%2.4%0.3%40.0K-17.6M-37.9K0.6616.38N/AN/A94622,9142,511
2007-06-05$87.70$75.0017.1%5.9%13.4%0.0%21.4%1.4%0.1%10.0K-16.9M-38.1K1.0916.16N/AN/A11122,9812,485
2007-06-06$86.83$75.0020.2%6.2%13.7%0.0%22.4%1.5%0.4%-143.0K-15.3M-40.4K0.5917.56N/AN/A32192,9852,488
2007-06-07$85.15$75.0020.2%6.3%15.6%0.0%22.3%1.8%-0.4%-377.9K-11.2M-43.7K13.3213.28N/AN/A476263,0052,469
2007-06-08$85.95$75.0018.3%6.2%15.4%0.0%0.0%1.5%0.2%-317.4K-13.5M-41.4K1.1716.49N/AN/A673,0152,389
2007-06-11$86.74$75.0020.1%6.4%15.2%0.0%22.3%0.9%-0.4%-135.8K-16.0M-36.8K0.6817.33N/AN/A62423,0162,384
2007-06-12$87.04$75.0022.0%6.4%15.2%0.0%21.5%1.2%0.2%-81.9K-16.3M-35.7K4.7317.58N/AN/A11523,0132,389
2007-06-13$89.49$75.0019.0%6.3%17.6%0.0%21.9%1.8%-0.6%698.2K-20.6M-30.1K0.629.99N/AN/A140873,0242,389
2007-06-14$89.60$75.0021.6%6.2%17.5%0.0%23.2%1.7%-0.2%792.0K-20.3M-30.3K0.0010.85N/AN/A6403,0222,450
2007-06-15$89.73$75.0020.7%5.9%17.3%0.0%20.8%0.8%0.5%1.3M-20.0M-28.5K0.4413.40N/AN/A187833,0042,450
2007-06-18$90.80$75.0021.4%6.1%17.2%0.0%22.0%1.9%-1.4%259.5K-19.1M-26.3K0.1716.64N/AN/A304532,6261,495
2007-06-19$90.92$75.0020.5%5.9%17.1%0.0%20.7%2.3%-0.6%288.7K-19.6M-28.8K0.1423.87N/AN/A132192,7581,543
2007-06-20$90.68$75.0021.2%6.1%17.3%0.0%21.2%1.2%-0.9%297.4K-19.6M-28.8K0.0520.27N/AN/A16982,7751,543
2007-06-21$92.54$75.0019.5%5.6%18.3%0.0%20.2%2.3%-1.0%324.7K-21.7M-27.9K0.3212.31N/AN/A91292,8971,551
2007-06-22$91.94$75.0021.3%6.1%17.3%0.0%21.4%1.9%-1.1%336.2K-21.2M-28.9K1.1515.23N/AN/A80922,9401,580
2007-06-25$93.25$75.0021.1%6.1%17.6%0.0%21.3%2.3%-0.8%314.0K-22.1M-28.9K0.1912.31N/AN/A73142,9811,640
2007-06-26$93.19$75.0023.1%6.6%17.7%0.0%23.0%1.7%-2.2%319.5K-22.1M-29.1K0.1213.96N/AN/A729913,0031,640
2007-06-27$93.34$75.0024.1%6.9%17.2%0.0%24.3%1.7%-2.4%568.3K-23.8M-33.0K0.6612.34N/AN/A4643083,4351,648
2007-06-28$92.93$75.0023.4%6.7%17.2%0.0%23.9%0.7%-2.3%561.1K-22.4M-34.5K1.3213.64N/AN/A40533,4081,846
2007-06-29$93.05$75.0023.4%6.7%17.1%0.0%23.7%0.4%-2.0%571.9K-22.6M-34.2K0.5414.58N/AN/A37203,4311,872