GWW Options History — July 2007

In July 2007, GWW traded between $86.86 and $98.45. ATM implied volatility averaged 23.9%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.8% (HV 20d: 22.1%). Max pain ranged from $75.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2007-07-16: Highest Volume — 4,297 contracts
  • 2007-07-12: Largest IV drop — 21.9% change
  • 2007-07-10: Highest IV Rank — 99.1%
  • 2007-07-13: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.94$86.86$98.45$94.26$87.36
Max Pain$90.95$75.00$95.00$75.00$95.00
ATM IV23.9%19.4%31.3%24.0%25.6%
Expected Move6.5%5.6%7.9%6.9%7.3%
HV 20d22.1%14.6%28.3%17.3%28.0%
HV 60d18.0%15.6%20.8%15.6%20.8%
IV Rank50.7%21.7%99.1%55.8%62.3%
IV Percentile72.0%35.3%99.2%84.9%93.1%
Term Structure-0.0%-2.8%3.6%-2.3%-0.8%
VWIV22.8%19.3%27.7%24.1%26.0%
Skew 25d1.6%-0.3%3.4%1.3%0.8%
Skew 10d2.7%-0.7%6.3%2.5%1.1%
Call IV 25d22.3%19.3%27.5%23.8%26.0%
Put IV 25d23.9%20.6%28.2%25.1%26.8%
Bid-Ask Spread %18.7011.8728.8015.1617.19
Gamma HHI0.430.210.640.580.22
Net GEX696.6K131.8K1.9M587.9K131.8K
Net DEX-17.9M-32.6M578.1K-24.0M578.1K
Net VEX-44.6K-62.5K-29.4K-31.7K-50.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.001.290.420.32
Total Volume732.381284,29781651
Total OI6,578.5245,0729,9075,2925,969

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$94.26$75.0024.0%6.9%17.3%0.0%24.1%1.3%-2.3%587.9K-24.0M-31.7K0.4215.16N/AN/A57243,4171,875
2007-07-03$93.24$75.0024.4%7.0%17.7%0.0%24.4%-0.3%-2.5%574.5K-22.8M-32.8K0.7517.18N/AN/A16123,4411,882
2007-07-05$93.69$75.0024.6%7.1%17.0%55.8%25.8%0.9%-2.8%622.4K-23.2M-31.7K0.0017.36N/AN/A7403,4511,889
2007-07-06$94.21$90.0024.9%6.3%14.6%57.3%21.8%2.1%0.5%639.8K-24.4M-31.0K0.3519.33N/AN/A65233,5051,889
2007-07-09$95.00$90.0027.9%6.6%14.6%77.4%21.7%3.4%-0.2%656.3K-25.6M-29.4K0.2019.79N/AN/A5381063,5401,901
2007-07-10$92.87$90.0031.3%6.7%17.5%99.1%23.7%1.0%-0.2%739.0K-22.7M-33.3K0.9321.44N/AN/A57533,9211,971
2007-07-11$94.09$90.0030.7%6.6%17.8%95.7%22.8%2.5%0.1%784.5K-24.6M-32.4K0.1120.41N/AN/A315363,9352,002
2007-07-12$96.77$90.0024.0%6.9%17.9%51.8%23.3%2.7%-0.4%942.2K-30.0M-31.8K0.1613.41N/AN/A9131464,1292,032
2007-07-13$98.45$95.0027.6%7.9%18.4%75.3%27.7%0.7%-2.3%922.4K-32.6M-36.1K0.4724.68N/AN/A1,8638734,4182,152
2007-07-16$94.33$95.0022.1%6.3%25.0%39.0%22.1%1.1%1.4%1.1M-24.1M-39.6K0.6514.82N/AN/A2,6121,6855,2202,699
2007-07-17$95.40$95.0021.0%6.0%25.0%32.0%21.1%1.2%2.2%1.3M-28.3M-62.5K0.1217.25N/AN/A594706,1103,688
2007-07-18$95.34$95.0020.1%5.8%25.0%26.2%20.1%2.0%3.0%1.3M-29.8M-58.5K0.3628.80N/AN/A4571666,2373,554
2007-07-19$94.98$95.0019.4%5.6%25.0%21.7%19.3%1.4%3.6%1.9M-27.6M-59.6K0.2726.32N/AN/A315856,3313,576
2007-07-20$93.20$95.0020.2%5.8%25.2%26.6%20.0%0.6%3.0%803.8K-18.6M-55.7K0.2814.96N/AN/A3581026,1953,531
2007-07-23$92.93$95.0019.6%5.6%25.1%23.0%19.8%0.9%1.0%382.0K-7.9M-53.3K0.3916.76N/AN/A3611413,1301,942
2007-07-24$91.17$95.0021.5%6.2%25.4%35.1%20.1%2.5%-0.3%300.8K-5.2M-53.5K0.1711.87N/AN/A7131183,3212,050
2007-07-25$90.55$95.0020.9%6.0%25.5%31.6%20.6%2.3%0.1%388.0K-4.2M-56.2K0.4319.66N/AN/A4171793,7112,108
2007-07-26$88.46$95.0023.3%6.7%26.6%46.9%23.9%2.3%-1.3%212.6K-1.2M-53.5K1.2921.63N/AN/A2403103,5402,152
2007-07-27$86.86$95.0025.0%7.2%27.2%58.4%24.9%1.1%-1.5%172.8K429.6K-51.5K0.4118.33N/AN/A232943,6372,275
2007-07-30$88.55$95.0023.5%6.7%28.3%48.4%24.9%2.5%-0.8%195.8K-952.9K-50.7K1.2116.32N/AN/A1401693,5612,262
2007-07-31$87.36$95.0025.6%7.3%28.0%62.3%26.0%0.8%-0.8%131.8K578.1K-50.8K0.3217.19N/AN/A4941573,6022,367