GWW Options History — August 2007

In August 2007, GWW traded between $81.77 and $91.61. ATM implied volatility averaged 24.0%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 4.8% (HV 20d: 28.9%). Max pain ranged from $85.00 to $95.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.62.

Notable Days

  • 2007-08-28: Highest Volume — 776 contracts
  • 2007-08-16: Largest IV spike — 151.0% change
  • 2007-08-16: Highest IV Rank — 92.8%
  • 2007-08-16: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.07$81.77$91.61$87.61$91.61
Max Pain$88.48$85.00$95.00$95.00$90.00
ATM IV24.0%11.9%30.0%23.5%23.6%
Expected Move7.0%5.8%8.6%6.7%6.8%
HV 20d28.9%23.0%35.1%27.9%34.2%
HV 60d23.8%20.6%27.7%20.7%27.5%
IV Rank58.5%0.0%92.8%48.4%59.8%
IV Percentile75.0%0.0%96.8%72.4%67.7%
Term Structure2.0%-1.5%3.4%-0.0%3.1%
VWIV23.8%19.9%30.0%25.0%23.1%
Skew 25d3.8%1.0%5.6%3.3%4.2%
Skew 10d8.0%-0.1%13.0%4.8%11.4%
Call IV 25d22.1%19.1%25.9%24.3%20.4%
Put IV 25d25.9%22.5%30.0%27.7%24.6%
Bid-Ask Spread %18.2011.1434.2513.3611.14
Gamma HHI0.240.170.350.200.28
Net GEX234.4K-104.2K511.2K171.6K510.0K
Net DEX-3.3M-12.1M3.9M-734.3K-12.1M
Net VEX-52.0K-58.9K-45.4K-58.9K-53.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.620.2034.400.371.13
Total Volume267.73945776312204
Total OI5,715.134,2796,6326,2605,267

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$87.61$95.0023.5%6.7%27.9%48.4%25.0%3.3%-0.0%171.6K-734.3K-58.9K0.3713.36N/AN/A227853,8562,404
2007-08-02$87.72$95.0022.8%6.5%27.8%43.8%23.5%2.2%-0.0%144.4K-204.0K-55.3K0.2924.17N/AN/A192563,7982,399
2007-08-03$85.60$95.0026.1%7.5%28.6%65.1%25.8%1.0%-1.5%179.8K835.5K-57.4K0.5034.25N/AN/A46234,1202,376
2007-08-06$86.71$90.0026.0%7.0%28.9%64.6%22.0%3.9%2.1%154.8K1.1M-54.8K0.4222.53N/AN/A204854,0532,381
2007-08-07$86.85$90.0024.4%6.8%28.2%54.5%0.0%3.4%2.9%161.2K612.3K-52.8K2.4712.69N/AN/A511264,0432,382
2007-08-08$87.08$90.0025.3%6.7%27.6%60.3%19.9%4.6%3.0%169.9K618.8K-51.8K0.5526.60N/AN/A74414,0372,383
2007-08-09$84.61$90.0026.4%7.1%26.2%67.1%24.9%3.1%2.3%99.2K2.6M-51.3K1.7918.73N/AN/A1001794,0822,414
2007-08-10$86.38$90.0026.5%7.4%26.7%68.0%26.2%3.6%1.6%168.1K-1.7M-54.9K0.7814.34N/AN/A67524,1502,210
2007-08-13$86.35$85.0026.6%7.2%23.0%68.8%22.5%5.1%1.9%139.5K-1.6M-52.1K0.8015.08N/AN/A25204,1782,227
2007-08-14$83.46$85.0026.2%7.2%24.5%66.3%25.0%4.6%2.5%51.5K2.2M-49.2K34.4021.01N/AN/A51724,1802,234
2007-08-15$81.94$85.0011.9%7.9%24.7%0.0%25.0%3.4%1.5%112.8K3.9M-45.4K2.6413.19N/AN/A691824,1802,322
2007-08-16$81.77$85.0030.0%8.6%24.8%92.8%30.0%4.6%0.9%-104.2K3.8M-46.2K0.5912.74N/AN/A4702784,2382,394
2007-08-17$84.65$85.0025.8%7.4%28.5%71.2%25.5%4.1%1.6%-98.6K795.8K-47.3K0.2916.49N/AN/A240694,1922,188
2007-08-20$85.86$85.0024.6%7.0%29.3%64.9%23.0%4.6%2.5%286.8K-5.2M-48.3K0.3324.29N/AN/A250822,7451,534
2007-08-21$87.45$85.0024.1%6.9%29.7%62.7%21.9%4.0%2.8%355.8K-7.2M-51.4K0.2524.70N/AN/A221552,8461,597
2007-08-22$89.39$85.0020.4%5.9%30.9%43.6%20.9%3.5%3.3%483.7K-9.9M-51.7K0.2013.78N/AN/A221452,9621,626
2007-08-23$88.73$85.0020.2%5.8%29.8%42.3%20.4%3.3%3.4%432.4K-8.7M-50.4K0.4216.54N/AN/A135572,8941,665
2007-08-24$90.66$85.0022.2%6.4%29.9%52.6%22.3%3.5%1.8%511.2K-11.3M-50.7K3.6619.56N/AN/A943442,9431,722
2007-08-27$91.05$90.0021.8%6.2%29.2%50.6%21.5%4.5%2.5%360.3K-10.9M-52.1K1.3719.65N/AN/A1101512,9342,023
2007-08-28$87.14$90.0025.4%7.3%33.0%69.3%22.7%4.2%3.0%253.8K-5.2M-52.9K1.9716.91N/AN/A2615152,9562,024
2007-08-29$90.09$90.0024.1%6.9%35.1%62.5%27.6%5.6%1.9%436.8K-9.3M-53.9K4.3315.29N/AN/A241043,0342,087
2007-08-30$89.93$90.0024.6%7.1%35.1%65.2%24.9%3.4%2.2%409.8K-9.2M-53.8K0.7311.69N/AN/A85623,0362,132
2007-08-31$91.61$90.0023.6%6.8%34.2%59.8%23.1%4.2%3.1%510.0K-12.1M-53.2K1.1311.14N/AN/A961083,1112,156