GWW Options History — September 2007

In September 2007, GWW traded between $86.42 and $92.05. ATM implied volatility averaged 27.4%, placing in the 79.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 4.2% (HV 20d: 31.6%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.26.

Notable Days

  • 2007-09-20: Highest Volume — 5,050 contracts
  • 2007-09-18: Largest IV drop — 11.6% change
  • 2007-09-17: Highest IV Rank — 99.5%
  • 2007-09-17: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.54$86.42$92.05$92.05$91.19
Max Pain$85.79$85.00$90.00$90.00$85.00
ATM IV27.4%23.7%31.3%25.2%26.3%
Expected Move8.0%6.8%9.0%7.2%7.5%
HV 20d31.6%23.3%35.5%34.1%23.3%
HV 60d28.4%27.5%29.0%27.5%28.8%
IV Rank79.4%60.3%99.5%68.1%73.7%
IV Percentile90.2%67.6%99.4%86.3%86.0%
Term Structure-0.9%-2.6%3.2%1.4%-0.1%
VWIV27.2%22.5%30.9%22.6%26.2%
Skew 25d3.3%1.8%5.4%3.5%2.0%
Skew 10d6.4%1.5%12.4%6.2%2.7%
Call IV 25d26.0%21.8%28.9%22.4%25.6%
Put IV 25d29.3%25.5%32.9%25.9%27.6%
Bid-Ask Spread %16.0911.1121.6419.8716.38
Gamma HHI0.380.240.630.280.60
Net GEX699.0K148.7K1.5M537.4K1.3M
Net DEX-15.0M-35.7M-2.6M-12.8M-32.3M
Net VEX-88.6K-178.6K-41.6K-52.2K-176.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.015.750.960.57
Total Volume439.789275,05051165
Total OI7,076.4745,38210,8645,38210,252

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$92.05$90.0025.2%7.2%34.1%68.1%22.6%3.5%1.4%537.4K-12.8M-52.2K0.9619.87N/AN/A26253,1432,239
2007-09-05$90.08$90.0024.8%7.1%35.2%66.3%22.5%5.4%2.2%445.7K-9.4M-52.2K0.5621.64N/AN/A85483,1302,259
2007-09-06$90.85$90.0023.7%6.8%35.2%60.3%22.7%3.3%3.2%488.2K-10.2M-52.3K0.3515.32N/AN/A66233,1272,300
2007-09-07$88.10$85.0024.6%8.1%35.5%65.3%28.3%3.8%-1.6%328.8K-5.8M-51.5K0.3216.53N/AN/A145473,1822,309
2007-09-10$88.51$85.0026.3%8.4%34.8%73.8%30.8%3.3%-2.0%388.6K-6.7M-50.9K0.8215.98N/AN/A60493,2802,300
2007-09-11$87.07$85.0028.3%8.7%35.4%84.3%30.9%3.3%-1.5%275.7K-4.2M-48.9K2.1720.46N/AN/A36783,3092,311
2007-09-12$86.76$85.0027.7%8.7%33.0%81.1%29.3%4.2%-1.9%238.8K-3.4M-48.0K5.6914.22N/AN/A351993,3052,278
2007-09-13$86.55$85.0030.4%8.7%32.2%95.1%29.3%4.1%-2.0%190.9K-3.0M-46.5K5.7516.16N/AN/A4233,3302,329
2007-09-14$87.33$85.0030.1%8.6%32.2%93.4%30.8%3.8%-1.5%245.0K-4.1M-46.5K2.5819.21N/AN/A31803,3342,322
2007-09-17$86.42$85.0031.3%9.0%30.3%99.5%30.1%4.0%-2.6%148.7K-2.6M-44.4K0.0514.79N/AN/A5533,3482,345
2007-09-18$89.69$85.0027.6%7.9%32.6%80.7%25.4%2.1%-1.1%506.2K-8.2M-43.2K0.3111.11N/AN/A242753,3522,346
2007-09-19$91.00$85.0028.0%8.0%32.4%82.6%27.2%3.9%-1.7%624.2K-11.4M-42.6K0.2211.78N/AN/A371803,4592,366
2007-09-20$90.69$85.0027.8%8.0%31.6%81.4%27.6%3.2%-1.7%736.6K-11.0M-41.6K0.0112.93N/AN/A5,014363,4962,343
2007-09-21$91.10$85.0028.3%8.1%31.4%84.2%27.3%2.0%-2.2%1.5M-35.7M-178.6K0.2113.41N/AN/A458988,4972,367
2007-09-24$90.71$85.0028.1%8.0%30.6%82.9%27.0%1.8%-2.0%1.3M-31.0M-177.6K0.6616.89N/AN/A150997,9052,076
2007-09-25$90.38$85.0027.8%8.0%30.6%81.7%27.0%2.1%-1.1%1.3M-30.0M-178.0K1.5517.29N/AN/A51798,0012,146
2007-09-26$91.30$85.0027.4%7.9%26.0%79.4%25.7%3.3%-0.4%1.3M-32.0M-177.5K0.0417.14N/AN/A14168,0082,186
2007-09-27$91.41$85.0026.6%7.6%23.3%75.3%25.7%3.4%-0.4%1.4M-32.0M-175.5K1.0414.51N/AN/A85887,9842,189
2007-09-28$91.19$85.0026.3%7.5%23.3%73.7%26.2%2.0%-0.1%1.3M-32.3M-176.3K0.5716.38N/AN/A105607,9972,255