GWW Options History — October 2007

In October 2007, GWW traded between $87.92 and $94.80. ATM implied volatility averaged 27.3%, placing in the 70.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.8% (HV 20d: 21.5%). Max pain ranged from $85.00 to $95.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.72.

Notable Days

  • 2007-10-12: Highest Volume — 2,989 contracts
  • 2007-10-11: Largest IV drop — 20.1% change
  • 2007-10-04: Highest IV Rank — 100.0%
  • 2007-10-04: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.56$87.92$94.80$93.46$89.92
Max Pain$88.04$85.00$95.00$85.00$90.00
ATM IV27.3%22.0%35.0%27.1%23.0%
Expected Move7.5%6.3%9.1%7.8%6.6%
HV 20d21.5%18.6%24.2%24.0%20.1%
HV 60d27.6%26.3%29.3%29.3%26.7%
IV Rank70.2%43.8%100.0%78.1%48.0%
IV Percentile79.4%48.1%100.0%89.3%52.2%
Term Structure-0.2%-4.5%2.8%-1.6%1.7%
VWIV26.5%21.1%34.1%27.0%22.8%
Skew 25d3.5%0.8%5.6%1.6%3.6%
Skew 10d7.2%-2.8%11.7%2.5%7.0%
Call IV 25d27.1%22.2%36.5%26.6%22.2%
Put IV 25d30.6%25.4%40.7%28.2%25.9%
Bid-Ask Spread %14.389.1328.1810.2828.18
Gamma HHI0.560.460.700.580.46
Net GEX1.5M754.0K2.2M1.5M1.5M
Net DEX-30.1M-43.6M-18.2M-37.9M-22.3M
Net VEX-177.8K-189.1K-167.5K-176.3K-176.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.072.390.140.20
Total Volume571.478372,989179130
Total OI11,163.6529,07313,56810,33410,383

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$93.46$85.0027.1%7.8%24.0%78.1%27.0%1.6%-1.6%1.5M-37.9M-176.3K0.1410.28N/AN/A157228,0392,295
2007-10-02$92.76$85.0028.2%8.1%24.2%83.4%29.3%2.9%-2.4%1.5M-35.5M-177.5K1.8514.07N/AN/A13248,0912,302
2007-10-03$91.05$85.0030.4%8.7%23.8%94.9%30.0%0.8%-3.3%1.3M-31.4M-173.4K2.0214.53N/AN/A42858,1022,311
2007-10-04$91.99$85.0031.9%9.1%23.9%100.0%34.1%4.3%-4.5%1.4M-33.3M-173.7K2.3916.73N/AN/A882108,1042,340
2007-10-05$94.35$85.0031.7%7.5%22.4%98.9%27.7%3.6%-0.8%1.6M-40.0M-177.0K0.0910.50N/AN/A774688,1512,472
2007-10-08$94.12$85.0033.8%7.8%22.5%100.0%27.1%1.8%-1.6%1.7M-41.6M-179.6K0.7610.73N/AN/A131998,6702,536
2007-10-09$94.80$85.0033.4%7.7%21.3%98.2%26.5%3.1%-1.8%1.8M-43.6M-178.7K0.2610.70N/AN/A268718,7172,520
2007-10-10$94.05$85.0035.0%7.9%21.6%100.0%26.1%2.6%-0.8%1.8M-41.7M-179.7K1.969.13N/AN/A2284478,8992,575
2007-10-11$92.71$85.0027.9%8.0%22.4%69.5%29.2%4.2%-1.4%1.6M-35.6M-185.8K0.6311.86N/AN/A3672328,9112,950
2007-10-12$94.22$85.0028.0%8.0%22.8%69.9%27.8%2.4%-1.7%1.9M-40.2M-189.1K0.459.92N/AN/A2,0639269,0493,111
2007-10-15$93.75$90.0026.7%7.7%22.4%64.1%26.7%4.7%-0.5%2.2M-39.2M-187.7K1.0710.87N/AN/A1,1601,2379,8353,593
2007-10-16$93.59$95.0026.0%7.4%18.8%60.9%27.9%4.8%0.3%2.1M-36.3M-187.1K0.3013.81N/AN/A5831759,7433,825
2007-10-17$92.71$90.0025.1%7.2%18.6%57.1%25.2%4.8%0.2%1.7M-30.8M-183.8K0.4812.14N/AN/A2471199,6743,786
2007-10-18$90.70$90.0026.8%7.7%20.3%64.6%25.6%4.6%0.4%844.5K-23.4M-178.0K0.5316.89N/AN/A135719,6833,780
2007-10-19$89.16$90.0028.8%8.3%21.1%73.3%29.1%3.8%-0.9%754.0K-19.1M-173.7K0.2915.62N/AN/A6781969,6453,754
2007-10-22$89.80$90.0027.3%7.8%21.2%66.7%27.4%5.6%-0.1%1.1M-20.7M-173.6K0.2214.76N/AN/A237527,5021,571
2007-10-23$88.85$90.0023.2%6.7%21.5%49.0%23.1%5.0%2.3%1.1M-18.4M-167.5K0.0712.39N/AN/A620427,6821,618
2007-10-24$89.14$90.0023.5%6.7%21.2%50.3%24.9%4.2%2.2%1.4M-21.2M-177.1K1.0415.47N/AN/A2162258,1431,660
2007-10-25$88.89$90.0023.8%6.8%21.2%51.7%23.9%3.1%2.2%1.3M-20.6M-175.0K0.2814.47N/AN/A157448,2331,824
2007-10-26$89.05$90.0022.0%6.3%21.2%43.8%21.1%3.3%2.8%1.4M-20.9M-175.6K0.7216.20N/AN/A32238,3261,863
2007-10-29$88.92$90.0022.3%6.4%18.9%44.9%23.5%2.6%2.6%1.4M-20.1M-171.8K0.2518.65N/AN/A163408,3261,863
2007-10-30$87.92$90.0022.6%6.5%19.1%46.5%23.1%4.2%2.4%1.3M-18.2M-171.7K0.6822.94N/AN/A1471008,4531,854
2007-10-31$89.92$90.0023.0%6.6%20.1%48.0%22.8%3.6%1.7%1.5M-22.3M-176.8K0.2028.18N/AN/A108228,4681,915