GWW Options History — November 2007

In November 2007, GWW traded between $84.40 and $89.20. ATM implied volatility averaged 28.0%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.7% (HV 20d: 24.3%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2007-11-13: Highest Volume — 1,222 contracts
  • 2007-11-07: Largest IV spike — 32.0% change
  • 2007-11-13: Highest IV Rank — 100.0%
  • 2007-11-09: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.15$84.40$89.20$87.52$88.30
Max Pain$86.19$85.00$90.00$90.00$85.00
ATM IV28.0%22.1%38.9%24.1%24.3%
Expected Move7.8%6.6%8.4%6.9%7.0%
HV 20d24.3%19.1%30.5%21.7%27.9%
HV 60d25.4%24.0%27.3%27.3%24.3%
IV Rank63.4%44.2%100.0%52.6%45.9%
IV Percentile80.8%47.9%100.0%61.0%59.6%
Term Structure0.9%-0.4%2.1%0.9%1.9%
VWIV26.9%23.0%29.8%23.8%25.4%
Skew 25d4.4%2.5%6.2%3.6%3.0%
Skew 10d7.6%3.1%12.1%5.7%5.9%
Call IV 25d25.2%23.1%27.6%24.8%24.0%
Put IV 25d29.6%27.0%31.5%28.4%27.0%
Bid-Ask Spread %18.7010.7831.3825.0520.41
Gamma HHI0.480.360.580.460.50
Net GEX1.2M783.7K1.7M1.3M1.3M
Net DEX-17.1M-29.0M-9.1M-17.1M-18.3M
Net VEX-156.7K-170.8K-141.5K-170.8K-155.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.003.901.420.95
Total Volume267.905101,2224610
Total OI10,268.4299,27111,69110,42510,121

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$87.52$90.0024.1%6.9%21.7%52.6%23.8%3.6%0.9%1.3M-17.1M-170.8K1.4225.05N/AN/A19278,4931,932
2007-11-02$88.18$90.0023.0%6.6%19.5%47.8%23.0%4.2%2.1%1.3M-18.4M-170.2K3.9018.88N/AN/A291138,5101,926
2007-11-05$88.18$90.0024.4%7.4%19.5%54.2%27.6%3.9%0.8%1.4M-18.1M-168.4K0.1715.40N/AN/A65118,5162,004
2007-11-06$87.96$90.0022.1%7.1%19.1%44.2%0.0%4.8%1.2%1.4M-16.9M-166.0K0.6117.81N/AN/A36228,5462,003
2007-11-07$85.69$90.0029.2%7.9%20.7%74.9%27.7%4.3%0.5%1.1M-11.9M-156.6K3.1123.65N/AN/A361128,5702,025
2007-11-08$86.90$85.0031.9%8.2%21.4%86.9%28.7%4.7%-0.4%1.2M-15.8M-160.8K0.0419.70N/AN/A541198,5902,078
2007-11-09$85.29$85.0030.6%8.4%20.7%80.9%28.0%4.1%0.4%955.5K-11.8M-156.3K0.2121.47N/AN/A97208,4442,079
2007-11-12$84.62$85.0033.5%8.3%20.8%93.8%29.0%4.3%-0.2%783.7K-9.1M-144.2K0.2331.38N/AN/A228528,1432,072
2007-11-13$87.21$85.0038.9%8.0%24.2%100.0%25.8%4.7%0.6%997.1K-14.0M-151.4K0.0910.78N/AN/A1,1171058,1852,086
2007-11-14$88.36$85.0030.6%8.2%24.8%69.0%29.2%3.6%0.1%1.7M-25.1M-164.5K0.6114.27N/AN/A2941809,1072,048
2007-11-15$89.19$85.0029.1%8.3%24.0%63.5%29.6%4.0%1.0%1.4M-29.0M-165.7K0.3112.42N/AN/A5301649,1482,155
2007-11-16$88.39$85.0027.5%7.9%23.5%57.7%26.0%5.2%0.9%1.5M-26.7M-162.9K0.1014.77N/AN/A234249,4462,245
2007-11-19$85.99$85.0028.9%8.3%25.2%62.9%26.6%5.5%0.3%908.6K-13.9M-149.7K0.1814.13N/AN/A177317,4461,825
2007-11-20$86.42$85.0027.3%7.8%25.1%56.8%24.5%5.5%1.6%985.8K-13.8M-149.2K0.1118.94N/AN/A202237,5711,841
2007-11-21$84.40$85.0027.5%7.9%26.2%57.7%29.8%4.5%0.7%889.2K-10.8M-141.5K0.5622.86N/AN/A1697,7511,831
2007-11-23$86.84$85.0027.9%8.0%28.4%59.2%24.1%6.2%0.6%1.1M-15.1M-147.8K0.0022.86N/AN/A2707,7591,840
2007-11-26$85.81$85.0028.4%8.2%28.7%61.1%27.9%2.5%1.6%987.9K-14.5M-146.6K0.1516.13N/AN/A288427,7641,840
2007-11-27$86.75$85.0029.3%8.4%29.0%64.2%28.2%5.0%0.1%1.1M-15.2M-146.6K0.0017.19N/AN/A26807,8661,879
2007-11-28$89.20$85.0025.1%7.2%30.5%48.9%26.5%4.1%1.4%1.4M-21.4M-159.0K1.2316.48N/AN/A1872307,9801,879
2007-11-29$89.00$85.0025.1%7.2%29.4%48.6%25.4%4.2%1.7%1.4M-21.1M-157.2K0.9518.10N/AN/A21208,0402,053
2007-11-30$88.30$85.0024.3%7.0%27.9%45.9%0.0%3.0%1.9%1.3M-18.3M-155.4K0.0020.41N/AN/A0108,0482,073