GWW Options History — December 2007

In December 2007, GWW traded between $86.65 and $92.04. ATM implied volatility averaged 24.1%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 2.5% (HV 20d: 26.6%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2007-12-17: Highest Volume — 333 contracts
  • 2007-12-05: Largest IV drop — 13.1% change
  • 2007-12-03: Highest IV Rank — 59.3%
  • 2007-12-03: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.27$86.65$92.04$86.92$87.52
Max Pain$89.00$85.00$90.00$85.00$90.00
ATM IV24.1%22.2%28.0%28.0%23.8%
Expected Move7.0%6.4%8.0%8.0%6.8%
HV 20d26.6%23.5%29.1%28.3%23.8%
HV 60d24.1%23.2%24.8%23.7%24.3%
IV Rank45.0%38.1%59.3%59.3%44.0%
IV Percentile57.1%42.3%86.1%86.1%54.0%
Term Structure2.8%0.3%5.2%0.3%3.8%
VWIV23.8%20.5%26.8%25.2%24.2%
Skew 25d3.0%0.1%5.2%3.8%0.1%
Skew 10d6.0%-6.7%13.6%6.1%1.4%
Call IV 25d22.4%19.9%24.9%24.8%23.7%
Put IV 25d25.4%23.0%28.5%28.5%23.8%
Bid-Ask Spread %17.6010.3026.7026.7024.24
Gamma HHI0.520.420.700.490.63
Net GEX1.5M1.1M2.0M1.2M1.1M
Net DEX-20.0M-29.2M-12.7M-15.1M-12.7M
Net VEX-151.4K-165.2K-129.9K-146.2K-129.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.077.940.910.86
Total Volume126.2103332165
Total OI10,693.410,12211,39310,12710,408

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$86.92$85.0028.0%8.0%28.3%59.3%25.2%3.8%0.3%1.2M-15.1M-146.2K0.9126.70N/AN/A11108,0442,083
2007-12-04$86.65$85.0026.6%7.6%28.3%54.3%0.0%4.5%0.7%1.2M-14.1M-144.2K0.0915.52N/AN/A107108,0402,082
2007-12-05$88.25$85.0023.1%6.6%29.1%41.4%26.8%4.8%2.4%1.4M-17.8M-149.6K0.1625.69N/AN/A221358,0902,072
2007-12-06$90.15$85.0023.1%6.6%28.3%41.3%21.3%5.2%2.3%1.7M-24.2M-157.7K1.9322.98N/AN/A601168,2412,095
2007-12-07$91.29$90.0023.1%7.2%28.2%41.5%23.6%3.9%2.4%1.8M-27.9M-162.7K2.7113.94N/AN/A411118,2672,203
2007-12-10$91.42$90.0023.5%6.9%27.1%42.8%24.1%3.9%2.9%1.8M-28.3M-159.8K7.9417.59N/AN/A342708,2852,314
2007-12-11$89.62$90.0024.3%7.2%28.1%45.8%24.7%2.2%2.1%1.6M-22.2M-161.5K1.0221.49N/AN/A1281318,2832,557
2007-12-12$89.96$90.0024.1%7.3%26.2%45.1%25.5%3.2%1.4%1.6M-22.1M-161.6K1.6620.98N/AN/A32538,3192,635
2007-12-13$92.04$90.0025.6%7.3%27.0%50.5%24.3%4.2%2.4%1.8M-29.2M-165.2K0.6816.57N/AN/A73508,3362,673
2007-12-14$90.48$90.0025.1%7.2%27.6%48.6%23.3%3.4%3.0%1.7M-24.1M-160.5K1.0020.26N/AN/A558,3742,716
2007-12-17$88.19$90.0025.6%7.4%29.0%50.8%25.4%1.6%2.0%1.4M-16.2M-146.6K0.1119.37N/AN/A301328,3792,716
2007-12-18$88.81$90.0024.8%7.1%27.2%47.5%24.0%2.4%2.4%1.6M-19.0M-155.4K1.4314.56N/AN/A21308,6292,718
2007-12-19$87.81$90.0024.3%7.0%27.6%45.9%24.2%1.5%3.2%1.3M-15.2M-147.7K0.0712.76N/AN/A7258,6472,718
2007-12-20$87.96$90.0023.1%6.6%26.0%41.4%24.3%3.4%3.8%1.4M-15.2M-146.8K0.8114.53N/AN/A27228,6802,713
2007-12-21$89.26$90.0022.9%6.6%24.6%40.5%20.5%2.9%3.7%2.0M-18.8M-150.4K1.1017.67N/AN/A41458,7002,664
2007-12-24$90.83$90.0022.2%6.4%24.7%38.1%21.4%3.0%5.2%1.5M-23.0M-150.0K0.6610.55N/AN/A107717,8762,313
2007-12-26$90.68$90.0022.3%6.4%24.5%38.2%22.0%2.7%5.0%1.5M-22.8M-149.6K0.5010.30N/AN/A32167,9522,364
2007-12-27$89.10$90.0023.5%6.7%23.5%43.0%23.8%1.2%3.5%1.3M-17.7M-144.7K1.4212.06N/AN/A12177,9552,380
2007-12-28$88.54$90.0023.0%6.6%23.6%41.0%23.2%1.6%3.8%1.2M-15.1M-137.8K0.1714.24N/AN/A90157,9622,385
2007-12-31$87.52$90.0023.8%6.8%23.8%44.0%24.2%0.1%3.8%1.1M-12.7M-129.9K0.8624.24N/AN/A35308,0182,390