GWW Options History — January 2008

In January 2008, GWW traded between $71.87 and $85.51. ATM implied volatility averaged 33.6%, placing in the 76.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 4.0% (HV 20d: 29.6%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2008-01-24: Highest Volume — 2,771 contracts
  • 2008-01-25: Largest IV drop — 23.7% change
  • 2008-01-18: Highest IV Rank — 100.0%
  • 2008-01-24: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.61$71.87$85.51$85.51$79.38
Max Pain$85.95$85.00$90.00$90.00$85.00
ATM IV33.6%25.2%42.4%25.5%29.4%
Expected Move9.9%7.2%12.2%7.3%8.4%
HV 20d29.6%23.4%40.2%24.6%40.2%
HV 60d27.4%24.1%31.7%24.1%31.3%
IV Rank76.6%49.0%100.0%50.3%57.2%
IV Percentile92.8%71.0%100.0%73.3%86.5%
Term Structure-2.5%-7.9%4.2%4.2%-0.4%
VWIV34.2%24.2%43.1%25.5%32.9%
Skew 25d4.9%-0.4%7.5%1.5%5.9%
Skew 10d8.2%-0.7%14.8%-0.7%10.3%
Call IV 25d32.0%25.1%38.4%25.1%27.6%
Put IV 25d36.9%25.5%45.8%26.7%33.5%
Bid-Ask Spread %17.849.4526.6020.3621.78
Gamma HHI0.340.250.570.560.26
Net GEX19.1K-246.1K866.2K866.2K-2.7K
Net DEX10.5M-7.9M21.9M-7.9M9.8M
Net VEX-122.3K-158.4K-84.2K-120.3K-158.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.197.100.520.69
Total Volume747.095842,771205108
Total OI12,908.90510,34115,42710,34115,427

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$85.51$90.0025.5%7.3%24.6%50.3%25.5%1.5%4.2%866.2K-7.9M-120.3K0.5220.36N/AN/A135708,0392,302
2008-01-03$85.18$90.0025.2%7.2%24.6%49.0%24.2%-0.4%4.2%834.0K-7.3M-113.5K0.7911.97N/AN/A47378,1032,333
2008-01-04$82.54$90.0026.2%8.7%25.8%52.8%31.2%4.4%-1.4%501.9K-1.2M-98.4K3.6326.60N/AN/A2841,0328,1062,351
2008-01-07$82.09$90.0028.4%9.3%24.1%61.0%32.2%4.8%-2.0%180.9K5.7M-99.7K0.1915.62N/AN/A178348,0703,291
2008-01-08$80.13$85.0028.5%9.4%24.1%61.4%29.8%4.6%-2.4%73.0K5.8M-84.8K2.8021.70N/AN/A792218,1142,899
2008-01-09$80.14$85.0029.3%9.5%24.0%64.2%33.7%5.5%-2.3%33.7K6.5M-84.2K4.6518.08N/AN/A4271,9848,1622,979
2008-01-10$79.94$85.0033.4%9.6%23.6%79.4%0.0%5.1%-2.1%-186.9K11.6M-118.5K0.509.45N/AN/A4502238,2614,473
2008-01-11$76.87$85.0036.2%10.4%26.1%90.0%33.0%3.3%-3.1%-223.6K16.6M-108.7K1.8914.38N/AN/A4859188,5204,655
2008-01-14$77.45$85.0036.2%10.4%24.2%89.8%34.5%3.6%-3.0%-246.1K17.1M-122.0K1.8213.83N/AN/A39718,6755,176
2008-01-15$76.07$85.0036.2%10.4%24.2%89.9%36.2%4.7%-3.0%-212.8K19.5M-113.9K1.9617.92N/AN/A2424748,6875,187
2008-01-16$75.62$85.0036.3%10.4%23.4%90.1%34.9%4.1%-2.6%-206.6K17.4M-121.0K1.2817.56N/AN/A871118,8345,100
2008-01-17$73.29$85.0037.4%10.7%24.1%94.1%38.0%5.2%-3.6%-159.8K19.6M-115.1K1.0912.70N/AN/A1071178,8865,142
2008-01-18$71.87$85.0040.1%11.5%24.4%100.0%37.6%5.4%-4.7%-184.3K21.9M-103.6K0.8717.11N/AN/A1471288,9695,155
2008-01-22$76.30$85.0041.3%11.9%34.6%100.0%39.3%5.5%-5.7%-39.6K11.4M-132.9K0.9816.35N/AN/A3643587,0884,597
2008-01-23$78.22$85.0038.7%11.1%35.7%91.1%43.1%6.6%-6.1%3.9K8.9M-141.8K1.5915.10N/AN/A41657,2684,864
2008-01-24$80.79$85.0042.4%12.2%37.3%100.0%41.3%7.5%-7.9%180.7K3.8M-157.0K0.6721.79N/AN/A1,6641,1077,3034,921
2008-01-25$77.58$85.0032.4%9.3%39.3%67.1%33.1%5.9%-1.7%-195.6K14.9M-145.3K0.7014.79N/AN/A1,0657428,1805,836
2008-01-28$76.67$85.0037.3%10.7%39.1%83.3%35.6%7.4%-2.9%-192.7K16.8M-141.0K0.8821.11N/AN/A4834268,9306,068
2008-01-29$77.30$85.0036.4%10.4%39.5%80.3%36.4%7.3%-4.1%-222.3K15.9M-141.2K7.1025.45N/AN/A513628,8806,072
2008-01-30$77.81$85.0029.8%8.5%39.8%58.6%31.7%5.4%-1.4%-200.9K14.3M-145.9K1.1921.02N/AN/A3323948,9126,272
2008-01-31$79.38$85.0029.4%8.4%40.2%57.2%32.9%5.9%-0.4%-2.7K9.8M-158.4K0.6921.78N/AN/A64449,0786,349