GWW Options History — February 2008

In February 2008, GWW traded between $73.66 and $80.35. ATM implied volatility averaged 29.5%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 3.0% (HV 20d: 32.6%). Max pain ranged from $75.00 to $85.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.27.

Notable Days

  • 2008-02-08: Highest Volume — 3,973 contracts
  • 2008-02-13: Largest IV drop — 29.4% change
  • 2008-02-11: Highest IV Rank — 88.6%
  • 2008-02-08: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.62$73.66$80.35$80.35$73.66
Max Pain$76.75$75.00$85.00$85.00$75.00
ATM IV29.5%25.6%39.0%27.8%28.3%
Expected Move8.3%7.3%10.0%8.0%8.1%
HV 20d32.6%21.3%40.6%40.6%22.1%
HV 60d30.4%29.2%31.4%31.4%29.6%
IV Rank57.7%44.8%88.6%51.8%53.7%
IV Percentile78.8%61.5%98.8%77.8%78.2%
Term Structure3.2%0.6%5.3%0.6%4.4%
VWIV28.8%24.5%34.9%29.5%28.6%
Skew 25d5.6%2.8%7.3%5.9%2.8%
Skew 10d11.7%4.8%15.0%4.8%6.1%
Call IV 25d26.2%21.6%30.1%25.4%27.2%
Put IV 25d31.8%26.4%37.2%31.3%30.0%
Bid-Ask Spread %18.059.8525.2913.4920.27
Gamma HHI0.280.220.680.270.24
Net GEX-561.5K-3.4M74.8K64.0K-502.5K
Net DEX15.9M7.9M24.5M8.1M18.7M
Net VEX-143.4K-158.4K-128.4K-158.4K-128.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.058.332.210.15
Total Volume607.7803,973106630
Total OI16,432.8515,43718,75315,43716,248

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$80.35$85.0027.8%8.0%40.6%51.8%29.5%5.9%0.6%64.0K8.1M-158.4K2.2113.49N/AN/A33739,0886,349
2008-02-04$80.17$75.0031.4%8.4%39.2%63.7%26.5%6.4%2.6%74.8K7.9M-155.3K0.3323.64N/AN/A131439,0756,367
2008-02-05$79.03$75.0031.3%8.7%39.4%63.5%32.9%7.2%2.5%-68.1K11.2M-148.4K1.4222.46N/AN/A33479,1376,390
2008-02-06$78.86$75.0031.3%8.7%38.5%63.6%29.9%6.0%2.6%-85.2K12.1M-147.2K0.0523.30N/AN/A307159,1546,391
2008-02-07$79.08$75.0029.7%8.5%38.6%58.4%27.4%6.6%2.9%-4.7K10.6M-153.2K0.0922.75N/AN/A414379,1856,405
2008-02-08$76.65$75.0036.0%10.0%40.1%79.0%34.9%7.3%1.9%-194.9K15.6M-143.1K8.1825.29N/AN/A4333,5409,4306,411
2008-02-11$76.37$75.0039.0%9.8%37.6%88.6%33.8%6.9%2.5%-954.7K21.9M-144.0K3.2622.01N/AN/A5021,6379,6577,960
2008-02-12$75.85$80.0037.5%9.5%37.6%83.9%32.9%6.7%2.2%-760.2K23.0M-148.6K0.8717.00N/AN/A43837910,0268,127
2008-02-13$77.41$80.0026.5%9.2%37.7%47.7%30.4%6.5%2.1%-636.3K18.4M-156.7K2.5625.08N/AN/A15539710,3398,305
2008-02-14$75.46$80.0030.2%8.7%38.8%59.9%29.8%5.2%2.4%-999.9K24.5M-144.7K5.5520.95N/AN/A12971610,4228,331
2008-02-15$75.12$80.0029.7%8.5%37.1%58.2%28.3%6.0%3.1%-3.4M23.2M-147.2K1.5322.04N/AN/A8813510,4678,276
2008-02-19$74.54$80.0028.1%8.1%36.4%53.0%29.2%4.9%3.6%-483.0K18.2M-136.0K0.2612.92N/AN/A320829,0046,484
2008-02-20$74.92$75.0027.3%7.8%29.4%50.3%26.6%4.0%3.8%-439.1K16.6M-137.9K0.5312.54N/AN/A2151139,2606,488
2008-02-21$74.70$75.0025.6%7.3%27.8%44.9%25.9%4.6%5.0%-474.4K17.1M-136.9K1.8614.40N/AN/A561049,3866,561
2008-02-22$74.77$75.0025.6%7.3%24.6%44.8%24.5%4.5%5.3%-459.9K16.5M-139.0K8.3317.74N/AN/A211759,3846,525
2008-02-25$75.93$75.0025.9%7.4%21.4%45.8%25.7%5.3%4.2%-503.7K14.9M-134.3K0.759.85N/AN/A69529,3996,528
2008-02-26$76.84$75.0026.5%7.6%21.5%47.6%26.5%6.0%3.5%-424.3K12.3M-137.6K2.0310.94N/AN/A39799,4216,521
2008-02-27$76.90$75.0025.9%7.4%21.3%45.8%25.7%4.4%4.1%-425.1K12.0M-137.4K5.3313.88N/AN/A492619,4546,561
2008-02-28$75.71$75.0026.9%7.7%21.8%48.9%26.8%4.7%4.0%-529.6K15.4M-134.8K0.2010.36N/AN/A172359,4926,649
2008-02-29$73.66$75.0028.3%8.1%22.1%53.7%28.6%2.8%4.4%-502.5K18.7M-128.4K0.1520.27N/AN/A548829,6286,620