GWW Options History — March 2008

In March 2008, GWW traded between $71.60 and $80.05. ATM implied volatility averaged 32.6%, placing in the 67.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 9.3% (HV 20d: 23.3%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.06.

Notable Days

  • 2008-03-14: Highest Volume — 2,606 contracts
  • 2008-03-13: Largest IV spike — 24.0% change
  • 2008-03-17: Highest IV Rank — 89.6%
  • 2008-03-17: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.50$71.60$80.05$74.53$76.39
Max Pain$75.00$75.00$75.00$75.00$75.00
ATM IV32.6%26.9%39.3%28.0%38.0%
Expected Move9.7%7.7%11.3%8.0%10.9%
HV 20d23.3%20.3%26.6%22.1%24.4%
HV 60d29.4%28.7%30.1%29.8%29.8%
IV Rank67.9%49.0%89.6%52.6%85.5%
IV Percentile86.3%67.1%98.8%75.8%97.2%
Term Structure-1.2%-4.5%5.5%4.8%-4.5%
VWIV33.9%26.2%38.0%27.2%35.4%
Skew 25d4.8%3.2%6.3%4.5%5.8%
Skew 10d9.8%-0.6%18.6%9.5%12.3%
Call IV 25d31.7%25.9%36.8%26.4%33.9%
Put IV 25d36.6%29.8%42.0%31.0%39.7%
Bid-Ask Spread %18.9410.4531.7018.1918.36
Gamma HHI0.210.180.280.220.21
Net GEX-108.9K-515.4K655.6K-407.8K128.1K
Net DEX7.9M-12.2M21.6M16.1M3.6M
Net VEX-145.6K-178.5K-120.8K-134.1K-152.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.0016.600.520.13
Total Volume586.9462,60643996
Total OI18,802.616,74922,33616,74920,568

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$74.53$75.0028.0%8.0%22.1%52.6%27.2%4.5%4.8%-407.8K16.1M-134.1K0.5218.19N/AN/A28815110,1176,632
2008-03-04$74.20$75.0027.4%7.9%22.1%50.8%26.2%3.2%5.1%-374.7K15.7M-136.8K0.1713.37N/AN/A1552710,3026,636
2008-03-05$74.77$75.0026.9%7.7%22.1%49.0%26.6%4.2%5.5%-427.6K15.2M-136.8K2.0315.70N/AN/A295910,1896,653
2008-03-06$73.54$75.0027.8%8.0%22.6%52.1%28.7%3.2%5.5%-443.0K17.7M-131.8K0.3722.55N/AN/A41615210,2096,666
2008-03-07$72.52$75.0028.0%9.8%22.8%52.6%33.8%5.1%-1.9%-446.3K20.3M-127.0K1.1511.49N/AN/A596810,3696,785
2008-03-10$71.60$75.0034.1%10.9%20.7%72.7%35.9%5.1%-3.2%-422.7K21.6M-120.8K0.8810.45N/AN/A13611910,3756,771
2008-03-11$73.35$75.0027.0%9.9%22.9%49.5%35.5%5.1%-2.3%-450.7K18.9M-126.2K4.6713.41N/AN/A7334110,4946,770
2008-03-12$74.05$75.0028.6%10.1%23.2%54.7%34.0%4.7%-2.8%-457.0K16.4M-133.0K1.5913.85N/AN/A325110,5396,916
2008-03-13$73.75$75.0035.5%10.2%21.7%77.2%37.1%4.9%-2.7%-448.5K17.1M-131.0K2.6111.64N/AN/A27872610,5616,885
2008-03-14$72.86$75.0037.3%10.7%20.3%83.0%37.6%5.1%-3.1%-515.4K19.3M-134.3K0.3611.94N/AN/A1,91169510,6597,424
2008-03-17$74.00$75.0039.3%11.3%21.2%89.6%37.1%5.2%-4.0%-105.5K10.3M-156.3K0.1321.25N/AN/A831112,4047,799
2008-03-18$76.18$75.0036.5%10.5%23.5%80.7%34.5%5.5%-2.9%-80.7K3.5M-158.0K0.4625.07N/AN/A31014312,4787,790
2008-03-19$76.28$75.0036.5%10.5%23.4%80.5%38.0%4.5%-3.1%9.7K1.0M-159.9K7.3629.80N/AN/A3928712,7017,862
2008-03-20$78.26$75.0033.4%9.6%25.0%70.3%33.1%5.7%-2.0%336.9K-5.5M-160.5K0.4631.70N/AN/A61728412,7378,119
2008-03-24$79.65$75.0032.7%9.4%25.5%68.1%34.3%6.3%-1.7%487.7K-10.6M-159.2K0.2323.89N/AN/A4189512,4417,119
2008-03-25$80.05$75.0032.3%9.2%25.1%66.6%33.4%5.2%-1.1%535.1K-12.2M-156.8K1.0020.93N/AN/A232312,5487,135
2008-03-26$79.49$75.0033.0%9.5%25.1%69.0%35.3%5.7%-2.1%503.5K-9.4M-157.1K0.0026.90N/AN/A786312,5257,158
2008-03-27$78.00$75.0033.8%9.7%26.2%71.8%37.6%4.0%-2.8%655.6K-8.1M-160.7K16.6023.00N/AN/A1141,89213,2197,161
2008-03-28$76.46$75.0036.9%10.6%26.6%81.7%36.5%3.9%-3.6%-255.8K8.1M-178.5K0.4815.31N/AN/A50524312,3859,951
2008-03-31$76.39$75.0038.0%10.9%24.4%85.5%35.4%5.8%-4.5%128.1K3.6M-152.6K0.1318.36N/AN/A851112,6527,916