GWW Options History — April 2008

In April 2008, GWW traded between $79.30 and $87.64. ATM implied volatility averaged 29.1%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.9% (HV 20d: 26.2%). Max pain ranged from $75.00 to $85.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 5.44.

Notable Days

  • 2008-04-11: Highest Volume — 5,603 contracts
  • 2008-04-10: Largest IV drop — 21.6% change
  • 2008-04-09: Highest IV Rank — 86.5%
  • 2008-04-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.53$79.30$87.64$79.30$86.71
Max Pain$80.91$75.00$85.00$75.00$85.00
ATM IV29.1%23.2%38.3%35.0%25.1%
Expected Move8.0%6.6%10.0%10.0%7.2%
HV 20d26.2%22.1%27.7%27.3%22.1%
HV 60d27.6%24.3%30.9%30.9%24.3%
IV Rank56.1%36.8%86.5%75.8%43.2%
IV Percentile63.2%29.8%97.2%91.3%44.8%
Term Structure-0.0%-4.3%2.9%-4.3%-0.6%
VWIV28.4%23.0%35.9%35.9%24.8%
Skew 25d4.4%1.6%8.4%8.4%2.1%
Skew 10d8.8%0.4%20.1%17.1%9.8%
Call IV 25d26.0%22.0%31.0%31.0%23.9%
Put IV 25d30.4%25.2%39.4%39.4%26.0%
Bid-Ask Spread %21.2810.0735.5210.9513.46
Gamma HHI0.260.190.680.190.21
Net GEX-475.7K-2.6M437.8K312.0K-360.6K
Net DEX-12.7M-45.6M-363.6K-7.5M-8.0M
Net VEX-140.9K-155.6K-127.8K-154.7K-128.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.440.0077.400.990.82
Total Volume962.955705,603207505
Total OI19,82412,07830,07720,65112,583

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$79.30$75.0035.0%10.0%27.3%75.8%35.9%8.4%-4.3%312.0K-7.5M-154.7K0.9910.95N/AN/A10410312,7277,924
2008-04-02$80.51$75.0034.6%9.9%27.5%74.4%34.0%7.6%-4.1%374.1K-13.1M-151.2K10.5823.92N/AN/A5052912,7558,001
2008-04-03$80.25$75.0034.6%9.9%27.6%74.4%31.8%7.5%-4.2%353.1K-11.3M-152.5K0.0026.28N/AN/A70012,7758,141
2008-04-04$80.95$75.0035.8%8.7%26.6%78.1%0.0%5.5%-0.4%384.1K-14.3M-146.7K0.3019.48N/AN/A692112,7888,141
2008-04-07$81.65$75.0037.0%8.8%25.7%82.1%31.0%5.0%0.0%366.4K-17.0M-143.4K4.1120.94N/AN/A6325912,8258,152
2008-04-08$83.00$80.0033.2%8.2%24.9%69.6%28.6%4.4%0.1%401.6K-22.0M-141.5K0.1422.79N/AN/A1382012,8438,364
2008-04-09$81.27$80.0038.3%8.9%26.0%86.5%30.9%5.1%-0.0%437.8K-15.7M-143.4K0.2922.21N/AN/A892612,9488,384
2008-04-10$80.00$80.0030.1%8.6%27.0%59.4%32.6%4.6%0.1%413.3K-10.6M-141.8K3.0234.77N/AN/A8682,61713,0258,374
2008-04-11$80.00$80.0032.1%9.2%26.9%66.1%32.1%4.7%-1.0%-591.6K-1.6M-155.6K4.7135.52N/AN/A9814,62213,45410,772
2008-04-14$81.73$80.0029.8%8.5%26.8%58.6%29.6%4.2%0.8%-2.6M-363.6K-146.8K1.2329.81N/AN/A79197214,06814,066
2008-04-15$82.63$80.0027.9%8.0%26.7%52.3%29.2%4.7%1.9%-2.6M-7.8M-147.9K1.5713.16N/AN/A29346114,14514,556
2008-04-16$85.32$80.0025.6%7.3%27.0%44.7%25.1%4.8%2.9%-1.5M-33.9M-133.1K0.0719.63N/AN/A1,2158514,18814,455
2008-04-17$85.91$80.0025.0%7.2%27.0%42.9%25.1%3.6%2.9%-1.6M-42.0M-127.8K4.7422.73N/AN/A3071,45414,11014,482
2008-04-18$87.50$85.0024.9%7.1%26.4%42.5%23.7%3.8%2.5%-747.0K-45.6M-130.0K0.0326.00N/AN/A2,2997714,24015,837
2008-04-21$87.64$85.0023.2%6.6%26.0%36.8%23.0%3.5%0.7%-358.9K-8.8M-134.4K0.7210.91N/AN/A4052904,4817,597
2008-04-22$85.86$85.0025.3%7.2%27.5%43.7%27.1%1.6%0.3%-505.5K-4.2M-136.0K0.3425.68N/AN/A89304,4817,597
2008-04-23$85.08$85.0024.9%7.2%27.7%42.6%24.2%4.0%0.4%-552.4K-1.6M-142.1K0.1825.23N/AN/A182334,7547,674
2008-04-24$84.71$85.0024.3%7.0%26.6%40.4%24.0%2.5%0.4%-572.5K-1.0M-139.9K4.8024.32N/AN/A753604,8557,694
2008-04-25$85.97$85.0023.9%6.8%25.2%39.1%26.0%2.4%0.2%-445.3K-4.9M-136.0K3.6310.07N/AN/A321164,8567,707
2008-04-28$85.78$85.0024.5%7.0%25.3%41.3%26.7%3.1%0.0%-488.4K-4.4M-133.4K0.0611.43N/AN/A8854,8677,756
2008-04-29$85.82$85.0024.2%6.9%22.4%40.3%30.6%3.0%0.8%-505.6K-4.7M-133.5K77.4018.97N/AN/A53874,9257,761
2008-04-30$86.71$85.0025.1%7.2%22.1%43.2%24.8%2.1%-0.6%-360.6K-8.0M-128.8K0.8213.46N/AN/A2772284,9257,658