GWW Options History — May 2008

In May 2008, GWW traded between $85.85 and $91.76. ATM implied volatility averaged 22.9%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.6% (HV 20d: 19.3%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 5.61.

Notable Days

  • 2008-05-19: Highest Volume — 2,560 contracts
  • 2008-05-15: Largest IV spike — 13.7% change
  • 2008-05-05: Highest IV Rank — 43.6%
  • 2008-05-05: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.10$85.85$91.76$87.84$91.26
Max Pain$86.90$85.00$90.00$85.00$90.00
ATM IV22.9%19.5%25.2%21.5%22.8%
Expected Move6.6%6.2%7.1%6.2%6.5%
HV 20d19.3%16.3%22.7%22.2%17.1%
HV 60d23.3%22.4%24.3%24.2%22.4%
IV Rank35.9%24.7%43.6%31.5%35.7%
IV Percentile23.9%3.6%46.0%18.3%18.7%
Term Structure3.1%0.3%5.0%1.1%3.2%
VWIV23.6%20.9%26.5%23.9%22.9%
Skew 25d2.7%-0.0%4.7%4.7%2.2%
Skew 10d5.9%-0.4%13.7%13.7%1.9%
Call IV 25d22.0%19.5%24.8%20.6%21.5%
Put IV 25d24.6%21.9%26.1%25.3%23.7%
Bid-Ask Spread %26.4714.9548.3816.0423.64
Gamma HHI0.230.190.350.220.22
Net GEX195.1K-780.4K839.9K-179.9K754.2K
Net DEX-15.0M-23.9M-4.6M-11.5M-21.6M
Net VEX-106.5K-125.7K-88.1K-125.7K-93.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.610.0435.420.041.74
Total Volume486.38122,5605196
Total OI12,156.1910,00813,84212,77311,580

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$87.84$85.0021.5%6.2%22.2%31.5%23.9%4.7%1.1%-179.9K-11.5M-125.7K0.0416.04N/AN/A4925,0347,739
2008-05-02$87.30$85.0023.8%6.8%22.4%38.8%21.7%0.2%0.3%-284.7K-10.2M-123.4K0.2726.42N/AN/A113315,0267,741
2008-05-05$86.69$85.0025.2%7.1%22.7%43.6%24.9%3.7%2.5%-438.9K-7.8M-123.7K20.3314.95N/AN/A3615,0267,765
2008-05-06$87.37$85.0024.7%7.0%22.2%41.7%24.4%3.3%2.8%-324.3K-9.5M-120.8K0.4917.93N/AN/A57285,0287,824
2008-05-07$85.85$85.0024.6%7.0%21.7%41.4%24.2%3.2%2.6%-694.8K-4.7M-121.1K0.0518.33N/AN/A1,121535,0467,827
2008-05-08$86.21$85.0023.9%6.9%20.6%39.1%26.5%3.5%3.1%-652.8K-5.5M-119.5K1.0820.05N/AN/A37404,8607,804
2008-05-09$85.87$85.0023.2%6.9%20.8%36.7%22.4%3.9%3.0%-780.4K-4.6M-118.1K0.0835.00N/AN/A3834,8647,824
2008-05-12$87.93$85.0021.8%6.5%21.0%32.3%0.0%4.0%2.8%-104.7K-12.3M-106.5K7.1318.75N/AN/A8574,8327,827
2008-05-13$89.46$85.0020.6%6.4%21.4%28.3%24.0%3.8%3.1%585.7K-17.8M-100.9K0.1035.62N/AN/A410414,8227,862
2008-05-14$90.21$85.0019.5%6.3%18.8%24.7%23.2%2.7%3.1%839.9K-20.3M-96.2K0.3529.21N/AN/A117414,8137,873
2008-05-15$91.21$85.0022.1%6.3%19.0%33.4%23.1%3.6%3.2%720.4K-23.5M-92.7K32.0325.97N/AN/A341,0894,8767,908
2008-05-16$91.76$85.0021.8%6.2%18.2%32.3%20.9%3.7%3.5%390.3K-23.9M-95.9K0.0431.64N/AN/A274104,8908,952
2008-05-19$91.50$85.0023.4%6.7%18.3%37.4%24.3%-0.0%3.8%407.4K-20.0M-88.1K0.1030.31N/AN/A2,3352254,3965,612
2008-05-20$90.51$90.0024.0%6.9%16.9%39.6%24.5%1.5%3.3%634.5K-19.1M-103.7K0.3017.29N/AN/A165505,4475,673
2008-05-21$90.26$90.0023.9%6.8%16.5%39.1%0.0%2.1%4.0%605.8K-18.1M-105.9K0.0035.99N/AN/A025,5355,713
2008-05-22$90.21$90.0022.2%6.4%16.3%33.6%22.2%1.5%5.0%605.6K-17.7M-103.1K35.4227.90N/AN/A602,1255,5355,715
2008-05-23$88.74$90.0022.5%6.5%17.1%34.7%22.6%1.2%4.4%344.3K-13.7M-109.0K7.1148.38N/AN/A574055,5546,145
2008-05-27$89.26$90.0022.8%6.5%17.1%35.5%24.7%3.3%4.0%414.0K-14.9M-98.5K1.2839.28N/AN/A72925,5525,824
2008-05-28$90.56$90.0023.1%6.6%17.7%36.4%22.7%2.5%3.6%583.2K-18.5M-97.7K0.5225.15N/AN/A50265,5955,866
2008-05-29$91.16$90.0023.4%6.7%17.5%37.7%25.1%1.5%3.3%672.9K-20.0M-92.7K3.7917.96N/AN/A1545835,5835,892
2008-05-30$91.26$90.0022.8%6.5%17.1%35.7%22.9%2.2%3.2%754.2K-21.6M-93.0K1.7423.64N/AN/A35615,6845,896