GWW Options History — June 2008

In June 2008, GWW traded between $81.44 and $92.75. ATM implied volatility averaged 29.2%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 7.4% (HV 20d: 21.8%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2008-06-04: Highest Volume — 1,111 contracts
  • 2008-06-05: Largest IV drop — 14.6% change
  • 2008-06-30: Highest IV Rank — 82.2%
  • 2008-06-30: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.85$81.44$92.75$89.93$81.80
Max Pain$85.95$85.00$90.00$90.00$85.00
ATM IV29.2%21.3%37.0%23.9%37.0%
Expected Move8.5%6.1%10.6%6.8%10.6%
HV 20d21.8%16.7%26.0%17.8%25.9%
HV 60d22.5%21.5%23.2%22.3%22.7%
IV Rank56.4%30.7%82.2%39.1%82.2%
IV Percentile64.2%8.3%94.8%30.2%94.8%
Term Structure-0.8%-4.0%4.9%2.6%-4.0%
VWIV30.1%20.0%36.3%24.1%36.3%
Skew 25d3.8%2.3%5.6%2.6%4.1%
Skew 10d7.7%2.6%11.8%2.6%7.3%
Call IV 25d28.4%19.4%35.1%22.6%35.1%
Put IV 25d32.2%24.8%39.2%25.3%39.2%
Bid-Ask Spread %19.6010.1837.9112.7214.64
Gamma HHI0.220.180.260.210.24
Net GEX-43.2K-742.7K668.6K587.3K-742.7K
Net DEX-9.0M-23.2M9.8M-18.0M9.4M
Net VEX-99.1K-109.7K-89.8K-91.9K-101.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.0410.078.100.74
Total Volume336.143161,111273369
Total OI13,027.04811,65314,34111,65313,476

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$89.93$90.0023.9%6.8%17.8%39.1%24.1%2.6%2.6%587.3K-18.0M-91.9K8.1012.72N/AN/A302435,7015,952
2008-06-03$90.36$90.0023.9%6.9%17.6%39.2%25.7%3.1%2.6%488.1K-18.0M-90.7K0.3315.08N/AN/A1245,7126,177
2008-06-04$91.41$90.0024.9%7.2%17.8%42.6%23.6%2.5%2.0%604.3K-20.6M-91.3K7.4217.00N/AN/A1329795,7186,177
2008-06-05$92.75$90.0021.3%6.1%16.7%30.7%20.0%5.4%4.9%668.6K-23.2M-89.8K0.1719.61N/AN/A104185,6976,524
2008-06-06$89.22$85.0023.8%8.0%22.5%38.9%28.6%2.5%-0.6%2.8K-12.0M-104.3K0.6619.85N/AN/A82545,7187,145
2008-06-09$89.97$85.0025.2%8.1%22.5%43.6%30.1%2.8%-0.9%78.1K-13.9M-97.7K2.7528.72N/AN/A8225,7287,165
2008-06-10$90.00$85.0025.1%8.2%21.1%43.0%28.5%2.8%-0.8%27.2K-13.7M-95.7K0.2618.99N/AN/A253655,7297,176
2008-06-11$88.50$85.0026.6%8.6%21.1%48.2%31.2%2.3%-1.4%-137.2K-9.7M-97.5K0.8621.69N/AN/A29255,7847,213
2008-06-12$88.45$85.0029.2%8.4%20.8%56.7%29.2%2.9%-1.4%-193.1K-8.9M-95.2K0.0427.74N/AN/A474205,7937,198
2008-06-13$89.73$85.0028.8%8.3%21.1%55.4%28.6%2.7%-0.7%127.0K-14.3M-93.3K0.0422.68N/AN/A667256,0787,191
2008-06-16$90.09$85.0029.6%8.5%21.0%57.8%29.6%2.9%-1.6%267.7K-17.9M-100.5K0.1519.00N/AN/A73116,6587,202
2008-06-17$89.36$85.0029.3%8.4%21.2%56.9%34.5%3.7%-0.9%34.2K-14.5M-102.1K1.3519.38N/AN/A2132876,6647,211
2008-06-18$88.04$85.0029.9%8.6%21.5%58.9%29.3%4.5%-0.9%-132.7K-8.8M-105.7K10.0725.14N/AN/A585846,7897,434
2008-06-19$89.09$85.0029.7%8.5%22.0%58.3%33.6%4.8%-1.0%-210.9K-11.8M-108.6K0.6524.19N/AN/A57376,7907,551
2008-06-20$86.80$85.0033.0%9.5%23.8%69.0%31.6%5.0%-3.0%-243.3K-3.2M-109.7K0.6237.91N/AN/A55346,7877,544
2008-06-23$86.10$85.0032.8%9.4%23.3%68.5%31.7%5.3%-1.4%-175.0K-4.4M-102.4K0.6316.41N/AN/A3222045,6136,811
2008-06-24$84.25$85.0033.0%9.4%24.1%68.9%33.6%4.8%-1.7%-376.2K757.5K-102.7K1.1010.18N/AN/A1011115,8816,843
2008-06-25$85.18$85.0032.1%9.2%23.8%66.0%31.4%5.4%-1.7%-230.3K-2.7M-103.3K1.5411.06N/AN/A1131745,9666,840
2008-06-26$82.31$85.0036.7%10.5%26.0%81.2%33.7%5.6%-3.9%-619.9K6.8M-99.8K0.9014.43N/AN/A4063656,0486,918
2008-06-27$81.44$85.0036.4%10.4%25.9%80.1%36.2%4.9%-3.1%-731.2K9.8M-97.6K1.9115.24N/AN/A821576,0486,918
2008-06-30$81.80$85.0037.0%10.6%25.9%82.2%36.3%4.1%-4.0%-742.7K9.4M-101.7K0.7414.64N/AN/A2121576,1617,315