GWW Options History — July 2008

In July 2008, GWW traded between $79.80 and $91.88. ATM implied volatility averaged 32.1%, placing in the 64.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.8% (HV 20d: 29.2%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.72.

Notable Days

  • 2008-07-14: Highest Volume — 2,500 contracts
  • 2008-07-10: Largest IV drop — 19.8% change
  • 2008-07-07: Highest IV Rank — 100.0%
  • 2008-07-03: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.20$79.80$91.88$82.03$89.51
Max Pain$84.09$80.00$85.00$85.00$85.00
ATM IV32.1%25.8%43.5%38.3%26.1%
Expected Move8.9%7.4%11.5%11.0%7.5%
HV 20d29.2%24.2%32.8%25.8%29.2%
HV 60d24.1%22.6%25.9%22.6%25.9%
IV Rank64.3%43.8%100.0%86.5%44.9%
IV Percentile69.4%38.5%100.0%96.8%40.9%
Term Structure-1.2%-6.4%1.8%-4.8%0.5%
VWIV31.4%23.7%42.0%37.6%27.8%
Skew 25d5.8%3.7%7.6%5.0%3.7%
Skew 10d11.4%8.6%15.0%8.6%9.2%
Call IV 25d28.3%22.4%37.3%35.6%24.6%
Put IV 25d34.1%28.1%43.4%40.6%28.3%
Bid-Ask Spread %17.6611.6828.7712.0618.05
Gamma HHI0.270.190.680.240.19
Net GEX207.3K-1.0M2.7M-733.1K724.7K
Net DEX-5.3M-28.4M17.1M9.3M-21.2M
Net VEX-95.7K-145.0K-78.1K-100.1K-145.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.059.543.620.81
Total Volume836.5451592,5001,796219
Total OI12,218.9555,98916,90113,54511,063

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$82.03$85.0038.3%11.0%25.8%86.5%37.6%5.0%-4.8%-733.1K9.3M-100.1K3.6212.06N/AN/A3891,4076,2237,322
2008-07-02$79.80$85.0039.9%11.4%26.3%91.7%42.0%6.1%-6.4%-1.0M17.1M-97.3K2.7116.96N/AN/A2105696,3847,721
2008-07-03$81.46$85.0040.1%11.5%27.0%92.4%37.8%5.6%-5.7%-858.0K11.8M-104.4K0.2611.69N/AN/A230596,4908,026
2008-07-07$81.52$80.0043.5%10.0%24.2%100.0%37.8%5.4%-3.6%-763.9K9.1M-93.5K0.4512.15N/AN/A110496,5817,732
2008-07-08$84.45$80.0039.9%9.2%27.8%88.6%35.1%6.0%-2.3%-331.7K-1.3M-95.2K1.2821.39N/AN/A861106,6567,752
2008-07-09$83.99$80.0041.8%9.4%27.8%94.7%31.8%5.2%-2.0%-349.0K-236.7K-94.7K0.3014.72N/AN/A1,0103066,6907,719
2008-07-10$84.58$80.0033.5%9.6%27.5%68.4%34.5%5.2%-2.6%-190.9K-3.1M-93.5K1.4716.65N/AN/A2213247,0677,659
2008-07-11$83.14$85.0035.0%10.0%28.0%73.0%35.6%6.0%-3.6%-533.9K2.8M-93.6K1.1411.68N/AN/A1441647,2177,886
2008-07-14$84.21$85.0035.9%10.3%27.9%76.1%34.7%7.6%-3.3%-327.2K-206.9K-88.1K2.0112.13N/AN/A8301,6707,2837,891
2008-07-15$83.91$85.0031.9%9.2%27.8%63.4%32.5%6.5%-0.7%-585.7K-1.4M-81.3K0.8417.96N/AN/A6475427,6298,302
2008-07-16$86.45$85.0030.5%8.8%30.1%59.0%29.7%6.3%0.5%391.7K-13.9M-81.3K1.3419.01N/AN/A3644887,6828,384
2008-07-17$89.52$85.0027.7%7.9%32.3%49.9%30.2%6.7%1.1%2.7M-28.4M-81.8K0.7728.77N/AN/A7095467,7868,589
2008-07-18$88.87$85.0026.8%7.7%32.1%47.1%27.5%6.8%1.8%2.1M-20.7M-78.1K0.3627.87N/AN/A4901787,9598,942
2008-07-21$89.13$85.0026.0%7.5%30.7%44.6%26.5%6.3%0.6%584.0K-10.0M-79.0K0.3419.88N/AN/A5301803,8152,174
2008-07-22$91.88$85.0026.6%7.6%32.1%46.5%23.7%6.2%0.1%807.1K-15.5M-85.0K0.6717.88N/AN/A2291544,1382,297
2008-07-23$90.34$85.0026.4%7.6%31.6%45.7%27.2%5.6%1.1%772.1K-12.9M-86.5K0.8511.87N/AN/A4684004,3082,425
2008-07-24$88.35$85.0027.9%8.0%32.8%50.7%30.3%6.3%0.1%609.2K-8.6M-92.3K8.3120.78N/AN/A957894,6362,734
2008-07-25$88.00$85.0026.4%7.6%30.0%45.9%27.9%5.9%0.9%478.5K-6.3M-99.2K9.5421.67N/AN/A928784,6853,275
2008-07-28$86.76$85.0029.4%8.4%30.2%55.5%27.3%5.2%0.6%168.0K-1.3M-103.5K0.6524.95N/AN/A136884,7274,026
2008-07-29$88.27$85.0025.8%7.4%30.7%43.8%25.4%5.1%0.5%322.1K-4.6M-105.0K0.1114.08N/AN/A1,0711154,8224,091
2008-07-30$90.15$85.0026.2%7.5%31.3%45.2%28.5%4.6%-0.2%619.0K-16.1M-127.6K0.0516.41N/AN/A1,060485,8344,195
2008-07-31$89.51$85.0026.1%7.5%29.2%44.9%27.8%3.7%0.5%724.7K-21.2M-145.0K0.8118.05N/AN/A121986,8554,208