GWW Options History — August 2008

In August 2008, GWW traded between $86.27 and $93.10. ATM implied volatility averaged 25.3%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 3.8% (HV 20d: 29.1%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.55.

Notable Days

  • 2008-08-11: Highest Volume — 2,746 contracts
  • 2008-08-13: Largest IV spike — 54.3% change
  • 2008-08-04: Highest IV Rank — 60.9%
  • 2008-08-04: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.19$86.27$93.10$88.45$90.03
Max Pain$89.76$85.00$90.00$85.00$90.00
ATM IV25.3%18.8%31.2%25.9%23.4%
Expected Move7.2%6.6%8.3%7.4%6.7%
HV 20d29.1%26.1%33.0%29.3%26.4%
HV 60d27.5%25.8%28.2%25.8%28.1%
IV Rank33.5%17.5%60.9%44.3%19.0%
IV Percentile32.4%0.4%73.8%38.9%13.1%
Term Structure3.2%0.5%4.8%0.5%4.8%
VWIV25.0%22.2%28.6%25.7%22.2%
Skew 25d4.4%3.6%5.4%4.1%3.8%
Skew 10d9.1%7.6%12.2%8.8%10.9%
Call IV 25d23.1%21.5%25.7%25.3%21.8%
Put IV 25d27.5%25.6%30.6%29.4%25.6%
Bid-Ask Spread %20.2011.7530.4718.0921.59
Gamma HHI0.200.180.220.190.22
Net GEX674.5K307.3K1.7M628.5K384.2K
Net DEX-24.6M-54.7M-12.4M-18.6M-21.1M
Net VEX-140.0K-166.6K-129.8K-147.0K-136.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.550.0042.000.270.36
Total Volume388.286132,74622576
Total OI11,379.57110,26014,07811,24711,528

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$88.45$85.0025.9%7.4%29.3%44.3%25.7%4.1%0.5%628.5K-18.6M-147.0K0.2718.09N/AN/A177486,9584,289
2008-08-04$87.15$90.0031.2%8.3%30.1%60.9%24.6%4.9%1.4%484.5K-15.1M-147.8K2.3122.17N/AN/A13307,1124,331
2008-08-05$88.86$90.0027.1%7.6%28.3%48.0%26.5%5.4%1.9%695.1K-19.8M-147.8K0.0023.79N/AN/A1307,1224,359
2008-08-06$89.01$90.0026.2%7.4%28.2%45.1%26.3%4.9%2.4%741.0K-20.8M-146.3K0.0029.85N/AN/A43827,1204,359
2008-08-07$86.27$90.0029.2%8.0%30.6%54.6%26.4%4.9%1.6%381.7K-12.4M-140.6K0.4424.91N/AN/A25117,0564,357
2008-08-08$89.73$90.0023.8%7.3%32.6%37.7%26.8%4.7%2.1%981.9K-23.5M-139.8K0.0530.47N/AN/A8247,0644,361
2008-08-11$91.27$90.0028.4%7.4%32.8%52.1%28.6%4.8%2.1%1.2M-29.4M-134.7K0.0420.89N/AN/A2,6371097,1244,365
2008-08-12$92.78$90.0018.8%6.8%33.0%21.6%23.7%5.0%2.5%1.7M-54.7M-166.6K0.5022.92N/AN/A133669,7184,360
2008-08-13$91.98$90.0028.9%7.3%32.0%53.9%25.2%4.3%2.5%1.2M-32.8M-132.7K2.8826.74N/AN/A1183407,1994,420
2008-08-14$92.48$90.0025.5%7.3%29.7%43.1%25.3%5.0%3.1%780.9K-34.5M-131.1K1.9621.52N/AN/A2625137,2454,707
2008-08-15$93.10$90.0023.1%6.6%29.6%17.7%23.3%4.7%3.3%780.7K-36.3M-132.4K1.1813.06N/AN/A1812137,3634,796
2008-08-18$92.62$90.0023.1%6.6%29.7%17.5%24.6%4.7%4.6%655.0K-28.2M-129.8K0.3916.34N/AN/A5962346,3223,938
2008-08-19$90.74$90.0025.2%7.2%28.7%26.0%23.7%4.2%4.0%524.5K-23.3M-140.2K0.6714.30N/AN/A129876,5294,117
2008-08-20$90.50$90.0025.1%7.2%28.1%25.6%25.1%4.1%3.9%499.8K-22.5M-139.7K42.0015.58N/AN/A1426,5294,155
2008-08-21$90.31$90.0024.8%7.1%26.8%24.3%24.5%3.9%4.2%476.3K-21.9M-139.1K0.1620.61N/AN/A349576,5304,165
2008-08-22$91.19$90.0024.2%6.9%26.9%22.2%25.3%4.0%3.9%598.3K-24.9M-139.0K2.7120.90N/AN/A511386,6444,218
2008-08-25$89.27$90.0024.8%7.1%27.6%24.6%22.9%3.6%4.4%404.1K-19.4M-138.2K0.8211.75N/AN/A39326,6724,313
2008-08-26$88.50$90.0024.4%7.0%27.1%23.0%24.4%4.0%3.8%307.3K-16.6M-135.5K2.3714.14N/AN/A41976,6614,329
2008-08-27$89.14$90.0023.7%6.8%26.1%20.1%26.2%4.1%4.7%351.8K-18.2M-136.7K14.0316.49N/AN/A344776,6744,402
2008-08-28$90.64$90.0024.0%6.9%26.7%21.4%23.9%3.9%4.6%398.2K-22.0M-138.0K1.4018.14N/AN/A1081516,6714,789
2008-08-29$90.03$90.0023.4%6.7%26.4%19.0%22.2%3.8%4.8%384.2K-21.1M-136.4K0.3621.59N/AN/A56206,7344,794