GWW Options History — September 2008

In September 2008, GWW traded between $83.36 and $92.33. ATM implied volatility averaged 35.1%, placing in the 65.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 3.5% (HV 20d: 31.6%). 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 3 of 21 days. Put/call ratio averaged 3.56.

Notable Days

  • 2008-09-16: Highest Volume — 1,604 contracts
  • 2008-09-29: Largest IV spike — 18.7% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.63$83.36$92.33$91.64$86.97
Max Pain$87.14$85.00$90.00$90.00$85.00
ATM IV35.1%26.6%44.9%26.7%42.8%
Expected Move10.2%7.6%12.9%7.6%12.3%
HV 20d31.6%21.7%47.5%26.4%47.5%
HV 60d30.1%27.1%35.5%27.1%35.5%
IV Rank65.5%31.6%100.0%32.0%91.8%
IV Percentile80.8%43.7%100.0%45.6%99.2%
Term Structure-3.3%-7.2%3.3%2.4%-3.7%
VWIV36.3%25.9%46.6%28.9%41.7%
Skew 25d5.4%3.7%6.8%4.3%6.8%
Skew 10d10.7%7.3%14.3%8.0%13.9%
Call IV 25d33.2%23.9%43.8%23.9%38.7%
Put IV 25d38.6%28.3%50.6%28.3%45.5%
Bid-Ask Spread %25.9011.8352.0425.3535.41
Gamma HHI0.210.180.250.200.21
Net GEX446.1K95.8K871.4K587.5K312.0K
Net DEX-19.0M-32.9M-5.5M-26.0M-13.0M
Net VEX-140.2K-149.1K-131.8K-131.8K-141.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.560.2027.501.411.06
Total Volume499.905761,604602233
Total OI12,603.33311,18213,83611,58413,121

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$91.64$90.0026.7%7.6%26.4%32.0%28.9%4.3%2.4%587.5K-26.0M-131.8K1.4125.35N/AN/A2503526,7804,804
2008-09-03$90.81$90.0026.6%7.6%25.9%31.6%25.9%5.0%2.9%560.4K-24.0M-133.4K0.7417.90N/AN/A4032986,9414,733
2008-09-04$88.21$90.0027.1%7.8%28.0%33.7%27.4%3.7%3.3%269.7K-16.9M-140.9K1.6114.44N/AN/A38617,3184,783
2008-09-05$87.31$85.0029.6%9.2%25.9%44.0%31.7%4.2%-3.2%95.8K-13.0M-140.6K3.0211.83N/AN/A942847,3454,830
2008-09-08$89.46$85.0028.9%9.1%23.3%40.9%30.8%4.9%-3.0%392.1K-20.0M-140.7K0.2020.19N/AN/A212427,3494,964
2008-09-09$88.32$85.0030.0%9.4%22.8%45.4%33.0%5.7%-3.5%263.6K-17.8M-141.6K0.4621.10N/AN/A4722197,4394,957
2008-09-10$88.39$90.0028.4%9.3%21.8%39.0%34.2%4.7%-3.2%356.4K-18.2M-140.8K0.3319.47N/AN/A166557,8075,051
2008-09-11$88.07$90.0032.2%9.2%21.7%54.6%34.8%5.7%-2.5%333.1K-17.3M-141.2K1.6233.67N/AN/A29477,8155,029
2008-09-12$90.05$90.0033.7%9.7%23.3%60.6%34.6%5.9%-3.8%665.0K-24.1M-141.5K1.9118.19N/AN/A2354497,8235,063
2008-09-15$86.91$90.0037.1%10.6%26.0%74.3%37.4%4.5%-4.6%120.5K-14.1M-137.6K7.4124.04N/AN/A544007,9555,203
2008-09-16$91.52$90.0038.4%11.0%32.5%79.7%38.8%4.2%-7.2%839.9K-29.5M-141.2K1.6016.82N/AN/A6169887,9725,425
2008-09-17$89.06$90.0040.5%11.6%33.1%87.9%40.7%5.1%-6.9%392.0K-20.5M-149.1K1.4235.65N/AN/A2633748,1185,676
2008-09-18$89.14$85.0039.8%11.4%33.1%85.1%42.3%6.0%-7.2%353.9K-19.4M-143.4K2.4637.55N/AN/A1353328,0865,559
2008-09-19$92.33$85.0039.0%11.2%35.5%81.8%38.2%5.0%-6.4%871.4K-32.9M-142.2K0.7232.20N/AN/A3072228,1335,703
2008-09-22$88.87$85.0037.5%10.8%37.9%76.1%37.5%6.3%-3.4%676.9K-20.6M-133.3K3.5521.21N/AN/A561997,1794,003
2008-09-23$87.83$85.0038.6%11.1%37.4%80.4%40.4%6.0%-3.8%610.6K-18.0M-139.0K2.0422.03N/AN/A3096307,3584,181
2008-09-24$85.95$85.0040.8%11.7%38.1%89.2%40.0%5.5%-4.4%331.2K-11.2M-142.1K0.4020.22N/AN/A196787,6104,754
2008-09-25$88.00$85.0036.1%10.4%39.0%70.3%36.9%6.3%-2.4%493.9K-16.7M-141.6K0.2924.89N/AN/A314917,5924,781
2008-09-26$89.06$85.0037.8%10.8%38.7%77.2%40.1%6.6%-3.7%650.9K-20.3M-144.5K27.5039.66N/AN/A123307,8444,822
2008-09-29$83.36$85.0044.9%12.9%45.1%100.0%46.6%6.8%-5.0%191.1K-5.5M-136.7K14.9352.04N/AN/A416127,8464,918
2008-09-30$86.97$85.0042.8%12.3%47.5%91.8%41.7%6.8%-3.7%312.0K-13.0M-141.9K1.0635.41N/AN/A1131207,8765,245