GWW Options History — October 2008 In October 2008, GWW traded between $68.16 and $83.40. ATM implied volatility averaged 63.4%, placing in the 70.6% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 5.4% (HV 20d: 68.9%). Max pain ranged from $75.00 to $85.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.22.
Notable Days 2008-10-22 : Highest Volume — 2,836 contracts2008-10-22 : Largest IV spike — 34.3% change2008-10-01 : Highest IV Rank — 100.0%2008-10-27 : Largest Expected Move — 19.8%Monthly Statistics Metric Avg Min Max Open Close Price $75.80 $68.16 $83.40 $81.93 $78.57 Max Pain $81.09 $75.00 $85.00 $85.00 $75.00 ATM IV 63.4% 41.8% 94.6% 45.8% 50.8% Expected Move 16.3% 12.0% 19.8% 13.1% 14.6% HV 20d 68.9% 51.6% 84.8% 51.6% 82.3% HV 60d 47.4% 36.9% 57.9% 36.9% 57.8% IV Rank 70.6% 30.4% 100.0% 100.0% 42.3% IV Percentile 97.5% 92.5% 100.0% 100.0% 92.5% Term Structure -6.4% -11.8% 1.2% -5.1% -0.2% VWIV 55.1% 41.9% 64.7% 45.4% 47.9% Skew 25d 11.4% 6.0% 22.4% 6.0% 15.8% Skew 10d 18.3% 8.3% 33.1% 10.2% 28.0% Call IV 25d 51.0% 40.0% 61.5% 42.8% 45.3% Put IV 25d 62.4% 48.7% 74.8% 48.7% 61.1% Bid-Ask Spread % 26.44 12.91 51.87 32.12 21.22 Gamma HHI 0.21 0.15 0.26 0.22 0.21 Net GEX 63.5K -417.0K 669.0K -48.8K 669.0K Net DEX 3.9M -17.1M 20.9M 102.8K -14.8M Net VEX -134.3K -163.6K -105.9K -130.0K -163.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 0.10 4.49 4.49 0.10 Total Volume 1,150.957 321 2,836 851 1,130 Total OI 14,707.261 11,161 18,419 13,233 15,132
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-10-01 $81.93 $85.00 45.8% 13.1% 51.6% 100.0% 45.4% 6.0% -5.1% -48.8K 102.8K -130.0K 4.49 32.12 N/A N/A 155 696 7,921 5,312 2008-10-02 $77.98 $85.00 53.3% 15.3% 53.4% 100.0% 56.7% 12.2% -7.0% -216.8K 10.4M -123.8K 2.45 31.85 N/A N/A 394 964 7,989 5,840 2008-10-03 $77.31 $85.00 58.7% 16.8% 53.3% 100.0% 57.6% 9.3% -9.9% -274.2K 12.4M -129.1K 1.50 24.97 N/A N/A 262 393 8,267 6,372 2008-10-06 $76.86 $85.00 71.0% 15.2% 52.1% 100.0% 49.9% 6.9% -7.6% -243.1K 13.2M -129.8K 1.10 39.98 N/A N/A 217 238 8,385 6,591 2008-10-07 $72.74 $85.00 67.2% 15.5% 54.8% 92.7% 43.4% 6.3% -9.3% -259.3K 20.7M -108.6K 0.86 30.78 N/A N/A 203 174 8,416 6,558 2008-10-08 $72.61 $85.00 71.1% 16.2% 54.7% 100.0% 55.0% 6.2% -9.6% -243.3K 20.9M -105.9K 0.38 20.42 N/A N/A 1,343 513 8,449 6,449 2008-10-09 $71.23 $85.00 86.5% 18.4% 54.8% 100.0% 59.8% 6.2% -10.0% -113.5K 17.6M -122.9K 0.92 47.10 N/A N/A 588 539 9,568 6,570 2008-10-10 $73.87 $85.00 94.6% 18.9% 56.1% 100.0% 60.4% 6.5% -11.8% -92.2K 11.9M -140.1K 2.04 36.76 N/A N/A 492 1,005 9,686 6,798 2008-10-13 $80.45 $85.00 78.5% 16.0% 64.5% 78.8% 58.3% 9.9% -9.8% -209.0K 2.1M -147.9K 1.93 25.42 N/A N/A 741 1,428 10,035 6,726 2008-10-14 $83.40 $85.00 63.9% 14.4% 63.0% 59.6% 53.0% 9.8% -6.5% -37.2K -13.1M -156.3K 0.92 13.33 N/A N/A 1,339 1,238 10,365 6,875 2008-10-15 $75.21 $85.00 81.2% 17.0% 71.8% 82.4% 57.4% 11.2% -8.9% -252.8K 17.4M -135.1K 1.98 19.46 N/A N/A 466 921 10,724 7,568 2008-10-16 $77.00 $85.00 59.2% 17.0% 72.6% 53.4% 59.5% 13.3% -8.7% -270.4K 10.7M -138.9K 1.22 22.87 N/A N/A 844 1,028 10,715 7,089 2008-10-17 $78.36 $80.00 51.3% 14.7% 71.5% 43.0% 48.8% 13.0% -5.5% -417.0K 7.4M -142.4K 1.18 29.68 N/A N/A 783 922 11,026 7,393 2008-10-20 $83.24 $80.00 41.8% 12.0% 74.5% 30.4% 43.8% 10.2% 1.2% 612.4K -17.1M -151.0K 1.19 20.02 N/A N/A 314 374 7,430 3,731 2008-10-21 $77.73 $80.00 44.2% 12.7% 78.0% 33.6% 41.9% 11.6% -0.4% 468.6K -6.2M -136.0K 0.63 12.91 N/A N/A 207 131 7,624 3,772 2008-10-22 $71.48 $80.00 59.4% 17.0% 82.7% 53.6% 56.6% 15.5% -5.3% 252.9K 4.2M -111.4K 0.50 20.20 N/A N/A 1,885 951 7,738 3,818 2008-10-23 $69.60 $75.00 61.6% 17.7% 81.9% 56.6% 63.9% 12.6% -5.9% 247.2K 5.3M -119.7K 0.89 17.65 N/A N/A 189 169 8,566 4,390 2008-10-24 $68.16 $75.00 66.0% 18.9% 81.5% 62.3% 64.7% 14.1% -5.2% 228.1K 5.7M -118.4K 1.43 25.21 N/A N/A 136 195 8,714 4,460 2008-10-27 $69.22 $75.00 69.1% 19.8% 79.6% 66.4% 58.5% 14.4% -9.3% 250.6K 4.3M -122.7K 0.33 51.87 N/A N/A 242 79 8,752 4,586 2008-10-28 $75.46 $75.00 62.5% 17.9% 84.8% 57.7% 59.0% 22.4% -5.7% 434.3K -6.6M -149.2K 0.26 15.33 N/A N/A 577 150 8,864 4,659 2008-10-29 $74.24 $75.00 61.5% 17.6% 82.6% 56.3% 64.1% 13.8% -4.0% 451.0K -6.4M -148.0K 1.35 27.25 N/A N/A 465 629 9,150 4,668 2008-10-30 $76.80 $75.00 59.8% 17.1% 81.9% 54.1% 61.1% 15.0% -3.3% 524.0K -10.7M -157.5K 0.45 21.62 N/A N/A 528 235 9,335 5,191 2008-10-31 $78.57 $75.00 50.8% 14.6% 82.3% 42.3% 47.9% 15.8% -0.2% 669.0K -14.8M -163.6K 0.10 21.22 N/A N/A 1,026 104 9,780 5,352
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