GWW Options History — November 2008

In November 2008, GWW traded between $59.92 and $80.95. ATM implied volatility averaged 62.8%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 7.6% (HV 20d: 70.4%). Max pain ranged from $70.00 to $80.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 3.97.

Notable Days

  • 2008-11-11: Highest Volume — 4,186 contracts
  • 2008-11-12: Largest IV spike — 16.1% change
  • 2008-11-20: Highest IV Rank — 85.1%
  • 2008-11-20: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.86$59.92$80.95$78.71$70.57
Max Pain$75.26$70.00$80.00$75.00$70.00
ATM IV62.8%50.8%83.3%51.3%56.9%
Expected Move17.8%14.6%23.9%14.7%16.3%
HV 20d70.4%57.8%84.6%82.2%58.6%
HV 60d61.1%57.1%65.0%57.1%64.8%
IV Rank58.1%42.3%85.1%42.9%50.3%
IV Percentile94.1%87.7%99.2%92.5%88.1%
Term Structure-1.7%-7.0%4.0%-1.2%1.3%
VWIV62.6%49.8%80.1%49.8%57.7%
Skew 25d14.6%11.4%18.2%14.7%14.0%
Skew 10d28.8%20.3%38.3%24.6%27.1%
Call IV 25d54.9%44.7%74.0%46.6%49.7%
Put IV 25d69.5%56.5%90.2%61.3%63.7%
Bid-Ask Spread %22.8012.3136.1936.1928.18
Gamma HHI0.210.180.240.200.21
Net GEX-29.4K-499.9K867.0K726.9K-116.5K
Net DEX12.0M-20.6M32.9M-15.4M5.5M
Net VEX-127.4K-163.8K-96.8K-161.4K-130.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.970.2454.080.860.89
Total Volume887.4211894,186460189
Total OI18,675.63215,56922,64815,56919,036

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$78.71$75.0051.3%14.7%82.2%42.9%49.8%14.7%-1.2%726.9K-15.4M-161.4K0.8636.19N/AN/A24721310,1645,405
2008-11-04$80.95$75.0050.8%14.6%79.9%42.3%51.9%11.7%-3.7%867.0K-20.6M-163.8K1.8723.71N/AN/A40175010,1745,608
2008-11-05$76.14$75.0055.7%16.0%83.4%48.8%56.0%11.6%-3.5%511.0K-6.6M-152.6K1.3030.85N/AN/A58776110,3125,910
2008-11-06$72.91$75.0057.2%16.4%84.6%50.8%55.5%11.4%-2.6%404.7K-777.8K-140.5K0.2435.09N/AN/A2335710,4615,663
2008-11-07$72.18$80.0058.7%16.1%83.6%52.7%69.8%13.6%-0.9%319.4K2.4M-132.3K0.6622.16N/AN/A24816410,4495,685
2008-11-10$71.49$80.0061.5%16.3%77.2%56.4%50.7%13.6%-1.1%285.0K3.4M-126.1K0.8424.59N/AN/A18315410,5605,696
2008-11-11$70.07$80.0059.7%16.6%75.7%54.0%62.6%14.0%-1.6%191.9K6.6M-115.7K54.0816.63N/AN/A764,11010,5405,678
2008-11-12$65.27$80.0069.3%18.0%71.0%66.7%64.6%15.1%-2.0%-401.8K25.5M-119.1K0.9419.47N/AN/A1019510,5109,643
2008-11-13$67.36$80.0063.9%18.3%71.5%59.5%58.7%17.2%-3.9%-389.1K21.9M-125.6K3.7112.31N/AN/A13750810,5259,605
2008-11-14$65.06$80.0063.6%18.2%71.6%59.1%63.4%15.2%-2.0%-478.2K26.4M-120.1K0.8723.33N/AN/A24321210,58510,009
2008-11-17$64.03$80.0067.1%19.2%66.7%63.8%69.6%14.5%-3.0%-499.9K29.1M-113.8K1.7513.78N/AN/A29651910,58810,072
2008-11-18$63.38$75.0068.3%19.6%63.4%65.3%68.4%18.2%-3.1%-489.9K32.0M-106.0K0.4215.03N/AN/A30412910,76210,204
2008-11-19$59.92$75.0076.2%21.8%59.8%75.7%75.5%14.9%-3.0%-336.5K32.9M-96.8K1.5916.76N/AN/A8781,40010,96310,044
2008-11-20$60.33$70.0083.3%23.9%59.7%85.1%80.1%16.2%-7.0%-268.1K30.7M-109.6K0.6230.75N/AN/A90356211,51310,440
2008-11-21$64.53$70.0073.1%21.0%65.0%71.7%73.4%17.8%-1.5%-281.5K24.2M-125.4K0.6514.88N/AN/A23015012,08410,564
2008-11-24$67.04$70.0065.6%18.8%66.3%61.8%68.5%16.1%0.1%-229.1K13.1M-123.8K2.6517.41N/AN/A1844879,0819,042
2008-11-25$67.68$70.0055.5%15.9%57.8%48.4%55.8%14.1%4.0%-257.8K12.6M-123.3K0.9524.74N/AN/A4214019,1759,171
2008-11-26$70.64$70.0055.5%15.9%60.1%48.5%58.0%13.2%2.9%-116.7K5.5M-133.8K0.4827.39N/AN/A2221069,5119,405
2008-11-28$70.57$70.0056.9%16.3%58.6%50.3%57.7%14.0%1.3%-116.5K5.5M-130.6K0.8928.18N/AN/A100899,5829,454