GWW Options History — December 2008

In December 2008, GWW traded between $65.35 and $78.84. ATM implied volatility averaged 50.4%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 7.0% (HV 20d: 57.4%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2008-12-15: Highest Volume — 2,071 contracts
  • 2008-12-04: Largest IV spike — 18.1% change
  • 2008-12-01: Highest IV Rank — 59.1%
  • 2008-12-01: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.89$65.35$78.84$65.35$78.84
Max Pain$74.09$70.00$75.00$70.00$75.00
ATM IV50.4%35.3%63.6%63.6%35.3%
Expected Move14.5%10.1%18.2%18.2%10.1%
HV 20d57.4%42.4%63.5%63.0%42.5%
HV 60d66.7%64.2%68.2%66.5%64.7%
IV Rank41.8%21.8%59.1%59.1%21.8%
IV Percentile81.2%56.7%92.5%92.5%56.7%
Term Structure2.6%-2.7%7.8%1.6%7.8%
VWIV50.3%36.7%62.4%61.6%36.7%
Skew 25d12.5%7.2%17.3%15.8%7.2%
Skew 10d25.0%15.3%40.5%27.3%15.3%
Call IV 25d45.0%33.9%56.0%56.0%34.8%
Put IV 25d57.4%42.0%71.8%71.8%42.0%
Bid-Ask Spread %23.2412.4032.5621.5720.30
Gamma HHI0.270.190.400.220.39
Net GEX534.0K-330.7K1.8M-330.7K1.8M
Net DEX-4.8M-24.2M17.6M17.6M-24.2M
Net VEX-112.1K-125.0K-96.7K-110.6K-115.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.081.890.080.24
Total Volume831.1821792,0711,4711,026
Total OI19,708.90914,70023,37519,10316,566

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$65.35$70.0063.6%18.2%63.0%59.1%61.6%15.8%1.6%-330.7K17.6M-110.6K0.0821.57N/AN/A1,3601119,5859,518
2008-12-02$66.10$70.0062.0%17.8%63.3%57.0%62.4%17.3%0.2%-131.7K14.2M-113.3K0.5024.92N/AN/A39119610,7799,505
2008-12-03$68.17$70.0051.8%14.8%63.5%43.5%51.4%16.2%6.1%-42.2K8.0M-117.9K0.2421.63N/AN/A2315610,9899,519
2008-12-04$67.21$70.0061.1%17.5%60.5%55.9%54.2%13.8%2.0%-42.7K9.3M-117.9K1.4532.56N/AN/A11216211,1439,535
2008-12-05$69.31$75.0053.8%16.9%60.2%46.2%58.0%14.8%-2.7%26.9K3.8M-119.2K0.9521.56N/AN/A17016111,1919,558
2008-12-08$71.75$75.0056.3%16.7%61.5%49.5%62.2%15.4%-2.6%219.4K-6.2M-119.6K0.2327.21N/AN/A43810211,2839,571
2008-12-09$70.80$75.0057.8%16.2%61.6%51.5%51.8%14.5%-1.8%167.4K-2.7M-117.8K0.4419.92N/AN/A1,16151311,5599,634
2008-12-10$70.94$75.0057.0%16.2%61.2%50.5%53.7%14.1%-1.2%176.0K-3.8M-118.8K0.2421.26N/AN/A1,60138411,8649,606
2008-12-11$66.29$75.0060.0%17.2%60.7%54.4%57.9%11.5%-1.8%-124.5K13.7M-96.7K0.6616.85N/AN/A50333211,6879,799
2008-12-12$68.74$75.0054.7%15.7%61.0%47.4%51.9%14.1%-0.0%-156.9K7.2M-103.6K1.1423.86N/AN/A56764911,5939,893
2008-12-15$72.27$75.0056.7%16.3%61.9%50.1%52.7%11.2%-0.6%193.6K-8.6M-113.9K0.3325.17N/AN/A1,55951211,91310,045
2008-12-16$74.75$75.0051.7%14.8%62.1%43.5%50.9%11.1%1.8%685.7K-20.9M-125.0K1.8930.03N/AN/A26449812,84210,399
2008-12-17$73.98$75.0049.2%14.1%62.1%40.1%48.1%11.8%3.6%657.7K-17.3M-117.9K1.4926.38N/AN/A7210712,78810,399
2008-12-18$73.44$75.0046.6%13.3%57.7%36.7%55.1%13.0%4.6%722.5K-16.3M-109.5K0.9716.43N/AN/A67465412,80310,406
2008-12-19$73.45$75.0043.7%12.5%57.8%32.9%50.0%11.6%5.0%1.0M-17.3M-104.9K1.7921.50N/AN/A14525913,04310,332
2008-12-22$73.65$75.0043.2%12.4%53.7%32.2%45.2%10.9%5.2%868.9K-6.1M-100.1K0.5327.68N/AN/A88447010,2934,407
2008-12-23$74.16$75.0042.0%12.0%52.4%30.7%43.7%9.9%5.2%975.4K-8.3M-108.1K0.3112.40N/AN/A46914410,7984,636
2008-12-24$74.65$75.0040.2%11.5%52.4%28.3%40.9%9.7%6.8%1.1M-9.5M-111.8K0.4227.66N/AN/A1496211,1924,744
2008-12-26$75.56$75.0040.7%11.7%50.5%29.0%38.4%10.4%6.4%1.2M-12.0M-112.2K0.2116.66N/AN/A2665611,2384,692
2008-12-29$74.73$75.0041.8%12.0%50.8%30.4%39.1%9.8%5.4%1.1M-8.9M-102.5K0.1732.42N/AN/A1733011,3944,736
2008-12-30$77.49$75.0040.1%11.5%42.4%28.1%39.8%10.0%6.5%1.6M-17.7M-109.1K0.5423.37N/AN/A39921411,3654,754
2008-12-31$78.84$75.0035.3%10.1%42.5%21.8%36.7%7.2%7.8%1.8M-24.2M-115.3K0.2420.30N/AN/A82819811,7054,861