GWW Options History — January 2009

In January 2009, GWW traded between $71.16 and $80.59. ATM implied volatility averaged 42.3%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 8.0% (HV 20d: 34.3%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 3.55.

Notable Days

  • 2009-01-14: Highest Volume — 2,998 contracts
  • 2009-01-07: Largest IV spike — 17.2% change
  • 2009-01-15: Highest IV Rank — 38.6%
  • 2009-01-08: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.14$71.16$80.59$80.59$72.95
Max Pain$74.00$70.00$75.00$75.00$70.00
ATM IV42.3%34.1%48.0%38.5%34.7%
Expected Move12.5%9.8%14.1%11.0%9.9%
HV 20d34.3%25.4%42.7%42.0%32.6%
HV 60d55.3%48.4%64.0%63.8%48.5%
IV Rank31.1%20.2%38.6%26.1%21.0%
IV Percentile71.2%51.6%79.4%67.9%53.2%
Term Structure0.5%-2.7%4.9%4.9%3.1%
VWIV44.5%36.7%53.3%38.3%37.1%
Skew 25d10.7%6.0%12.1%6.0%10.7%
Skew 10d20.1%12.2%25.7%12.2%20.1%
Call IV 25d38.9%29.9%43.5%35.3%32.4%
Put IV 25d49.6%40.5%55.5%41.3%43.1%
Bid-Ask Spread %12.067.2430.7630.7616.97
Gamma HHI0.300.180.550.370.20
Net GEX831.6K-70.4K2.0M2.0M58.9K
Net DEX-6.1M-32.7M9.0M-32.7M3.5M
Net VEX-113.3K-129.6K-96.9K-115.8K-126.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.550.4721.323.3321.32
Total Volume1,389.62922,9981,105915
Total OI17,150.3512,63022,10716,80917,129

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$80.59$75.0038.5%11.0%42.0%26.1%38.3%6.0%4.9%2.0M-32.7M-115.8K3.3330.76N/AN/A25585011,9524,857
2009-01-05$78.81$75.0041.1%12.8%42.7%29.5%45.0%10.7%-0.4%1.7M-22.5M-114.1K2.837.24N/AN/A23666712,0465,476
2009-01-06$78.51$75.0039.6%12.7%42.0%27.5%44.4%11.2%-0.0%1.7M-20.1M-112.9K5.218.10N/AN/A4724512,1065,659
2009-01-07$77.50$75.0046.4%14.0%41.1%36.5%47.8%11.5%-2.0%1.6M-15.6M-107.4K8.707.93N/AN/A1741,51312,0975,595
2009-01-08$77.44$75.0043.9%14.1%40.7%33.2%47.1%10.1%-2.7%1.3M-13.3M-110.1K2.648.31N/AN/A8232,17412,2016,687
2009-01-09$76.53$75.0041.8%13.6%41.1%30.4%49.4%10.3%-0.8%1.6M-11.6M-100.9K1.607.92N/AN/A39463212,2955,821
2009-01-12$75.83$75.0047.2%13.9%31.7%37.6%49.1%10.5%-0.9%1.5M-7.8M-106.1K1.568.29N/AN/A15624312,8566,322
2009-01-13$76.23$75.0045.0%13.6%29.7%34.6%45.1%10.2%-0.2%1.6M-9.1M-104.3K0.549.19N/AN/A39421412,9886,386
2009-01-14$73.99$75.0043.5%13.2%27.1%32.7%48.1%10.5%1.0%921.5K338.7K-96.9K0.8111.25N/AN/A1,6561,34213,2136,511
2009-01-15$75.55$75.0048.0%13.8%25.4%38.6%53.3%11.4%-0.4%1.2M-8.0M-105.3K5.339.46N/AN/A2361,25913,7906,470
2009-01-16$76.52$75.0045.8%13.1%25.4%35.7%46.3%11.2%0.0%426.8K-13.0M-114.1K0.899.42N/AN/A1,3061,15914,1637,944
2009-01-20$72.65$75.0047.1%13.5%31.7%37.5%48.2%11.9%-0.6%64.5K3.6M-113.7K1.3816.88N/AN/A2663686,6475,983
2009-01-21$72.70$75.0044.5%12.8%31.7%34.0%49.3%11.6%-0.6%33.2K4.7M-112.1K3.469.76N/AN/A3451,1926,7356,228
2009-01-22$71.19$75.0047.8%13.7%32.5%38.3%41.3%12.1%-0.6%-32.9K7.5M-107.9K0.4711.64N/AN/A1,3396316,8886,170
2009-01-23$71.82$75.0046.6%13.4%32.6%36.8%44.8%11.6%-0.6%73.1K6.6M-121.0K0.6915.31N/AN/A5693927,8356,691
2009-01-26$71.16$75.0040.8%11.7%32.5%29.1%41.3%9.6%1.9%-70.4K9.0M-112.3K0.6011.10N/AN/A1,0876508,0086,902
2009-01-27$73.51$70.0034.5%9.9%34.5%20.8%38.8%10.9%3.3%328.2K278.6K-124.6K3.1211.39N/AN/A2989298,9797,270
2009-01-28$75.28$70.0034.1%9.8%35.4%20.2%39.6%10.7%2.9%520.0K-5.2M-129.6K5.8513.62N/AN/A3291,9249,0437,793
2009-01-29$74.11$70.0035.0%10.0%33.1%21.4%36.7%11.2%2.8%164.4K509.5K-129.5K0.7616.69N/AN/A3322518,8998,372
2009-01-30$72.95$70.0034.7%9.9%32.6%21.0%37.1%10.7%3.1%58.9K3.5M-126.4K21.3216.97N/AN/A418749,1228,007