GWW Options History — February 2009

In February 2009, GWW traded between $65.92 and $75.31. ATM implied volatility averaged 40.3%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 4.1% (HV 20d: 36.2%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 4.46.

Notable Days

  • 2009-02-27: Highest Volume — 12,105 contracts
  • 2009-02-10: Largest IV spike — 20.6% change
  • 2009-02-23: Highest IV Rank — 37.8%
  • 2009-02-23: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.09$65.92$75.31$72.56$66.16
Max Pain$72.63$70.00$75.00$75.00$70.00
ATM IV40.3%34.7%47.4%36.3%44.6%
Expected Move11.6%9.9%13.6%10.4%12.8%
HV 20d36.2%31.1%40.5%31.1%37.0%
HV 60d44.0%38.3%48.2%48.2%38.3%
IV Rank28.4%21.0%37.8%23.1%34.1%
IV Percentile65.4%51.6%78.6%56.7%74.2%
Term Structure2.9%0.6%5.8%2.8%4.3%
VWIV42.5%36.4%47.1%42.3%47.1%
Skew 25d10.5%8.9%12.3%11.4%12.0%
Skew 10d18.9%14.9%26.2%20.7%17.2%
Call IV 25d35.7%32.2%41.6%34.5%37.2%
Put IV 25d46.2%42.5%52.0%45.9%49.2%
Bid-Ask Spread %13.867.8423.7314.0214.05
Gamma HHI0.250.170.430.200.19
Net GEX-606.7K-2.1M329.7K-54.5K-82.3K
Net DEX9.4M-5.0M26.7M5.0M9.2M
Net VEX-131.7K-152.2K-105.1K-123.9K-113.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.460.2317.853.4414.72
Total Volume2,11943412,1052,98412,105
Total OI20,157.84214,23624,46817,49015,611

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$72.56$75.0036.3%10.4%31.1%23.1%42.3%11.4%2.8%-54.5K5.0M-123.9K3.4414.02N/AN/A6722,3129,1548,336
2009-02-03$74.20$70.0035.3%10.1%31.9%21.8%39.6%10.3%3.0%38.7K1.2M-152.2K1.4719.90N/AN/A1762589,71610,464
2009-02-04$72.14$70.0039.6%11.3%33.1%27.5%38.7%9.8%1.9%-430.8K11.4M-142.8K1.5615.35N/AN/A2654139,85210,597
2009-02-05$73.08$75.0034.7%9.9%33.5%21.0%41.0%9.8%2.9%-140.5K4.9M-146.9K2.5919.47N/AN/A1383579,73010,430
2009-02-06$75.23$75.0035.3%10.9%35.4%21.8%44.5%10.3%2.6%260.6K-4.2M-147.1K1.4123.73N/AN/A2052899,77810,447
2009-02-09$75.31$75.0038.1%11.1%35.2%25.5%42.9%10.5%2.5%329.7K-5.0M-141.5K5.6916.31N/AN/A703989,86410,466
2009-02-10$72.11$75.0045.9%12.7%38.2%35.8%44.2%11.1%0.6%-374.2K9.0M-137.6K17.8510.28N/AN/A3045,4269,88010,724
2009-02-11$71.48$75.0041.3%12.1%38.2%29.8%45.8%9.9%1.9%-1.4M16.8M-147.3K16.3212.44N/AN/A1532,49710,02513,995
2009-02-12$73.73$75.0038.4%11.0%38.7%25.9%44.7%10.1%2.8%-1.1M6.5M-147.4K5.8310.62N/AN/A2531,47610,10614,362
2009-02-13$74.17$75.0038.1%10.9%37.9%25.6%36.4%8.9%3.3%-554.9K907.6K-144.6K1.4110.73N/AN/A26437210,23713,533
2009-02-17$72.87$75.0040.9%11.7%38.0%29.2%44.1%10.1%1.7%-1.0M8.3M-137.9K1.7210.57N/AN/A33557610,47013,577
2009-02-18$71.00$75.0043.7%12.5%34.5%32.9%44.3%10.5%1.7%-1.9M19.1M-130.2K2.2515.08N/AN/A7861,77110,64613,633
2009-02-19$69.11$70.0041.8%12.0%35.7%30.4%40.8%9.7%3.5%-2.1M25.4M-120.8K2.0413.89N/AN/A35371910,94212,662
2009-02-20$68.74$70.0042.3%12.1%35.0%31.0%42.4%10.3%2.6%-2.1M26.7M-118.5K0.9718.07N/AN/A1,2491,21211,14712,562
2009-02-23$65.92$70.0047.4%13.6%37.5%37.8%43.6%10.4%2.9%-348.0K14.0M-105.1K1.387.84N/AN/A4576306,9527,284
2009-02-24$68.53$70.0039.7%11.4%40.5%27.7%42.6%10.9%4.5%-273.5K9.9M-116.1K1.838.66N/AN/A6911,2677,2677,755
2009-02-25$67.66$70.0038.5%11.0%38.5%26.0%38.5%10.8%5.8%-145.7K8.9M-113.6K0.2310.53N/AN/A6061407,7447,250
2009-02-26$66.77$70.0043.7%12.5%37.2%32.9%44.9%12.3%3.7%-168.6K10.1M-115.9K1.9711.85N/AN/A3597078,2227,579
2009-02-27$66.16$70.0044.6%12.8%37.0%34.1%47.1%12.0%4.3%-82.3K9.2M-113.2K14.7214.05N/AN/A77011,3358,4697,142