GWW Options History — March 2009

In March 2009, GWW traded between $61.37 and $73.60. ATM implied volatility averaged 44.6%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 3.2% (HV 20d: 41.4%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2009-03-10: Highest Volume — 13,078 contracts
  • 2009-03-10: Largest IV drop — 15.5% change
  • 2009-03-09: Highest IV Rank — 41.3%
  • 2009-03-09: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.76$61.37$73.60$64.05$70.18
Max Pain$65.23$65.00$70.00$70.00$65.00
ATM IV44.6%39.9%50.1%48.3%47.5%
Expected Move12.9%11.4%14.9%13.9%13.6%
HV 20d41.4%35.1%44.6%38.1%43.2%
HV 60d37.7%35.4%39.9%38.8%38.0%
IV Rank34.1%27.9%41.3%39.0%37.9%
IV Percentile70.8%58.3%79.8%79.4%77.0%
Term Structure-0.9%-4.1%3.6%1.6%-3.5%
VWIV45.6%41.3%51.1%51.1%47.2%
Skew 25d8.8%7.1%11.3%9.1%7.2%
Skew 10d16.9%10.2%24.0%11.6%13.2%
Call IV 25d40.8%36.4%45.8%44.0%43.9%
Put IV 25d49.7%45.2%56.8%53.1%51.1%
Bid-Ask Spread %14.407.4523.359.7212.80
Gamma HHI0.270.170.420.390.18
Net GEX-600.8K-2.7M1.1M-2.3M683.7K
Net DEX4.6M-36.6M47.7M39.5M-15.2M
Net VEX-163.3K-182.5K-145.3K-166.7K-170.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.236.181.440.39
Total Volume2,112.77335513,0782,077576
Total OI25,955.72719,33432,24326,99122,867

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$64.05$70.0048.3%13.9%38.1%39.0%51.1%9.1%1.6%-2.3M39.5M-166.7K1.449.72N/AN/A8501,2279,02617,965
2009-03-03$63.85$65.0045.9%13.2%38.1%35.8%46.2%9.5%2.9%-2.5M40.6M-172.8K0.3814.68N/AN/A1,0554039,71418,785
2009-03-04$64.40$65.0043.1%12.4%37.0%32.1%46.8%8.7%3.6%-2.5M34.5M-175.7K1.687.45N/AN/A1,2712,13110,56818,776
2009-03-05$61.71$65.0048.6%13.9%38.4%39.4%46.0%7.7%3.0%-2.5M47.7M-170.1K0.6115.76N/AN/A71943911,48218,762
2009-03-06$61.45$65.0047.1%14.6%37.7%37.4%48.5%11.3%-3.5%-2.5M47.0M-177.7K1.1715.30N/AN/A68880812,39918,994
2009-03-09$61.37$65.0050.1%14.9%35.1%41.3%50.1%10.9%-4.1%-2.5M47.1M-175.6K1.2615.41N/AN/A34543512,81619,287
2009-03-10$65.17$65.0042.3%12.7%43.0%31.1%43.3%10.0%-0.9%-2.7M22.0M-182.5K6.1817.15N/AN/A1,82211,25612,72119,522
2009-03-11$64.21$65.0040.8%12.7%40.9%29.1%43.5%9.8%-1.0%-137.9K5.8M-148.2K0.6818.90N/AN/A1,36492613,20910,278
2009-03-12$66.44$65.0044.0%12.6%43.3%33.3%43.0%8.7%-1.1%112.9K-4.9M-155.5K0.9914.54N/AN/A85985313,94710,687
2009-03-13$65.85$65.0042.5%12.2%41.3%31.4%46.7%7.6%0.1%-22.4K-2.4M-151.7K1.0818.75N/AN/A60565214,23710,985
2009-03-16$64.33$65.0044.3%12.7%41.5%33.7%45.0%8.8%-1.8%-251.6K6.6M-145.3K3.2413.14N/AN/A7172,32214,13011,255
2009-03-17$66.47$65.0043.0%12.3%43.6%32.0%46.3%10.2%-1.0%-192.4K-4.1M-147.3K2.7011.07N/AN/A16544614,44111,910
2009-03-18$67.56$65.0039.9%11.4%43.5%27.9%45.0%9.1%0.3%8.6K-12.3M-149.7K0.8317.80N/AN/A75762614,57312,061
2009-03-19$67.66$65.0040.9%11.7%42.5%29.2%41.3%9.0%-0.8%99.5K-14.8M-147.5K0.3714.35N/AN/A72126714,96212,218
2009-03-20$66.71$65.0044.1%12.6%42.7%33.4%43.5%9.4%-1.4%-357.9K-8.5M-153.7K0.6123.35N/AN/A39724415,02612,806
2009-03-23$70.45$65.0041.3%11.9%44.3%29.8%42.2%8.8%-0.8%558.4K-15.9M-151.2K0.9512.10N/AN/A1,3711,30610,9748,360
2009-03-24$70.21$65.0043.7%12.5%42.3%32.9%43.2%7.4%-1.9%643.6K-17.2M-161.8K2.1913.96N/AN/A5691,24811,7389,411
2009-03-25$70.89$65.0045.7%13.1%42.1%35.5%45.8%7.7%-2.8%618.4K-19.3M-163.3K0.2314.97N/AN/A2,27052111,8659,514
2009-03-26$73.60$65.0043.1%12.4%43.4%32.1%43.6%7.2%-2.4%1.1M-36.6M-169.5K1.0913.36N/AN/A88196313,4019,453
2009-03-27$71.69$65.0046.2%13.2%44.6%36.2%45.3%7.1%-1.9%717.4K-21.7M-180.8K0.5213.26N/AN/A23312212,54110,360
2009-03-30$70.56$65.0048.5%13.9%43.2%39.2%50.1%8.9%-2.2%711.1K-17.3M-175.0K0.958.90N/AN/A53951212,64510,355
2009-03-31$70.18$65.0047.5%13.6%43.2%37.9%47.2%7.2%-3.5%683.7K-15.2M-170.7K0.3912.80N/AN/A41516112,51610,351