GWW Options History — April 2009

In April 2009, GWW traded between $71.77 and $83.88. ATM implied volatility averaged 39.8%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 0.1% (HV 20d: 39.8%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2009-04-14: Highest Volume — 13,517 contracts
  • 2009-04-20: Largest IV spike — 14.0% change
  • 2009-04-07: Highest IV Rank — 39.3%
  • 2009-04-01: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.11$71.77$83.88$71.77$83.88
Max Pain$72.38$65.00$75.00$65.00$75.00
ATM IV39.8%32.9%48.5%47.2%33.1%
Expected Move11.2%9.4%13.5%13.5%9.5%
HV 20d39.8%36.1%43.7%43.7%36.1%
HV 60d39.9%38.1%41.4%38.1%39.8%
IV Rank27.8%18.6%39.3%37.5%19.0%
IV Percentile52.7%32.1%78.6%75.8%32.9%
Term Structure-0.6%-3.3%2.3%-3.0%0.7%
VWIV40.2%33.7%48.1%48.1%33.7%
Skew 25d7.7%2.9%10.7%8.7%5.2%
Skew 10d15.4%7.7%20.3%18.6%7.7%
Call IV 25d35.8%31.4%42.6%42.6%31.4%
Put IV 25d43.5%36.6%51.2%51.2%36.6%
Bid-Ask Spread %16.869.2728.8410.4626.57
Gamma HHI0.250.170.590.180.23
Net GEX1.1M486.0K2.1M773.9K843.6K
Net DEX-38.8M-78.9M-16.1M-21.6M-37.2M
Net VEX-170.4K-184.2K-160.9K-171.3K-160.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.085.901.750.70
Total Volume2,214.04821413,517736839
Total OI23,632.8115,78234,47623,00018,422

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$71.77$65.0047.2%13.5%43.7%37.5%48.1%8.7%-3.0%773.9K-21.6M-171.3K1.7510.46N/AN/A26846812,74110,259
2009-04-02$74.70$65.0044.7%12.8%41.4%34.2%44.8%6.4%-3.3%805.5K-33.8M-170.6K1.0410.00N/AN/A91494812,85610,550
2009-04-03$75.24$70.0042.5%11.6%41.1%31.3%39.8%9.4%-0.6%988.2K-37.6M-168.5K0.0810.84N/AN/A3,95531813,40610,802
2009-04-06$74.86$70.0044.7%11.7%41.2%34.2%44.0%9.0%-0.5%1.4M-40.0M-176.4K0.349.27N/AN/A1,00634614,79410,906
2009-04-07$72.27$70.0048.5%12.7%39.7%39.3%47.2%9.7%-2.8%1.4M-27.8M-175.3K1.7110.99N/AN/A36061715,64511,006
2009-04-08$72.64$70.0043.7%11.5%39.0%32.9%46.5%10.7%0.1%1.4M-27.8M-170.8K0.9111.21N/AN/A78671315,44711,486
2009-04-09$77.00$70.0042.4%12.2%42.1%31.2%41.1%9.2%-1.5%1.6M-52.2M-167.6K1.1212.30N/AN/A2,1272,38215,70511,406
2009-04-13$77.24$70.0045.6%13.1%41.7%35.4%42.8%8.9%-2.8%1.3M-52.7M-169.4K1.0013.63N/AN/A2,9362,93616,35112,663
2009-04-14$79.96$70.0041.5%11.9%41.0%30.1%43.1%7.9%-0.3%1.8M-78.9M-174.0K0.7312.94N/AN/A7,8275,69018,19213,742
2009-04-15$79.59$75.0039.5%11.3%40.5%27.4%40.7%8.9%0.3%1.5M-68.6M-184.2K0.8717.13N/AN/A1,04491019,31915,157
2009-04-16$80.33$75.0038.5%11.0%40.4%26.0%38.7%8.1%1.2%1.6M-76.6M-175.2K0.2718.85N/AN/A1,19132319,14014,796
2009-04-17$79.44$75.0035.3%10.1%41.0%21.9%38.5%8.3%2.3%2.1M-61.6M-167.2K0.4719.91N/AN/A1,06349518,86814,886
2009-04-20$77.34$75.0040.3%11.6%42.1%28.4%39.1%9.8%0.4%486.0K-16.1M-164.6K0.8018.54N/AN/A7566058,3587,424
2009-04-21$77.72$75.0035.5%10.2%38.2%22.0%36.2%8.3%1.2%558.9K-17.6M-166.7K0.7319.78N/AN/A6895008,7217,582
2009-04-22$79.44$75.0035.9%10.3%38.6%22.7%36.9%7.0%0.0%701.2K-23.6M-170.1K2.0521.24N/AN/A3797779,0597,823
2009-04-23$79.16$75.0035.1%10.1%38.7%21.5%36.5%7.0%0.7%669.4K-21.0M-173.6K5.9023.91N/AN/A311839,1548,218
2009-04-24$82.09$75.0035.5%10.2%38.6%22.1%34.9%5.6%0.4%793.4K-30.7M-171.9K0.7416.01N/AN/A4873619,1808,346
2009-04-27$80.99$75.0037.1%10.6%37.4%24.2%37.1%4.0%-2.4%775.2K-26.5M-168.2K4.5318.54N/AN/A743359,1738,505
2009-04-28$81.49$75.0036.9%10.6%36.5%23.9%38.3%2.9%-2.5%797.2K-28.4M-166.5K2.1923.16N/AN/A1653629,2078,736
2009-04-29$83.06$75.0032.9%9.4%36.4%18.6%36.3%6.4%0.6%847.2K-34.1M-164.9K2.1928.84N/AN/A1032269,3018,957
2009-04-30$83.88$75.0033.1%9.5%36.1%19.0%33.7%5.2%0.7%843.6K-37.2M-160.9K0.7026.57N/AN/A4933469,3289,094