GWW Options History — May 2009

In May 2009, GWW traded between $75.55 and $84.06. ATM implied volatility averaged 31.9%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 0.3% (HV 20d: 31.6%). Max pain ranged from $75.00 to $85.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2009-05-06: Highest Volume — 15,337 contracts
  • 2009-05-14: Largest IV spike — 32.0% change
  • 2009-05-14: Highest IV Rank — 23.2%
  • 2009-05-14: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.31$75.55$84.06$82.79$78.83
Max Pain$76.50$75.00$85.00$75.00$75.00
ATM IV31.9%27.5%36.3%32.1%27.8%
Expected Move9.3%8.0%10.4%9.2%8.0%
HV 20d31.6%28.5%35.0%34.7%31.5%
HV 60d38.4%37.4%39.4%39.4%37.5%
IV Rank17.4%11.6%23.2%17.6%11.9%
IV Percentile28.0%15.9%40.5%30.6%15.9%
Term Structure2.9%1.2%4.7%1.2%4.5%
VWIV33.3%29.5%38.8%35.7%29.5%
Skew 25d6.7%5.7%7.6%6.5%6.0%
Skew 10d13.1%10.3%15.1%11.7%12.7%
Call IV 25d29.9%25.9%33.3%31.2%25.9%
Put IV 25d36.6%31.9%40.3%37.7%31.9%
Bid-Ask Spread %16.169.5222.6822.6822.57
Gamma HHI0.190.160.250.230.21
Net GEX500.2K64.7K953.8K883.8K535.3K
Net DEX-16.9M-39.0M-2.2M-34.4M-16.0M
Net VEX-161.7K-173.5K-149.5K-166.6K-163.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.014.101.500.28
Total Volume1,437.4513415,337747362
Total OI18,693.515,50020,71518,89118,740

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$82.79$75.0032.1%9.2%34.7%17.6%35.7%6.5%1.2%883.8K-34.4M-166.6K1.5022.68N/AN/A2994489,7239,168
2009-05-04$84.06$85.0034.8%9.6%34.8%21.2%35.3%7.3%2.0%894.9K-39.0M-161.4K0.4611.09N/AN/A2821299,7919,392
2009-05-05$83.38$85.0032.6%9.5%35.0%18.2%34.1%7.6%2.3%953.8K-37.1M-162.5K1.5410.99N/AN/A2323579,8889,429
2009-05-06$82.97$85.0032.4%9.5%31.8%18.0%38.8%7.3%2.4%906.9K-35.3M-159.2K0.0112.20N/AN/A15,241969,9219,607
2009-05-07$80.27$75.0034.4%10.1%34.9%20.7%35.1%6.6%2.1%642.9K-19.6M-164.6K4.1014.71N/AN/A2219079,2119,645
2009-05-08$80.79$75.0033.1%9.9%28.6%18.9%34.6%7.2%1.9%597.4K-20.4M-166.3K1.1815.57N/AN/A2312739,25910,088
2009-05-11$78.67$75.0035.2%9.9%30.4%21.7%34.8%7.0%1.5%380.8K-11.3M-158.4K0.7817.66N/AN/A7535849,36810,086
2009-05-12$80.05$75.0030.9%9.8%28.5%16.0%33.8%6.6%2.2%520.4K-17.7M-162.2K0.6118.58N/AN/A6754119,57310,445
2009-05-13$77.55$75.0027.5%10.1%30.6%11.6%33.9%7.0%1.8%108.0K-4.3M-158.2K0.369.52N/AN/A4091479,90910,565
2009-05-14$77.34$75.0036.3%10.4%30.3%23.2%34.6%7.2%2.6%64.7K-2.2M-155.1K0.7611.80N/AN/A6955309,92310,529
2009-05-15$77.71$75.0032.8%9.4%30.2%18.5%35.0%6.7%2.9%281.3K-3.2M-155.7K2.9413.01N/AN/A661949,96910,746
2009-05-18$80.18$75.0030.6%8.8%30.7%15.6%31.2%5.9%3.5%524.3K-19.1M-149.5K0.3920.50N/AN/A7763048,1647,336
2009-05-19$79.00$75.0029.9%8.6%31.2%14.7%30.5%5.7%3.5%516.0K-16.9M-154.8K1.3218.32N/AN/A2413188,6247,481
2009-05-20$76.96$75.0032.7%9.4%31.6%18.4%31.7%6.8%3.5%389.9K-10.3M-160.2K3.2913.76N/AN/A2197208,7867,683
2009-05-21$75.55$75.0033.1%9.5%32.2%18.9%34.8%7.6%3.2%257.3K-4.9M-163.5K1.9713.98N/AN/A5009838,9088,233
2009-05-22$75.72$75.0032.4%9.3%28.8%18.0%29.7%6.9%3.9%187.1K-5.1M-173.5K0.1819.52N/AN/A114209,2329,177
2009-05-26$78.61$75.0029.2%8.4%32.1%13.8%29.7%6.1%4.2%472.4K-15.6M-167.5K0.1616.34N/AN/A245389,3039,029
2009-05-27$77.45$75.0032.8%9.4%32.3%18.5%30.5%6.9%3.3%404.7K-11.9M-166.2K1.4620.05N/AN/A1091599,4069,060
2009-05-28$78.25$75.0028.1%8.1%31.7%12.4%31.7%5.8%4.7%482.1K-14.2M-164.4K1.3020.36N/AN/A2002619,4119,062
2009-05-29$78.83$75.0027.8%8.0%31.5%11.9%29.5%6.0%4.5%535.3K-16.0M-163.7K0.2822.57N/AN/A283799,5389,202