GWW Options History — June 2009

In June 2009, GWW traded between $78.03 and $84.43. ATM implied volatility averaged 32.2%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.2% (HV 20d: 31.0%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.46.

Notable Days

  • 2009-06-16: Highest Volume — 7,611 contracts
  • 2009-06-11: Largest IV spike — 16.5% change
  • 2009-06-17: Highest IV Rank — 22.6%
  • 2009-06-17: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.40$78.03$84.43$82.93$81.88
Max Pain$75.91$75.00$80.00$75.00$80.00
ATM IV32.2%28.1%35.9%28.2%33.4%
Expected Move9.4%8.1%10.3%8.1%9.6%
HV 20d31.0%24.2%36.6%36.6%24.3%
HV 60d34.2%32.0%37.6%37.5%32.1%
IV Rank17.8%12.3%22.6%12.5%19.3%
IV Percentile26.6%13.5%38.5%16.7%29.0%
Term Structure-0.8%-2.5%3.3%3.1%-1.8%
VWIV34.1%29.0%40.5%29.0%32.6%
Skew 25d5.2%3.5%6.8%6.0%3.7%
Skew 10d11.3%7.2%14.3%10.9%7.2%
Call IV 25d31.0%27.1%34.6%27.1%30.9%
Put IV 25d36.3%33.1%39.7%33.1%34.5%
Bid-Ask Spread %13.918.1825.5325.5311.39
Gamma HHI0.200.150.260.200.15
Net GEX612.7K-351.3K1.2M855.8K150.1K
Net DEX-23.8M-39.2M5.8M-33.1M-11.5M
Net VEX-201.2K-236.0K-158.9K-158.9K-235.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.1419.850.360.56
Total Volume1,193.818687,6112,3481,377
Total OI23,910.90918,95828,71418,95827,197

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$82.93$75.0028.2%8.1%36.6%12.5%29.0%6.0%3.1%855.8K-33.1M-158.9K0.3625.53N/AN/A1,7236259,7029,256
2009-06-02$83.63$75.0029.6%8.5%36.3%14.3%34.5%6.3%2.3%1.2M-37.7M-166.6K4.5515.60N/AN/A20091010,5529,610
2009-06-03$82.82$75.0029.6%8.5%36.3%14.3%34.0%6.8%3.3%1.1M-32.8M-181.0K5.1919.70N/AN/A9549310,69710,278
2009-06-04$83.37$75.0030.1%8.6%36.4%15.0%31.1%6.2%2.8%1.1M-34.8M-185.9K1.0117.98N/AN/A47748010,73310,608
2009-06-05$82.99$75.0028.8%9.5%34.3%13.3%33.1%6.4%-1.1%1.1M-33.0M-185.5K0.8515.48N/AN/A46139411,02110,948
2009-06-08$84.43$75.0030.6%9.7%34.7%15.6%36.0%6.0%-1.4%975.1K-38.2M-177.5K2.5414.75N/AN/A39299610,65811,130
2009-06-09$84.32$75.0029.5%9.6%33.0%14.2%34.1%5.8%-1.4%1.1M-39.2M-175.0K4.7516.18N/AN/A16477910,87411,138
2009-06-10$84.03$75.0028.1%9.5%32.7%12.3%35.4%6.0%-1.2%1.0M-36.0M-182.7K3.2011.91N/AN/A13242210,88711,742
2009-06-11$84.12$75.0032.7%9.4%30.1%18.4%32.8%5.7%-0.9%1.1M-36.9M-180.6K0.4814.04N/AN/A462210,92711,885
2009-06-12$83.81$75.0032.1%9.2%30.1%17.7%33.9%5.7%-0.8%1.1M-35.0M-176.9K0.269.92N/AN/A1664310,92911,905
2009-06-15$82.24$75.0035.2%10.1%31.2%21.8%32.7%5.0%-1.7%928.3K-27.4M-172.6K0.4410.26N/AN/A27812111,05411,923
2009-06-16$81.16$75.0035.2%10.1%29.8%21.7%40.5%5.0%-1.9%751.5K-23.8M-176.2K5.818.41N/AN/A1,1176,49411,27411,926
2009-06-17$82.44$75.0035.9%10.3%29.6%22.6%33.8%5.0%-2.1%505.8K-21.8M-230.0K1.4617.33N/AN/A33248611,38616,656
2009-06-18$82.40$75.0035.6%10.2%27.7%22.2%34.0%5.2%-1.8%-1.8K-21.6M-236.0K0.4510.44N/AN/A1938611,68817,026
2009-06-19$80.90$80.0034.2%9.8%27.7%20.4%34.1%3.9%-1.3%400.1K-13.2M-230.2K0.3012.69N/AN/A85925711,72316,991
2009-06-22$78.36$80.0035.6%10.2%30.4%22.2%36.4%4.5%-2.3%-351.3K4.6M-228.6K0.5215.08N/AN/A3491829,12315,093
2009-06-23$78.03$75.0035.5%10.2%27.4%22.1%36.8%5.5%-2.2%-338.0K5.8M-227.7K0.419.64N/AN/A6112519,38515,070
2009-06-24$80.56$75.0034.1%9.8%29.1%20.3%34.6%4.6%-1.6%26.6K-6.8M-229.4K0.1416.68N/AN/A1,1321549,81315,219
2009-06-25$82.71$75.0031.4%9.0%30.2%16.8%33.0%4.1%-1.7%251.0K-16.7M-228.3K0.2415.12N/AN/A58414210,05815,320
2009-06-26$82.79$75.0031.4%9.0%30.2%16.7%33.1%3.5%-1.8%432.6K-19.8M-226.8K19.858.18N/AN/A681,35010,49015,366
2009-06-29$82.82$80.0031.9%9.1%24.2%17.4%34.8%4.6%-2.5%228.8K-15.7M-234.8K0.789.70N/AN/A46136010,32316,456
2009-06-30$81.88$80.0033.4%9.6%24.3%19.3%32.6%3.7%-1.8%150.1K-11.5M-235.4K0.5611.39N/AN/A88149610,48016,717