GWW Options History — July 2009 In July 2009, GWW traded between $78.31 and $90.17. ATM implied volatility averaged 30.8%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.9% (HV 20d: 24.9%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.94.
Notable Days 2009-07-14 : Highest Volume — 5,281 contracts2009-07-15 : Largest IV drop — 31.9% change2009-07-10 : Highest IV Rank — 32.0%2009-07-02 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $84.66 $78.31 $90.17 $81.94 $89.91 Max Pain $82.05 $80.00 $85.00 $80.00 $85.00 ATM IV 30.8% 23.5% 43.0% 32.5% 23.7% Expected Move 8.2% 6.7% 9.9% 9.3% 6.8% HV 20d 24.9% 22.7% 28.8% 24.1% 22.9% HV 60d 29.1% 28.2% 32.0% 32.0% 28.2% IV Rank 15.8% 6.2% 32.0% 18.1% 6.6% IV Percentile 22.9% 1.6% 62.3% 25.4% 2.4% Term Structure 0.6% -3.7% 2.9% -2.0% 1.5% VWIV 29.5% 23.6% 35.8% 32.9% 26.3% Skew 25d 5.4% 2.2% 6.6% 2.8% 4.8% Skew 10d 10.2% 4.2% 13.0% 5.0% 9.6% Call IV 25d 26.3% 21.6% 33.3% 31.3% 21.8% Put IV 25d 31.7% 26.6% 37.9% 34.1% 26.6% Bid-Ask Spread % 17.23 9.95 26.33 10.60 19.05 Gamma HHI 0.22 0.15 0.46 0.15 0.23 Net GEX 215.0K -602.9K 2.0M 63.6K 256.8K Net DEX -12.6M -32.5M 15.2M -10.5M -21.4M Net VEX -218.0K -244.0K -194.3K -234.6K -200.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.94 0.08 10.28 0.52 1.68 Total Volume 1,362.591 136 5,281 565 947 Total OI 25,861.864 18,489 33,737 27,738 21,845
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-07-01 $81.94 $80.00 32.5% 9.3% 24.1% 18.1% 32.9% 2.8% -2.0% 63.6K -10.5M -234.6K 0.52 10.60 N/A N/A 372 193 10,666 17,072 2009-07-02 $81.49 $80.00 34.6% 9.9% 24.0% 20.9% 34.5% 2.2% -3.7% -5.0K -9.0M -236.9K 1.22 11.82 N/A N/A 248 303 10,635 17,145 2009-07-06 $81.79 $80.00 37.8% 9.4% 24.0% 25.2% 32.2% 5.7% 0.1% 15.1K -10.1M -227.6K 2.63 13.97 N/A N/A 275 722 10,719 17,272 2009-07-07 $80.33 $80.00 39.6% 9.6% 23.8% 27.6% 32.7% 6.0% -0.2% -202.5K -1.3M -229.6K 2.89 15.73 N/A N/A 520 1,503 10,731 17,477 2009-07-08 $79.14 $80.00 41.3% 9.7% 24.2% 29.8% 35.8% 6.5% -0.2% -489.8K 9.4M -244.0K 0.08 17.15 N/A N/A 1,708 140 10,960 18,555 2009-07-09 $78.31 $80.00 41.1% 9.5% 24.3% 29.4% 33.9% 6.1% 0.4% -602.9K 15.2M -239.3K 0.20 10.18 N/A N/A 1,436 280 10,928 18,633 2009-07-10 $78.52 $80.00 43.0% 9.5% 24.4% 32.0% 33.1% 6.4% 0.1% -405.2K 12.9M -242.0K 0.24 9.95 N/A N/A 1,366 322 11,637 18,816 2009-07-13 $81.14 $80.00 40.9% 9.3% 27.6% 29.2% 31.4% 5.5% 0.4% 579.2K -8.6M -234.4K 0.52 19.26 N/A N/A 2,456 1,277 12,603 18,800 2009-07-14 $82.58 $80.00 38.1% 9.0% 27.6% 25.6% 32.1% 6.6% 0.6% 594.6K -21.7M -228.9K 0.78 22.08 N/A N/A 2,964 2,317 12,858 19,349 2009-07-15 $82.99 $80.00 26.0% 8.2% 27.1% 9.5% 30.8% 5.9% 2.0% 764.9K -24.1M -227.9K 0.76 26.33 N/A N/A 1,274 965 13,483 20,254 2009-07-16 $83.74 $80.00 28.5% 8.2% 26.8% 12.9% 28.4% 5.5% 2.3% 1.2M -32.5M -220.5K 0.53 24.94 N/A N/A 199 105 13,683 19,762 2009-07-17 $84.56 $80.00 27.4% 7.9% 27.0% 11.5% 28.0% 6.3% 2.9% 2.0M -29.5M -207.5K 0.13 19.84 N/A N/A 1,704 223 13,157 19,504 2009-07-20 $87.78 $80.00 24.1% 6.9% 28.8% 7.1% 26.5% 5.9% 1.7% -27.0K -14.8M -194.3K 0.52 17.18 N/A N/A 1,023 537 6,036 12,453 2009-07-21 $87.30 $85.00 26.5% 7.6% 25.8% 10.2% 27.6% 6.0% 0.5% -181.5K -10.8M -208.7K 1.50 16.52 N/A N/A 216 325 6,258 13,240 2009-07-22 $86.93 $85.00 26.2% 7.5% 25.8% 9.9% 23.6% 5.4% 1.0% -235.1K -9.2M -211.0K 0.14 16.21 N/A N/A 824 112 6,371 13,401 2009-07-23 $88.67 $85.00 24.2% 6.9% 24.4% 7.1% 25.6% 5.0% 0.8% 127.8K -16.9M -206.4K 0.82 17.72 N/A N/A 279 229 6,817 13,438 2009-07-24 $89.08 $85.00 23.5% 6.7% 23.1% 6.2% 25.8% 5.3% 1.1% 265.8K -18.9M -201.4K 2.95 17.00 N/A N/A 120 354 6,926 13,481 2009-07-27 $88.95 $85.00 24.4% 7.0% 23.1% 7.4% 27.8% 5.4% 1.1% 269.7K -18.6M -200.9K 2.37 18.59 N/A N/A 177 419 7,013 13,767 2009-07-28 $88.44 $85.00 24.3% 7.0% 23.3% 7.3% 28.4% 5.5% 0.8% 189.1K -16.2M -203.4K 10.28 14.90 N/A N/A 25 257 7,070 13,929 2009-07-29 $88.79 $85.00 24.2% 6.9% 22.7% 7.2% 26.6% 5.1% 0.9% 232.9K -17.6M -201.3K 6.56 19.66 N/A N/A 18 118 7,089 14,018 2009-07-30 $90.17 $85.00 24.6% 7.1% 23.0% 7.7% 25.5% 4.9% 0.9% 370.6K -23.0M -195.3K 5.39 20.48 N/A N/A 176 949 7,087 14,023 2009-07-31 $89.91 $85.00 23.7% 6.8% 22.9% 6.6% 26.3% 4.8% 1.5% 256.8K -21.4M -200.9K 1.68 19.05 N/A N/A 353 594 7,132 14,713
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