GWW Options History — August 2009

In August 2009, GWW traded between $85.95 and $91.12. ATM implied volatility averaged 25.0%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.5% (HV 20d: 20.5%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2009-08-05: Highest Volume — 2,765 contracts
  • 2009-08-31: Largest IV spike — 19.5% change
  • 2009-08-10: Highest IV Rank — 8.3%
  • 2009-08-17: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.58$85.95$91.12$91.12$87.47
Max Pain$87.14$85.00$90.00$85.00$85.00
ATM IV25.0%22.2%28.1%25.0%26.6%
Expected Move7.2%6.4%8.1%7.2%7.6%
HV 20d20.5%18.4%23.0%23.0%18.5%
HV 60d25.0%22.1%27.5%27.4%22.2%
IV Rank4.8%0.0%8.3%8.2%6.0%
IV Percentile7.0%0.0%15.5%7.5%10.7%
Term Structure2.9%0.6%5.3%0.6%4.1%
VWIV25.6%22.4%32.5%25.5%24.1%
Skew 25d4.8%4.0%5.7%4.7%4.6%
Skew 10d10.7%8.2%13.4%10.3%8.4%
Call IV 25d23.2%21.5%25.2%22.9%23.0%
Put IV 25d28.0%25.7%30.5%27.6%27.5%
Bid-Ask Spread %16.729.5225.169.5225.16
Gamma HHI0.250.180.770.230.21
Net GEX424.9K-696.8K8.2M269.7K-128.2K
Net DEX-7.8M-25.0M7.1M-25.0M-2.4M
Net VEX-188.0K-200.9K-167.6K-192.8K-186.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.044.551.000.86
Total Volume758.4291192,765489428
Total OI22,059.52419,62023,26122,29321,073

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$91.12$85.0025.0%7.2%23.0%8.2%25.5%4.7%0.6%269.7K-25.0M-192.8K1.009.52N/AN/A2442457,21015,083
2009-08-04$90.36$85.0024.7%7.1%22.0%7.9%26.9%4.2%0.6%243.1K-22.9M-196.3K0.2512.93N/AN/A378947,32115,146
2009-08-05$89.12$85.0024.4%7.0%21.8%7.5%32.5%4.0%0.6%139.9K-17.2M-200.9K0.0920.86N/AN/A2,5302357,40815,207
2009-08-06$89.04$85.0024.4%7.0%21.1%7.4%26.5%5.2%0.7%176.5K-8.7M-196.7K1.1712.27N/AN/A2532976,37615,267
2009-08-07$90.98$90.0023.9%7.3%21.7%6.9%25.3%5.3%2.6%472.4K-18.0M-188.1K1.2418.02N/AN/A4505576,46415,292
2009-08-10$88.78$90.0025.0%7.3%22.3%8.3%27.3%5.7%2.8%68.4K-6.9M-196.3K0.8424.87N/AN/A2371996,60315,731
2009-08-11$88.72$90.0024.7%7.3%21.9%7.9%25.8%5.5%3.0%57.2K-6.5M-194.9K0.2323.98N/AN/A7471736,59115,779
2009-08-12$87.59$90.0023.7%7.1%22.6%6.6%26.9%5.3%2.9%-130.3K-1.5M-195.1K0.8016.00N/AN/A4613686,64215,820
2009-08-13$87.48$90.0027.0%7.7%22.5%5.5%25.5%5.2%3.3%-201.5K-143.8K-197.7K1.0318.92N/AN/A2582666,83416,057
2009-08-14$86.71$90.0026.8%7.7%22.7%5.2%24.3%5.1%3.1%-524.9K4.1M-198.7K0.1419.31N/AN/A640876,78416,149
2009-08-17$85.95$90.0028.1%8.1%18.4%7.1%26.7%5.3%2.6%-696.8K7.1M-193.9K3.3020.36N/AN/A3171,0467,05016,155
2009-08-18$87.18$90.0028.0%8.0%19.1%6.9%25.9%5.0%2.9%-108.9K-1.8M-187.7K0.4911.97N/AN/A3101537,17715,926
2009-08-19$87.09$90.0027.4%7.8%19.1%5.5%25.5%5.6%3.1%-213.0K-2.0M-185.8K4.5511.38N/AN/A1195417,32415,892
2009-08-20$88.38$85.0024.5%7.0%18.4%1.5%26.4%4.9%3.4%697.3K-9.8M-179.5K0.5112.55N/AN/A3681897,32615,785
2009-08-21$89.82$85.0024.1%6.9%19.3%0.9%23.6%5.0%3.6%8.2M-16.4M-169.0K0.0416.57N/AN/A751327,39815,863
2009-08-24$88.87$85.0024.5%7.0%19.7%1.5%23.9%4.1%3.5%5.3K-5.9M-167.6K1.4617.32N/AN/A5327775,78713,833
2009-08-25$89.32$85.0023.8%6.8%19.6%0.5%24.5%4.2%3.8%150.8K-8.2M-170.9K1.1410.49N/AN/A2222526,08514,111
2009-08-26$88.93$85.0023.3%6.7%19.6%0.0%25.4%4.1%4.2%98.4K-6.5M-176.5K3.1011.49N/AN/A29906,19914,311
2009-08-27$89.07$85.0023.2%6.7%18.8%0.0%22.7%4.1%4.4%202.4K-9.4M-184.5K0.4216.22N/AN/A2451036,62814,375
2009-08-28$88.25$85.0022.2%6.4%19.0%0.0%22.4%4.3%5.3%103.3K-6.0M-188.9K0.1221.02N/AN/A629756,77314,415
2009-08-31$87.47$85.0026.6%7.6%18.5%6.0%24.1%4.6%4.1%-128.2K-2.4M-186.5K0.8625.16N/AN/A2301986,64614,427