GWW Options History — September 2009

In September 2009, GWW traded between $86.20 and $90.91. ATM implied volatility averaged 28.2%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 10.4% (HV 20d: 17.8%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.40.

Notable Days

  • 2009-09-16: Highest Volume — 1,476 contracts
  • 2009-09-10: Largest IV spike — 26.1% change
  • 2009-09-25: Highest IV Rank — 12.9%
  • 2009-09-25: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.08$86.20$90.91$86.28$89.36
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV28.2%22.9%31.5%27.1%30.5%
Expected Move8.3%7.7%9.0%7.8%8.7%
HV 20d17.8%16.5%20.1%18.8%19.1%
HV 60d21.3%19.7%22.6%22.1%20.4%
IV Rank8.3%0.9%12.9%6.7%11.5%
IV Percentile16.9%0.4%27.0%12.7%25.4%
Term Structure-1.0%-3.4%4.2%3.6%-3.0%
VWIV29.2%25.4%33.0%26.3%31.2%
Skew 25d4.0%2.2%5.0%4.1%2.2%
Skew 10d7.8%4.1%14.3%7.0%4.1%
Call IV 25d27.4%24.0%30.6%25.2%30.6%
Put IV 25d31.4%28.3%33.2%29.3%32.9%
Bid-Ask Spread %11.767.2923.1323.1311.33
Gamma HHI0.240.160.410.210.17
Net GEX285.2K-545.6K1.6M-348.9K-187.2K
Net DEX-8.8M-22.2M2.3M1.9M-6.2M
Net VEX-178.1K-192.7K-162.8K-191.2K-181.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.203.690.692.96
Total Volume800.5243281,476904637
Total OI22,933.90521,29324,59021,29324,579

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$86.28$85.0027.1%7.8%18.8%6.7%26.3%4.1%3.6%-348.9K1.9M-191.2K0.6923.13N/AN/A5343706,76414,529
2009-09-02$86.20$85.0027.2%7.8%18.3%6.9%25.9%4.3%4.2%-348.2K2.3M-192.7K0.7917.88N/AN/A2832246,98714,579
2009-09-03$87.17$85.0027.0%7.7%18.9%6.6%25.4%4.3%3.5%-198.5K-1.7M-188.5K1.419.44N/AN/A3364737,07314,716
2009-09-04$88.82$85.0022.9%8.4%18.4%0.9%27.8%5.0%-1.0%278.5K-9.6M-182.9K0.2110.94N/AN/A8341787,19714,914
2009-09-08$89.51$85.0023.9%8.4%16.5%2.3%29.4%4.7%-0.9%550.8K-13.5M-176.7K1.5713.47N/AN/A3605657,41414,961
2009-09-09$88.90$85.0023.2%8.4%16.7%1.4%33.0%4.6%-1.2%259.9K-8.5M-180.9K0.7410.78N/AN/A2882137,33715,394
2009-09-10$90.00$85.0029.3%8.4%16.5%9.8%29.0%4.6%-1.5%617.2K-14.5M-174.1K3.6913.03N/AN/A702587,33015,404
2009-09-11$88.64$85.0028.9%8.3%17.5%9.2%29.6%4.5%-1.4%375.3K-8.3M-176.7K1.3712.50N/AN/A3054177,36915,525
2009-09-14$89.30$85.0029.0%8.3%17.3%9.4%29.0%4.7%-1.6%689.1K-12.0M-170.9K0.3712.66N/AN/A3431287,56815,689
2009-09-15$89.23$85.0028.8%8.3%16.9%9.1%30.0%4.0%-1.3%917.8K-11.9M-167.4K3.0014.55N/AN/A1995987,47715,544
2009-09-16$90.79$85.0028.5%8.2%17.2%8.7%28.3%3.8%-1.5%1.3M-20.1M-162.8K0.8010.54N/AN/A8186587,57115,951
2009-09-17$89.97$85.0028.8%8.3%17.6%9.1%30.1%4.2%-1.5%1.6M-13.7M-172.3K1.507.29N/AN/A2393587,89616,534
2009-09-18$90.91$85.0028.5%8.2%17.3%8.6%27.3%3.5%-1.3%1.6M-22.2M-171.4K0.2012.83N/AN/A7981588,06216,528
2009-09-21$90.04$85.0028.9%8.3%16.8%9.3%30.1%3.9%-1.5%-56.4K-9.6M-167.7K1.658.14N/AN/A4487406,41315,102
2009-09-22$90.87$85.0029.1%8.4%16.5%9.6%29.1%4.0%-1.6%125.1K-12.5M-176.0K0.717.81N/AN/A7605426,80915,272
2009-09-23$89.40$85.0029.0%8.3%17.6%9.4%29.7%3.2%-1.8%-58.6K-8.7M-179.6K0.539.82N/AN/A2381267,19015,613
2009-09-24$88.71$85.0029.0%8.3%17.7%9.4%29.5%3.9%-1.7%-262.8K-3.5M-181.8K2.068.69N/AN/A2986147,11415,698
2009-09-25$87.37$85.0031.5%9.0%18.5%12.9%30.9%4.4%-2.4%-545.6K2.0M-186.6K2.1810.19N/AN/A3136817,24216,095
2009-09-28$89.40$85.0030.1%8.6%20.1%10.9%31.7%3.5%-2.7%-223.2K-5.6M-180.4K1.7311.24N/AN/A3606227,35616,494
2009-09-29$89.74$85.0030.6%8.8%19.8%11.5%30.4%2.9%-3.4%-54.7K-8.3M-178.6K1.2210.79N/AN/A1922357,64016,682
2009-09-30$89.36$85.0030.5%8.7%19.1%11.5%31.2%2.2%-3.0%-187.2K-6.2M-181.1K2.9611.33N/AN/A1614767,73816,841