GWW Options History — October 2009

In October 2009, GWW traded between $85.69 and $97.79. ATM implied volatility averaged 30.5%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.2% (HV 20d: 24.2%). Max pain ranged from $85.00 to $95.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2009-10-12: Highest Volume — 6,885 contracts
  • 2009-10-14: Largest IV drop — 40.2% change
  • 2009-10-13: Highest IV Rank — 31.9%
  • 2009-10-02: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.87$85.69$97.79$86.39$93.73
Max Pain$90.00$85.00$95.00$90.00$95.00
ATM IV30.5%22.7%41.7%35.1%29.9%
Expected Move8.0%6.5%10.3%10.1%8.6%
HV 20d24.2%22.7%25.7%22.9%24.3%
HV 60d21.0%20.3%22.1%21.4%22.1%
IV Rank12.2%0.8%31.9%17.8%12.7%
IV Percentile26.9%0.4%61.1%39.3%29.4%
Term Structure-0.8%-5.3%1.2%-4.9%-1.3%
VWIV28.1%23.8%35.1%34.0%30.8%
Skew 25d4.1%2.5%5.6%4.3%2.7%
Skew 10d8.0%4.6%10.3%9.7%6.7%
Call IV 25d26.3%22.1%33.9%32.7%29.5%
Put IV 25d30.4%25.4%38.4%37.0%32.2%
Bid-Ask Spread %16.497.2623.487.2623.48
Gamma HHI0.300.160.940.180.16
Net GEX1.4M-1.1M22.2M-931.1K-459.3K
Net DEX-17.7M-52.4M12.5M8.6M-7.1M
Net VEX-179.5K-201.6K-154.2K-188.1K-201.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.253.911.002.05
Total Volume1,683.0913986,8851,300809
Total OI22,557.45514,53629,74424,88619,755

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$86.39$90.0035.1%10.1%22.9%17.8%34.0%4.3%-4.9%-931.1K8.6M-188.1K1.007.26N/AN/A6516497,79117,095
2009-10-02$85.69$85.0035.8%10.3%22.7%18.7%35.1%4.5%-5.3%-1.1M12.5M-187.2K1.477.46N/AN/A5387937,84617,271
2009-10-05$87.76$85.0035.9%8.3%23.3%18.9%29.1%5.6%-1.0%-717.2K2.8M-186.4K0.3014.83N/AN/A7252208,17217,679
2009-10-06$88.62$85.0035.3%8.4%23.4%18.1%29.4%5.5%-0.8%-362.1K-2.8M-184.6K0.8113.09N/AN/A4013248,48617,683
2009-10-07$88.28$85.0035.3%8.1%23.3%18.0%29.0%5.5%-0.3%-499.1K-170.1K-181.4K2.3014.32N/AN/A1764048,46517,686
2009-10-08$89.36$85.0035.8%8.2%23.3%18.8%29.6%5.2%-0.4%-114.5K-6.9M-176.3K1.5815.19N/AN/A3265158,47517,777
2009-10-09$90.74$85.0036.3%8.2%23.3%19.5%27.7%5.2%-1.0%392.7K-15.2M-169.1K0.2515.12N/AN/A9692388,58417,662
2009-10-12$93.14$85.0041.7%8.5%24.8%26.9%30.1%4.7%-1.8%1.2M-29.6M-154.2K0.6611.48N/AN/A4,1512,7348,81017,426
2009-10-13$94.31$90.0041.7%8.4%25.1%31.9%30.4%4.8%-1.4%2.2M-42.8M-189.7K0.6013.05N/AN/A1,25575711,32418,420
2009-10-14$93.25$90.0024.9%7.7%24.9%4.4%28.3%4.9%0.2%2.4M-33.5M-180.2K1.0115.82N/AN/A1,7391,75511,19418,343
2009-10-15$95.42$90.0026.7%7.6%25.7%7.3%26.8%4.9%0.2%3.7M-52.4M-173.9K0.5012.98N/AN/A1,63781211,28418,230
2009-10-16$94.94$90.0024.8%7.1%25.7%4.3%25.0%3.7%1.2%22.2M-45.4M-174.3K0.4820.17N/AN/A2,05598211,19818,481
2009-10-19$95.69$90.0024.0%6.9%25.4%2.9%24.6%3.5%0.4%704.3K-23.8M-165.4K1.2918.39N/AN/A4335596,6437,893
2009-10-20$95.64$90.0023.8%6.8%25.3%2.6%23.8%3.7%0.5%688.3K-23.8M-164.9K0.7222.34N/AN/A2972156,7768,177
2009-10-21$95.92$90.0025.3%7.2%24.3%5.0%24.7%3.6%-0.6%689.1K-25.2M-165.8K1.1321.52N/AN/A1,1421,2966,8938,271
2009-10-22$97.79$95.0022.7%6.5%24.6%0.8%24.0%3.2%0.8%647.2K-30.2M-173.3K0.4517.86N/AN/A3401527,4299,133
2009-10-23$96.96$95.0025.2%7.2%23.9%4.9%23.8%3.3%0.1%547.5K-27.0M-174.5K1.0817.30N/AN/A7578187,5029,199
2009-10-26$96.19$95.0026.5%7.6%23.4%6.9%26.4%3.4%-0.4%346.9K-21.5M-183.7K3.9118.78N/AN/A3601,4097,9079,707
2009-10-27$94.47$95.0027.1%7.8%24.7%8.0%27.1%2.7%-0.8%-344.4K-9.5M-192.1K0.5922.28N/AN/A4832877,80610,520
2009-10-28$93.18$95.0028.5%8.2%25.2%10.3%28.8%2.5%-1.0%-527.5K-2.2M-192.9K0.7221.02N/AN/A2321667,84810,730
2009-10-29$95.72$95.0027.8%8.0%22.9%9.1%29.5%2.9%-0.6%-262.3K-15.2M-190.4K1.2519.00N/AN/A1,0981,3697,90310,790
2009-10-30$93.73$95.0029.9%8.6%24.3%12.7%30.8%2.7%-1.3%-459.3K-7.1M-201.6K2.0523.48N/AN/A2655448,45511,300