GWW Options History — November 2009

In November 2009, GWW traded between $94.58 and $101.43. ATM implied volatility averaged 26.0%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.0% (HV 20d: 22.0%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.22.

Notable Days

  • 2009-11-18: Highest Volume — 10,622 contracts
  • 2009-11-27: Largest IV spike — 14.9% change
  • 2009-11-03: Highest IV Rank — 15.9%
  • 2009-11-03: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.85$94.58$101.43$94.62$97.70
Max Pain$96.75$95.00$100.00$95.00$100.00
ATM IV26.0%21.6%32.0%30.9%22.8%
Expected Move7.4%6.2%9.2%8.9%6.5%
HV 20d22.0%18.3%24.0%23.3%18.3%
HV 60d21.5%20.8%22.1%21.7%21.8%
IV Rank6.5%0.0%15.9%14.2%2.7%
IV Percentile14.3%0.0%34.5%32.5%1.6%
Term Structure0.4%-2.3%1.8%-1.5%1.3%
VWIV26.6%23.1%32.9%32.9%23.7%
Skew 25d3.3%1.7%4.2%2.9%3.5%
Skew 10d7.2%4.7%11.2%7.4%7.3%
Call IV 25d24.5%21.1%31.0%30.3%22.2%
Put IV 25d27.8%23.4%33.4%33.1%25.7%
Bid-Ask Spread %17.0311.4627.4914.9017.23
Gamma HHI0.280.170.650.180.17
Net GEX-218.9K-2.6M1.2M-434.8K-33.5K
Net DEX-23.2M-49.1M-2.0M-10.6M-15.2M
Net VEX-156.6K-195.7K-127.6K-195.7K-142.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.2610.302.201.08
Total Volume1,257.6511010,622794343
Total OI19,753.214,55626,29419,72515,270

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$94.62$95.0030.9%8.9%23.3%14.2%32.9%2.9%-1.5%-434.8K-10.6M-195.7K2.2014.90N/AN/A2485468,44111,284
2009-11-03$95.00$95.0032.0%9.2%23.1%15.9%32.0%2.4%-2.3%-395.8K-12.8M-193.1K3.6421.24N/AN/A2751,0008,47111,320
2009-11-04$94.58$95.0030.1%8.6%23.2%13.0%30.3%1.7%-1.3%-969.0K-7.6M-193.3K0.3927.49N/AN/A3661448,61012,155
2009-11-05$96.30$95.0029.0%8.3%23.6%11.1%28.7%2.7%-0.9%-532.9K-17.3M-187.1K0.6326.46N/AN/A4853048,31412,082
2009-11-06$96.76$95.0027.6%7.9%23.2%8.8%28.6%3.7%0.5%-580.9K-17.8M-184.3K1.2915.21N/AN/A2763578,25912,215
2009-11-09$98.50$95.0027.2%7.4%22.2%8.1%29.5%4.2%0.5%-97.1K-30.4M-165.2K2.9011.96N/AN/A1173398,28712,235
2009-11-10$98.71$95.0026.8%7.3%21.9%7.4%25.3%4.1%0.9%-1.4K-32.2M-159.9K0.7712.98N/AN/A62488,28212,191
2009-11-11$98.82$95.0025.8%7.1%21.4%5.8%26.4%3.8%1.2%28.8K-33.9M-154.5K1.1915.03N/AN/A8019568,30012,211
2009-11-12$98.58$95.0024.5%7.0%20.1%3.7%26.5%4.0%1.1%7.7K-32.5M-153.3K0.6816.31N/AN/A2691838,47812,197
2009-11-13$99.49$95.0023.9%6.9%20.1%2.8%24.5%3.7%1.4%488.8K-38.8M-144.8K0.9316.44N/AN/A1991858,47612,221
2009-11-16$101.09$95.0024.5%7.0%20.6%3.7%26.2%3.8%0.9%1.2M-48.9M-127.6K3.9011.46N/AN/A1957618,59712,300
2009-11-17$101.43$95.0024.9%7.1%20.5%4.4%24.5%3.6%0.7%1.1M-49.1M-130.2K7.8818.66N/AN/A2171,7118,58412,595
2009-11-18$98.25$95.0024.3%7.0%24.0%3.5%25.9%3.3%0.4%-1.3M-23.9M-135.9K2.2113.30N/AN/A3,3107,3128,73713,662
2009-11-19$97.03$100.0027.1%7.8%23.4%8.0%27.0%3.9%-0.2%-2.6M-2.0M-156.6K1.5914.24N/AN/A40464310,29116,003
2009-11-20$97.16$100.0026.4%7.6%23.2%6.8%25.6%4.0%0.7%-643.5K-17.8M-145.1K0.2619.14N/AN/A84121810,19514,918
2009-11-23$98.20$100.0023.4%6.7%23.3%2.3%24.7%3.4%1.1%22.1K-17.5M-139.0K0.9512.99N/AN/A3213055,9508,606
2009-11-24$98.76$100.0021.9%6.3%22.2%0.0%23.8%2.8%1.8%165.5K-20.4M-138.0K1.1313.77N/AN/A1832066,1858,719
2009-11-25$98.63$100.0021.6%6.2%21.5%0.0%23.2%2.3%1.5%161.3K-19.4M-142.2K10.3014.79N/AN/A232376,3208,846
2009-11-27$97.46$100.0024.8%7.1%20.1%7.7%23.1%3.1%0.4%22.0K-15.6M-143.0K0.4726.89N/AN/A5202436,3188,939
2009-11-30$97.70$100.0022.8%6.5%18.3%2.7%23.7%3.5%1.3%-33.5K-15.2M-142.7K1.0817.23N/AN/A1651786,2619,009