GWW Options History — December 2009

In December 2009, GWW traded between $96.74 and $98.99. ATM implied volatility averaged 20.2%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.8% (HV 20d: 14.4%). Max pain ranged from $90.00 to $100.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.95.

Notable Days

  • 2009-12-16: Highest Volume — 1,822 contracts
  • 2009-12-21: Largest IV drop — 13.4% change
  • 2009-12-17: Highest IV Rank — 9.0%
  • 2009-12-08: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.90$96.74$98.99$98.23$96.83
Max Pain$93.41$90.00$100.00$100.00$95.00
ATM IV20.2%16.7%22.5%21.8%18.9%
Expected Move5.9%4.8%6.7%6.2%5.4%
HV 20d14.4%10.1%18.5%18.2%10.4%
HV 60d20.4%17.9%21.6%21.5%18.0%
IV Rank2.8%0.0%9.0%0.4%6.5%
IV Percentile1.5%0.0%6.0%0.4%2.8%
Term Structure3.5%1.8%4.7%1.8%4.6%
VWIV22.0%17.6%34.8%21.6%18.5%
Skew 25d3.1%2.3%3.9%3.5%2.6%
Skew 10d6.9%4.3%12.4%6.3%8.0%
Call IV 25d19.9%15.6%22.5%21.2%17.1%
Put IV 25d23.0%19.1%26.4%24.6%19.7%
Bid-Ask Spread %12.428.6319.4812.3010.60
Gamma HHI0.240.170.300.170.30
Net GEX539.3K42.0K1.1M42.0K963.6K
Net DEX-20.4M-25.5M-15.9M-17.7M-19.3M
Net VEX-128.6K-142.1K-116.9K-141.7K-116.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.164.880.261.79
Total Volume362.72701,822312162
Total OI15,937.515,02417,86515,46615,709

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$98.23$100.0021.8%6.2%18.2%0.4%21.6%3.5%1.8%42.0K-17.7M-141.7K0.2612.30N/AN/A248646,3639,103
2009-12-02$98.57$100.0021.3%6.1%18.2%0.0%22.2%3.1%1.9%235.9K-20.1M-142.1K0.8413.52N/AN/A1291096,5829,112
2009-12-03$97.68$100.0021.4%6.1%18.5%0.1%23.0%2.4%1.9%86.2K-16.8M-139.1K3.4419.48N/AN/A1926606,6089,180
2009-12-04$98.99$90.0020.1%6.4%18.0%0.0%22.2%3.7%3.4%345.2K-22.1M-133.4K0.1610.63N/AN/A173276,5529,007
2009-12-07$98.51$90.0021.1%6.6%18.1%2.4%22.8%3.6%3.1%311.4K-20.7M-128.8K1.8210.36N/AN/A44806,5679,005
2009-12-08$97.51$90.0021.4%6.7%17.3%3.4%24.1%3.9%2.6%112.9K-15.9M-129.3K0.3611.18N/AN/A228826,5429,075
2009-12-09$97.73$90.0019.8%6.5%17.3%0.0%24.2%3.6%3.3%181.6K-17.5M-127.0K4.7912.28N/AN/A1416766,6599,110
2009-12-10$97.76$90.0022.1%6.3%17.3%5.6%22.2%3.5%3.4%241.5K-17.3M-132.9K4.1212.85N/AN/A411696,6749,461
2009-12-11$97.82$90.0021.9%6.3%17.3%5.1%23.0%3.6%3.6%186.8K-17.2M-133.0K3.1314.55N/AN/A15476,7039,553
2009-12-14$98.45$90.0022.4%6.4%17.1%7.0%34.8%3.2%3.1%418.7K-20.2M-126.6K2.8013.43N/AN/A10286,6949,530
2009-12-15$98.58$90.0022.1%6.3%16.0%6.3%21.8%3.1%3.5%437.8K-20.5M-123.2K1.9515.65N/AN/A781526,6959,543
2009-12-16$98.00$90.0021.3%6.1%16.0%4.8%22.9%3.1%3.7%479.5K-17.8M-119.4K0.618.63N/AN/A1,1296936,7439,532
2009-12-17$97.15$90.0022.5%6.5%11.7%9.0%22.7%2.8%3.2%526.9K-20.1M-134.0K0.199.38N/AN/A198387,7989,949
2009-12-18$96.74$95.0021.8%6.3%10.9%6.7%22.2%3.8%4.1%299.7K-17.2M-134.0K0.3513.39N/AN/A168587,81010,055
2009-12-21$97.78$95.0018.9%5.4%11.6%0.0%20.2%2.7%3.5%993.5K-24.5M-125.0K3.4611.56N/AN/A2438406,8288,196
2009-12-22$97.52$95.0018.4%5.3%11.0%0.0%19.5%2.7%3.9%928.3K-22.6M-132.2K3.6812.48N/AN/A341256,9468,826
2009-12-23$97.74$95.0017.8%5.1%10.8%0.0%18.5%2.6%4.1%981.1K-24.0M-128.6K0.2914.96N/AN/A139406,9478,732
2009-12-24$98.31$95.0017.2%4.9%11.0%0.0%0.0%2.4%4.5%1.0M-25.5M-125.7K0.0011.66N/AN/A006,8398,697
2009-12-28$98.08$95.0017.8%5.1%10.1%2.0%18.6%2.3%4.3%1.0M-25.2M-119.9K1.2013.36N/AN/A1862236,8398,697
2009-12-29$98.18$95.0017.7%5.1%10.1%1.4%19.1%3.9%4.0%1.0M-24.5M-117.8K4.8810.70N/AN/A17836,7908,764
2009-12-30$97.72$95.0016.7%4.8%10.1%0.0%17.6%2.9%4.7%1.1M-22.9M-117.8K0.7610.40N/AN/A120916,8048,806
2009-12-31$96.83$95.0018.9%5.4%10.4%6.5%18.5%2.6%4.6%963.6K-19.3M-116.9K1.7910.60N/AN/A581046,8048,905