GWW Options History — January 2010

In January 2010, GWW traded between $97.24 and $101.34. ATM implied volatility averaged 19.0%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 8.3% (HV 20d: 10.7%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.79.

Notable Days

  • 2010-01-29: Highest Volume — 3,369 contracts
  • 2010-01-14: Largest IV spike — 37.4% change
  • 2010-01-25: Highest IV Rank — 24.7%
  • 2010-01-04: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.63$97.24$101.34$97.24$99.28
Max Pain$100.79$100.00$105.00$105.00$100.00
ATM IV19.0%14.7%23.4%20.5%18.9%
Expected Move6.0%5.2%6.9%6.9%5.4%
HV 20d10.7%8.7%15.2%10.1%15.2%
HV 60d16.2%14.4%17.9%17.9%14.7%
IV Rank11.2%0.0%24.7%11.3%11.9%
IV Percentile5.3%0.0%18.3%4.0%5.6%
Term Structure0.6%-1.5%1.8%0.3%1.7%
VWIV21.2%18.0%27.9%23.7%18.0%
Skew 25d3.7%2.9%4.7%4.7%2.9%
Skew 10d7.6%6.1%10.0%8.8%6.1%
Call IV 25d19.5%17.2%21.3%21.1%18.6%
Put IV 25d23.3%20.1%25.8%25.8%21.5%
Bid-Ask Spread %17.9612.6324.8615.2912.63
Gamma HHI0.360.230.860.300.31
Net GEX1.5M746.3K8.1M1.0M993.9K
Net DEX-23.0M-39.0M-8.6M-20.2M-8.6M
Net VEX-114.3K-137.3K-106.0K-110.3K-137.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.131.901.261.31
Total Volume1,024.7891343,3691653,369
Total OI13,484.4218,51917,03115,70512,543

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$97.24$105.0020.5%6.9%10.1%11.3%23.7%4.7%0.3%1.0M-20.2M-110.3K1.2615.29N/AN/A73926,7788,927
2010-01-05$97.28$105.0020.2%6.7%8.8%10.2%27.9%4.5%0.7%1.0M-20.3M-109.7K1.6914.78N/AN/A1071816,7978,983
2010-01-06$97.65$105.0016.9%6.2%8.8%0.6%21.6%4.2%1.3%1.0M-22.1M-110.6K0.1316.23N/AN/A460616,8869,111
2010-01-07$98.57$100.0015.9%6.0%8.7%0.0%20.9%4.1%1.5%1.2M-27.8M-112.2K0.9717.23N/AN/A2222167,2559,113
2010-01-08$99.73$100.0014.7%6.0%9.5%0.0%20.9%3.8%1.3%1.2M-33.0M-106.9K0.3916.61N/AN/A2541007,1839,226
2010-01-11$100.15$100.0016.5%6.1%9.6%5.2%21.4%3.2%1.0%1.3M-35.5M-107.9K0.2316.21N/AN/A4281007,2879,188
2010-01-12$100.11$100.0016.4%6.2%9.6%4.8%21.2%3.5%0.8%1.4M-35.7M-109.6K0.3116.92N/AN/A3431087,3859,204
2010-01-13$100.55$100.0015.1%6.0%9.5%1.4%21.8%3.5%1.1%1.8M-38.1M-106.9K0.1616.59N/AN/A466737,5109,207
2010-01-14$100.39$100.0020.8%6.0%9.5%17.3%20.8%3.5%1.2%2.3M-39.0M-109.2K0.4617.80N/AN/A92427,7179,270
2010-01-15$100.04$100.0020.7%5.9%9.3%17.0%20.6%3.7%1.1%8.1M-37.6M-107.1K0.1420.55N/AN/A1,2291737,7239,308
2010-01-19$101.34$100.0020.8%6.0%9.5%17.4%20.6%3.8%-0.7%943.3K-19.1M-106.0K1.2021.04N/AN/A4195014,5323,987
2010-01-20$100.87$100.0020.6%5.9%9.5%16.7%20.7%3.4%-0.5%938.4K-18.2M-108.5K1.9024.86N/AN/A1843494,7514,231
2010-01-21$99.57$100.0021.2%6.1%10.3%18.6%21.4%3.0%-0.5%771.9K-13.7M-114.5K0.5122.68N/AN/A7854034,7854,365
2010-01-22$98.89$100.0022.3%6.4%10.6%21.5%21.8%4.0%-0.8%876.5K-12.8M-120.0K0.6217.42N/AN/A3302055,1854,552
2010-01-25$100.94$100.0023.4%6.7%12.8%24.7%22.6%4.0%-1.5%948.6K-18.4M-118.6K0.9321.08N/AN/A1,2061,1265,1364,700
2010-01-26$99.42$100.0019.2%5.5%14.0%12.8%19.3%4.1%1.0%808.9K-10.1M-121.7K0.8816.54N/AN/A1,1631,0245,4785,274
2010-01-27$100.12$100.0018.5%5.3%14.1%10.7%18.5%3.6%1.4%746.3K-10.7M-126.7K1.0216.87N/AN/A5805895,5685,555
2010-01-28$100.76$100.0018.2%5.2%14.2%10.0%18.6%2.9%1.8%1.3M-16.7M-127.3K0.9719.87N/AN/A1,2291,1896,0345,470
2010-01-29$99.28$100.0018.9%5.4%15.2%11.9%18.0%2.9%1.7%993.9K-8.6M-137.3K1.3112.63N/AN/A1,4571,9126,4236,120