GWW Options History — February 2010

In February 2010, GWW traded between $98.57 and $104.27. ATM implied volatility averaged 20.7%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.6% (HV 20d: 20.1%). Max pain ranged from $100.00 to $100.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.48.

Notable Days

  • 2010-02-04: Highest Volume — 2,951 contracts
  • 2010-02-11: Largest IV spike — 15.2% change
  • 2010-02-12: Highest IV Rank — 27.2%
  • 2010-02-08: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.60$98.57$104.27$99.94$101.65
Max Pain$100.00$100.00$100.00$100.00$100.00
ATM IV20.7%18.5%24.3%18.5%20.3%
Expected Move6.1%5.3%7.2%5.3%5.8%
HV 20d20.1%14.9%21.9%14.9%20.0%
HV 60d15.5%14.7%16.5%14.7%15.1%
IV Rank17.1%10.8%27.2%10.9%16.0%
IV Percentile12.7%5.6%29.4%5.6%12.3%
Term Structure1.6%0.3%3.2%1.8%1.6%
VWIV22.2%19.4%26.3%19.8%19.4%
Skew 25d3.9%3.0%5.1%3.8%4.2%
Skew 10d8.5%5.6%10.4%8.3%9.4%
Call IV 25d20.0%17.0%23.3%17.9%17.4%
Put IV 25d23.9%20.1%27.9%21.8%21.6%
Bid-Ask Spread %23.1412.3836.6819.6125.08
Gamma HHI0.260.140.380.240.29
Net GEX210.7K-563.2K928.0K503.1K213.6K
Net DEX-10.6M-31.0M11.4M-5.2M-12.9M
Net VEX-131.9K-162.6K-109.6K-132.7K-115.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.480.278.140.660.59
Total Volume818.8951362,951280216
Total OI13,944.10510,96516,21413,03311,074

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$99.94$100.0018.5%5.3%14.9%10.9%19.8%3.8%1.8%503.1K-5.2M-132.7K0.6619.61N/AN/A1691116,1856,848
2010-02-02$102.39$100.0018.9%5.4%16.9%11.9%19.4%3.1%1.6%685.3K-18.0M-132.2K2.3612.42N/AN/A2946946,2706,884
2010-02-03$102.26$100.0019.5%5.6%16.9%13.7%19.4%3.0%1.3%828.8K-18.6M-133.2K3.6914.91N/AN/A1896986,4166,798
2010-02-04$99.18$100.0022.4%6.4%20.6%21.8%22.8%3.5%1.5%417.9K-2.0M-143.2K6.4117.37N/AN/A3982,5536,3717,121
2010-02-05$99.33$100.0023.3%7.1%20.3%24.4%25.0%4.0%0.6%-246.3K7.9M-162.6K1.6412.38N/AN/A1742856,4348,846
2010-02-08$98.57$100.0023.2%7.2%20.1%24.0%26.3%4.6%0.5%-16.4K11.4M-150.0K2.6113.32N/AN/A3228426,5358,697
2010-02-09$100.26$100.0021.2%7.0%21.0%18.4%24.5%4.3%1.2%141.5K2.0M-150.2K0.9420.43N/AN/A7356936,5228,780
2010-02-10$99.65$100.0020.1%7.0%21.1%15.5%23.2%4.4%1.5%403.2K2.4M-150.4K2.2019.66N/AN/A691526,8208,513
2010-02-11$100.81$100.0023.2%6.7%21.4%24.1%23.3%3.8%2.6%584.2K-5.5M-145.4K1.7222.18N/AN/A4217266,8608,452
2010-02-12$100.85$100.0024.3%7.0%21.4%27.2%23.1%5.1%0.3%928.0K-7.4M-145.6K3.8123.99N/AN/A3461,3177,0748,379
2010-02-16$102.04$100.0023.2%6.6%21.8%24.0%23.2%3.8%1.7%227.3K-14.2M-132.9K1.7326.11N/AN/A741287,0158,905
2010-02-17$102.64$100.0020.1%5.8%21.4%15.4%22.1%5.1%2.3%99.0K-18.2M-127.9K2.3235.23N/AN/A41956,9988,929
2010-02-18$104.27$100.0020.7%5.9%21.9%17.0%22.5%3.8%2.5%-301.3K-31.0M-113.8K8.1426.87N/AN/A433507,0308,954
2010-02-19$104.14$100.0018.6%5.3%21.3%11.0%21.8%3.1%2.5%-563.2K-28.9M-109.7K0.2723.87N/AN/A6031637,0199,195
2010-02-22$103.64$100.0018.9%5.4%21.2%12.0%22.2%3.6%3.2%-4.1K-17.1M-109.6K0.8228.21N/AN/A2932394,5986,386
2010-02-23$102.84$100.0018.5%5.3%20.3%10.8%21.9%3.1%1.6%11.7K-15.6M-116.0K4.6734.35N/AN/A2811,3134,8386,393
2010-02-24$103.51$100.0018.8%5.4%19.5%11.5%20.1%3.4%1.6%-198.9K-16.2M-119.9K0.9726.92N/AN/A1501454,8966,938
2010-02-25$102.49$100.0020.2%5.8%19.8%15.7%21.2%3.4%1.6%289.9K-14.6M-115.5K1.6336.68N/AN/A901474,9396,026
2010-02-26$101.65$100.0020.3%5.8%20.0%16.0%19.4%4.2%1.6%213.6K-12.9M-115.0K0.5925.08N/AN/A136804,9696,105