GWW Options History — March 2010

In March 2010, GWW traded between $103.58 and $109.47. ATM implied volatility averaged 18.5%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.7% (HV 20d: 15.8%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.59.

Notable Days

  • 2010-03-11: Highest Volume — 1,002 contracts
  • 2010-03-11: Largest IV spike — 21.0% change
  • 2010-03-15: Highest IV Rank — 20.7%
  • 2010-03-15: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.53$103.58$109.47$104.21$108.12
Max Pain$97.39$95.00$100.00$100.00$100.00
ATM IV18.5%16.1%21.7%17.8%19.6%
Expected Move5.4%4.7%6.2%5.1%5.6%
HV 20d15.8%11.0%21.1%20.9%11.6%
HV 60d16.0%15.7%16.2%15.9%16.1%
IV Rank11.2%4.0%20.7%8.8%14.4%
IV Percentile10.4%1.2%22.2%3.6%17.1%
Term Structure0.5%-1.8%3.8%2.6%-1.8%
VWIV20.5%17.5%25.7%18.3%20.5%
Skew 25d3.7%2.1%7.7%7.1%2.5%
Skew 10d8.4%5.4%15.4%15.4%5.6%
Call IV 25d17.8%12.0%19.7%13.3%19.7%
Put IV 25d21.5%18.6%23.2%20.4%22.2%
Bid-Ask Spread %16.678.5336.5136.5115.03
Gamma HHI0.310.280.370.310.30
Net GEX1.1M474.7K1.8M568.2K931.4K
Net DEX-31.5M-37.6M-19.3M-21.7M-29.3M
Net VEX-100.5K-113.6K-87.7K-107.3K-90.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.037.272.141.93
Total Volume326.826651,002550135
Total OI11,961.43510,74613,60311,11011,230

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$104.21$100.0017.8%5.1%20.9%8.8%18.3%7.1%2.6%568.2K-21.7M-107.3K2.1436.51N/AN/A1753755,0276,083
2010-03-02$103.58$100.0016.5%4.7%21.1%5.2%17.5%2.4%3.8%474.7K-19.3M-108.3K0.2532.89N/AN/A367935,0316,318
2010-03-03$104.54$100.0016.6%4.8%19.6%5.6%17.9%7.7%3.6%650.2K-22.9M-113.6K1.9621.13N/AN/A551085,2706,391
2010-03-04$104.70$100.0016.4%4.7%19.6%4.8%18.5%6.6%3.8%652.7K-23.5M-113.6K1.2316.82N/AN/A1351665,3106,458
2010-03-05$106.89$95.0016.5%5.6%16.8%5.2%20.2%3.7%1.4%880.2K-31.1M-106.5K1.0716.34N/AN/A3764025,4096,568
2010-03-08$106.65$95.0017.7%5.8%16.9%8.6%21.2%4.1%0.6%957.7K-31.1M-106.1K1.6511.07N/AN/A1061755,5336,578
2010-03-09$107.56$95.0016.1%5.3%16.5%4.0%18.6%4.1%1.0%958.5K-33.8M-103.7K0.1613.67N/AN/A5895,5916,669
2010-03-10$108.08$95.0016.1%5.5%15.8%4.1%20.3%3.7%0.3%967.7K-35.4M-102.5K0.2118.31N/AN/A5371115,6046,669
2010-03-11$108.67$95.0019.4%5.6%15.3%14.1%20.0%3.9%0.2%1.2M-37.4M-102.8K1.0317.93N/AN/A4945085,7966,747
2010-03-12$107.83$95.0019.5%5.6%15.7%14.4%20.7%4.3%-0.1%1.6M-34.9M-106.2K0.6315.33N/AN/A1691066,2136,995
2010-03-15$107.13$95.0021.7%6.2%16.0%20.7%22.8%3.7%-0.8%1.5M-33.5M-102.6K3.3713.72N/AN/A301016,3306,935
2010-03-16$107.75$95.0019.1%5.5%15.7%13.2%25.7%4.0%0.3%1.6M-34.9M-104.0K0.6315.03N/AN/A40256,3206,980
2010-03-17$108.35$95.0019.2%5.5%15.7%13.4%21.7%3.2%0.3%1.8M-37.5M-99.9K0.3313.93N/AN/A101336,3446,991
2010-03-18$108.37$95.0018.8%5.4%15.0%12.3%21.0%3.0%0.8%1.5M-37.6M-96.9K0.0315.42N/AN/A662236,3857,002
2010-03-19$107.56$95.0018.4%5.3%15.3%10.9%19.2%2.3%0.5%1.2M-36.3M-98.3K1.1016.94N/AN/A1661836,5857,018
2010-03-22$108.40$95.0019.1%5.5%15.2%13.1%21.3%2.9%-0.4%1.1M-30.8M-96.2K7.2712.82N/AN/A372695,3215,425
2010-03-23$109.34$100.0019.0%5.4%14.9%12.8%22.9%2.6%-0.4%990.8K-32.9M-94.3K2.6712.66N/AN/A24645,3065,632
2010-03-24$108.88$100.0019.1%5.5%15.1%13.2%22.0%2.5%-0.6%991.3K-32.6M-93.9K3.6717.68N/AN/A15555,3305,661
2010-03-25$108.75$100.0019.6%5.6%14.4%14.5%20.3%2.1%-0.7%995.5K-32.3M-93.0K0.9616.35N/AN/A80775,3455,658
2010-03-26$109.05$100.0019.2%5.5%13.8%13.5%19.9%2.7%-0.9%993.6K-31.4M-93.2K3.0114.33N/AN/A882655,2595,637
2010-03-29$109.47$100.0020.3%5.8%11.3%16.5%21.6%2.9%-1.5%901.7K-32.0M-89.6K0.568.53N/AN/A167935,2825,758
2010-03-30$109.26$100.0019.8%5.7%11.0%15.3%20.0%3.1%-1.5%889.3K-33.0M-87.7K0.6711.00N/AN/A1551045,3045,815
2010-03-31$108.12$100.0019.6%5.6%11.6%14.4%20.5%2.5%-1.8%931.4K-29.3M-90.7K1.9315.03N/AN/A46895,3625,868