GWW Options History — April 2010

In April 2010, GWW traded between $104.93 and $115.64. ATM implied volatility averaged 22.7%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.7% (HV 20d: 21.1%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2010-04-14: Highest Volume — 2,898 contracts
  • 2010-04-14: Largest IV drop — 28.8% change
  • 2010-04-13: Highest IV Rank — 61.8%
  • 2010-04-30: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.58$104.93$115.64$109.53$110.54
Max Pain$109.29$100.00$110.00$100.00$110.00
ATM IV22.7%18.8%33.8%18.9%22.7%
Expected Move5.8%5.2%6.5%5.4%6.5%
HV 20d21.1%12.3%29.4%12.3%29.3%
HV 60d19.2%16.3%21.2%16.3%21.2%
IV Rank26.7%12.5%61.8%12.5%28.2%
IV Percentile33.7%10.7%83.7%11.9%36.9%
Term Structure0.4%-1.1%1.4%-1.1%-0.0%
VWIV21.0%18.9%23.8%19.7%22.7%
Skew 25d3.2%2.1%4.0%3.2%2.7%
Skew 10d7.0%2.9%12.3%6.6%4.5%
Call IV 25d19.3%17.3%22.7%18.2%21.7%
Put IV 25d22.5%21.0%24.8%21.4%24.3%
Bid-Ask Spread %23.9214.5136.0314.5133.18
Gamma HHI0.260.170.590.290.20
Net GEX381.1K-407.1K1.2M947.4K-142.2K
Net DEX-20.3M-51.4M6.7M-34.1M-4.0M
Net VEX-111.2K-130.2K-79.1K-84.2K-130.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.1320.150.292.15
Total Volume905.333952,898571293
Total OI11,318.8577,78416,05311,2499,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$109.53$100.0018.9%5.4%12.3%12.5%19.7%3.2%-1.1%947.4K-34.1M-84.2K0.2914.51N/AN/A4441275,3685,881
2010-04-05$112.19$105.0023.9%5.7%13.0%27.2%20.1%4.0%-0.1%983.2K-42.2M-79.1K0.7116.13N/AN/A1,0107225,5525,875
2010-04-06$112.70$110.0022.7%5.2%12.9%23.6%20.6%3.7%1.0%1.2M-44.3M-94.8K2.0417.02N/AN/A781596,1906,380
2010-04-07$113.92$110.0023.8%5.4%13.0%27.0%20.2%3.7%1.0%1.2M-48.1M-94.3K0.6119.33N/AN/A1,2857886,2486,383
2010-04-08$114.17$110.0023.8%5.4%13.0%26.9%18.9%3.4%1.1%1.2M-49.0M-91.7K0.8120.76N/AN/A1441166,2486,383
2010-04-09$114.77$110.0024.2%5.6%13.0%30.9%19.0%3.1%0.7%1.1M-50.3M-106.6K0.3318.00N/AN/A184607,0957,025
2010-04-12$114.23$110.0029.6%5.8%12.7%48.3%23.0%3.9%0.8%1.2M-48.1M-105.3K20.1516.61N/AN/A611,2297,1947,053
2010-04-13$115.64$110.0033.8%5.9%12.6%61.8%21.3%3.6%0.3%750.3K-51.4M-108.0K0.4321.45N/AN/A1,2695477,1968,078
2010-04-14$111.15$110.0024.1%5.8%19.9%33.1%20.0%3.3%0.4%-407.1K-29.1M-109.2K1.2918.00N/AN/A1,2631,6356,9908,382
2010-04-15$107.78$110.0021.1%6.0%22.9%22.6%22.2%3.5%0.1%124.4K-14.7M-117.0K0.9926.46N/AN/A1,0391,0317,0768,312
2010-04-16$104.93$110.0022.0%6.3%24.7%25.7%22.0%3.6%0.4%1.2M-2.2M-115.7K1.5617.44N/AN/A6751,0547,4218,632
2010-04-19$105.75$110.0021.4%6.1%24.9%23.8%20.9%3.0%-0.3%-367.0K6.7M-110.1K1.5723.55N/AN/A2584053,4464,338
2010-04-20$107.51$110.0018.8%5.4%25.4%14.7%20.1%3.3%1.0%-259.5K2.7M-115.8K0.8124.88N/AN/A2141743,6474,402
2010-04-21$107.59$110.0019.1%5.5%25.2%15.8%20.1%3.0%0.6%-258.1K2.3M-116.7K0.1919.78N/AN/A337653,7094,551
2010-04-22$110.65$110.0019.8%5.7%27.2%18.0%20.1%3.5%1.4%70.0K-6.0M-121.8K1.5127.75N/AN/A2273423,9194,552
2010-04-23$110.92$110.0020.4%5.8%27.2%20.1%20.9%2.9%0.2%71.1K-6.8M-123.8K3.5035.06N/AN/A1254373,9264,682
2010-04-26$110.20$110.0020.8%6.0%27.3%21.8%21.2%2.2%-0.1%-101.5K-4.2M-126.9K0.8729.71N/AN/A60523,9724,995
2010-04-27$108.15$110.0022.6%6.5%28.1%28.1%23.8%2.1%-0.9%-260.3K1.3M-127.5K1.4131.44N/AN/A1782513,9724,999
2010-04-28$108.43$110.0021.8%6.2%28.1%25.1%21.5%2.5%0.6%-277.5K1.5M-127.5K0.1335.31N/AN/A84114,0425,063
2010-04-29$111.38$110.0021.7%6.2%29.4%24.8%23.4%2.5%0.8%-8.8K-5.9M-128.5K3.7936.03N/AN/A1214584,0695,070
2010-04-30$110.54$110.0022.7%6.5%29.3%28.2%22.7%2.7%-0.0%-142.2K-4.0M-130.2K2.1533.18N/AN/A932004,1015,279