GWW Options History — May 2010

In May 2010, GWW traded between $100.14 and $112.27. ATM implied volatility averaged 30.4%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 2.4% (HV 20d: 32.8%). Max pain ranged from $110.00 to $110.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.13.

Notable Days

  • 2010-05-04: Highest Volume — 895 contracts
  • 2010-05-06: Largest IV spike — 30.3% change
  • 2010-05-20: Highest IV Rank — 86.2%
  • 2010-05-20: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.00$100.14$112.27$112.27$101.75
Max Pain$110.00$110.00$110.00$110.00$110.00
ATM IV30.4%22.7%39.1%22.7%29.5%
Expected Move8.6%6.5%11.2%6.5%8.5%
HV 20d32.8%28.5%36.8%28.5%35.8%
HV 60d24.3%20.3%27.5%20.3%27.5%
IV Rank55.4%28.5%86.2%28.5%52.2%
IV Percentile76.3%37.7%97.2%37.7%77.0%
Term Structure0.3%-6.4%2.2%0.5%2.0%
VWIV30.1%21.9%38.9%21.9%29.9%
Skew 25d5.8%2.9%10.3%3.1%7.0%
Skew 10d9.7%5.2%15.6%6.0%10.4%
Call IV 25d27.8%21.3%34.6%21.3%25.4%
Put IV 25d33.5%24.4%43.6%24.4%32.4%
Bid-Ask Spread %35.0918.3571.3520.9134.89
Gamma HHI0.190.150.300.190.16
Net GEX-460.3K-1.0M21.7K21.7K-482.1K
Net DEX6.4M-8.4M23.4M-8.4M11.9M
Net VEX-121.4K-131.1K-110.8K-126.5K-112.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.173.150.541.62
Total Volume421.332895129170
Total OI9,975.758,58711,6279,4069,145

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$112.27$110.0022.7%6.5%28.5%28.5%21.9%3.1%0.5%21.7K-8.4M-126.5K0.5420.91N/AN/A84454,1285,278
2010-05-04$109.11$110.0027.0%7.7%30.2%43.5%27.4%3.5%-0.7%-264.5K94.7K-129.6K1.3623.70N/AN/A3805154,1285,274
2010-05-05$108.60$110.0026.2%7.5%29.8%40.6%26.8%3.1%-0.8%-408.7K2.0M-130.4K1.1639.95N/AN/A67784,2195,381
2010-05-06$106.50$110.0034.1%9.8%30.4%68.5%31.2%2.9%-6.4%-438.8K6.2M-130.3K1.1571.35N/AN/A2242574,2565,379
2010-05-07$104.94$110.0034.0%9.4%30.4%68.1%34.8%5.6%-0.6%-444.5K9.4M-131.1K2.1523.60N/AN/A2695774,4085,496
2010-05-10$110.71$110.0030.8%8.1%36.8%56.8%27.2%4.4%-0.0%-79.2K-5.3M-129.5K0.1718.35N/AN/A375634,5255,744
2010-05-11$110.33$110.0028.0%8.0%36.4%47.1%27.9%4.0%0.9%-76.8K-5.2M-128.5K0.4221.79N/AN/A3321394,6645,767
2010-05-12$110.37$110.0027.6%7.8%33.6%45.4%27.0%5.8%1.7%-134.7K-4.5M-125.9K0.4627.47N/AN/A3131434,6205,758
2010-05-13$108.90$110.0027.7%7.9%32.1%46.0%27.7%4.2%1.0%-404.8K-603.2K-123.6K1.8626.89N/AN/A1001864,5715,812
2010-05-14$107.67$110.0029.6%8.5%30.8%52.6%29.6%5.5%0.4%-584.3K4.4M-125.6K3.1530.89N/AN/A27854,5775,942
2010-05-17$108.31$110.0028.5%8.2%30.7%48.8%29.6%5.1%1.1%-710.3K3.3M-118.3K0.6632.43N/AN/A1651094,5665,970
2010-05-18$107.05$110.0031.0%8.9%30.5%57.5%29.1%5.5%0.0%-843.3K6.3M-116.4K0.3934.58N/AN/A228904,5765,994
2010-05-19$104.91$110.0031.5%9.0%31.3%59.5%30.0%7.1%0.2%-1.0M13.8M-114.4K0.6839.30N/AN/A3022064,7146,065
2010-05-20$100.14$110.0039.1%11.2%33.2%86.2%38.9%8.9%-0.1%-771.8K23.4M-111.0K1.7650.82N/AN/A3125484,9096,171
2010-05-21$102.77$110.0034.5%9.9%34.9%70.0%35.9%10.3%0.6%-728.3K21.6M-121.1K0.9547.78N/AN/A4444205,0876,540
2010-05-24$100.86$110.0034.6%9.9%35.3%70.4%37.0%9.0%1.4%-421.5K12.4M-112.1K1.7341.13N/AN/A2925053,5665,021
2010-05-25$101.24$110.0033.1%9.5%35.0%64.9%32.2%9.6%1.4%-462.9K13.3M-116.0K1.2935.56N/AN/A14183,7955,264
2010-05-26$100.14$110.0032.3%9.3%35.0%62.1%31.8%4.1%0.8%-483.3K14.1M-110.8K0.9740.58N/AN/A1081053,8055,263
2010-05-27$103.34$110.0025.8%7.4%35.6%39.1%26.4%6.5%2.2%-487.6K9.8M-115.3K0.2539.76N/AN/A105263,8445,293
2010-05-28$101.75$110.0029.5%8.5%35.8%52.2%29.9%7.0%2.0%-482.1K11.9M-112.4K1.6234.89N/AN/A651053,8525,293