GWW Options History — June 2010

In June 2010, GWW traded between $97.29 and $108.26. ATM implied volatility averaged 29.5%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 5.8% (HV 20d: 35.3%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.72.

Notable Days

  • 2010-06-18: Highest Volume — 2,156 contracts
  • 2010-06-04: Largest IV spike — 26.3% change
  • 2010-06-07: Highest IV Rank — 79.2%
  • 2010-06-29: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.33$97.29$108.26$100.22$99.45
Max Pain$107.27$105.00$110.00$110.00$105.00
ATM IV29.5%24.6%37.1%32.6%34.5%
Expected Move8.4%7.0%10.3%9.3%9.9%
HV 20d35.3%31.7%38.7%35.2%32.5%
HV 60d30.7%27.3%32.5%27.3%32.5%
IV Rank52.2%34.9%79.2%63.1%70.0%
IV Percentile74.4%53.6%96.0%86.5%91.3%
Term Structure0.3%-3.5%2.4%1.4%-2.4%
VWIV28.7%18.9%38.5%18.9%38.5%
Skew 25d5.8%3.6%9.0%6.6%4.8%
Skew 10d11.1%6.0%17.6%7.6%7.8%
Call IV 25d27.4%23.8%33.3%29.8%33.1%
Put IV 25d33.2%28.5%39.8%36.4%37.8%
Bid-Ask Spread %39.7218.0564.9636.3432.41
Gamma HHI0.180.130.260.180.13
Net GEX-61.0K-654.2K607.3K-519.7K-80.2K
Net DEX5.1M-8.2M21.0M14.7M9.8M
Net VEX-104.4K-112.7K-92.6K-107.9K-101.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.720.0022.000.2713.50
Total Volume338.818282,156247174
Total OI9,697.6828,76210,5869,2929,795

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$100.22$110.0032.6%9.3%35.2%63.1%18.9%6.6%1.4%-519.7K14.7M-107.9K0.2736.34N/AN/A194533,9155,377
2010-06-02$103.10$110.0027.3%7.8%36.1%44.3%26.9%7.6%2.1%-489.2K10.3M-109.1K0.0045.99N/AN/A5804,0265,382
2010-06-03$103.55$110.0026.7%7.7%36.2%42.6%29.0%6.1%2.4%-390.6K8.4M-110.7K4.5049.29N/AN/A8364,0815,382
2010-06-04$99.19$110.0033.8%9.3%38.5%67.3%32.5%5.7%1.5%-552.1K17.2M-100.9K4.2264.96N/AN/A401694,0875,410
2010-06-07$97.29$110.0037.1%10.1%38.7%79.2%35.8%7.6%-2.0%-654.2K21.0M-93.8K1.0063.79N/AN/A75754,0825,518
2010-06-08$98.91$110.0030.6%8.9%33.3%56.1%31.0%9.0%0.4%-638.4K19.1M-92.6K3.2249.04N/AN/A411324,1345,470
2010-06-09$99.38$110.0031.7%8.7%33.5%59.9%27.8%8.1%0.6%-636.3K17.4M-93.3K1.2637.31N/AN/A981234,1425,539
2010-06-10$103.80$110.0028.6%8.2%37.7%49.1%28.4%6.7%1.6%-346.1K7.3M-99.6K0.4929.93N/AN/A5202564,2025,365
2010-06-11$104.26$105.0028.3%8.1%37.6%48.1%26.3%6.4%1.0%-175.7K5.1M-108.6K0.2529.16N/AN/A126314,5015,565
2010-06-14$104.64$105.0029.8%8.5%37.5%53.2%29.9%6.6%-0.0%-22.2K3.3M-104.3K0.1138.41N/AN/A685754,5845,555
2010-06-15$107.48$105.0028.2%8.1%38.7%47.8%27.4%5.9%0.3%282.1K-5.2M-112.7K0.6030.55N/AN/A58354,9355,617
2010-06-16$107.70$105.0025.5%7.3%38.5%38.0%24.8%5.6%1.5%313.6K-6.6M-110.5K0.5038.55N/AN/A58294,9365,626
2010-06-17$107.82$105.0025.0%7.2%37.7%36.5%25.0%4.6%1.4%286.6K-7.1M-106.6K22.0051.97N/AN/A3664,9225,629
2010-06-18$108.26$105.0024.6%7.0%33.2%34.9%24.2%4.7%1.5%359.5K-8.2M-104.5K0.0326.50N/AN/A2,085714,9195,667
2010-06-21$107.86$105.0026.4%7.6%32.3%41.3%26.4%4.8%0.1%607.3K-7.6M-108.3K1.2140.61N/AN/A3754534,6434,119
2010-06-22$104.89$105.0028.1%8.0%33.2%47.2%28.9%3.6%-0.5%331.9K-1.1M-109.7K0.5931.23N/AN/A167984,7624,401
2010-06-23$105.24$110.0028.9%8.3%33.2%50.2%28.6%4.5%-1.1%356.9K-1.1M-110.3K1.0934.94N/AN/A1161264,8594,412
2010-06-24$102.91$110.0028.7%8.2%34.0%49.5%28.8%4.0%-0.4%188.6K2.9M-107.0K1.5526.85N/AN/A11174,9174,478
2010-06-25$103.38$105.0027.7%7.9%32.2%45.9%28.1%4.4%0.6%202.7K2.8M-105.0K2.2141.99N/AN/A38844,9284,491
2010-06-28$103.91$105.0028.6%8.2%31.7%49.0%28.8%4.4%-0.3%245.5K1.6M-102.7K0.0318.05N/AN/A6824,9344,549
2010-06-29$100.04$105.0035.8%10.3%34.2%74.5%35.4%6.6%-3.5%-12.9K8.5M-96.8K1.1555.98N/AN/A2442814,9624,531
2010-06-30$99.45$105.0034.5%9.9%32.5%70.0%38.5%4.8%-2.4%-80.2K9.8M-101.4K13.5032.41N/AN/A121625,0474,748