GWW Options History — July 2010

In July 2010, GWW traded between $97.54 and $112.01. ATM implied volatility averaged 27.6%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.1% (HV 20d: 26.4%). Max pain ranged from $105.00 to $105.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.77.

Notable Days

  • 2010-07-08: Highest Volume — 3,011 contracts
  • 2010-07-15: Largest IV drop — 38.8% change
  • 2010-07-14: Highest IV Rank — 100.0%
  • 2010-07-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.40$97.54$112.01$98.75$112.01
Max Pain$105.00$105.00$105.00$105.00$105.00
ATM IV27.6%20.6%41.8%34.0%20.6%
Expected Move7.3%5.9%9.7%9.7%5.9%
HV 20d26.4%20.9%32.5%32.5%20.9%
HV 60d31.7%30.7%32.9%32.4%30.7%
IV Rank46.7%22.0%100.0%68.1%22.0%
IV Percentile60.7%24.2%100.0%90.1%24.2%
Term Structure1.5%-1.5%3.4%-1.5%2.3%
VWIV25.8%19.3%34.0%34.0%19.3%
Skew 25d5.0%3.3%7.2%6.2%3.5%
Skew 10d10.6%6.7%15.2%12.2%7.6%
Call IV 25d23.7%18.8%32.6%32.6%18.8%
Put IV 25d28.7%22.3%38.8%38.8%22.3%
Bid-Ask Spread %25.8017.1358.2258.2218.44
Gamma HHI0.240.130.810.130.14
Net GEX104.1K-1.2M7.4M-161.0K192.2K
Net DEX1.9M-17.3M18.6M11.7M-17.3M
Net VEX-121.9K-150.0K-98.7K-98.7K-111.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.770.0715.198.402.54
Total Volume841.952503,011855350
Total OI11,055.7148,61015,4329,9049,416

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$98.75$105.0034.0%9.7%32.5%68.1%34.0%6.2%-1.5%-161.0K11.7M-98.7K8.4058.22N/AN/A917645,0424,862
2010-07-02$98.17$105.0032.6%9.4%28.8%63.3%0.0%4.6%-0.8%-439.2K16.1M-106.0K0.9037.21N/AN/A89805,1035,504
2010-07-06$97.54$105.0034.7%9.0%28.0%70.5%29.3%7.0%1.8%-559.6K18.6M-99.1K0.0724.93N/AN/A443315,1615,574
2010-07-07$99.82$105.0032.9%8.6%28.6%64.3%30.0%7.2%1.0%-313.0K12.9M-106.9K1.0419.96N/AN/A1671745,5245,555
2010-07-08$101.57$105.0031.1%8.2%29.2%57.7%27.4%6.3%1.4%-211.9K9.2M-109.2K15.1929.93N/AN/A1862,8255,5925,580
2010-07-09$102.99$105.0029.6%7.5%25.1%52.5%27.1%5.3%2.2%-706.1K12.4M-127.2K5.0325.32N/AN/A4762,3955,7207,145
2010-07-12$103.78$105.0035.2%7.6%25.2%72.3%28.2%5.7%1.5%-1.2M17.8M-150.0K0.2332.81N/AN/A337776,0199,031
2010-07-13$105.49$105.0037.0%7.7%25.9%82.4%28.2%5.4%1.9%-223.5K5.2M-136.3K1.1322.69N/AN/A1782026,3247,937
2010-07-14$103.75$105.0041.8%7.8%24.6%100.0%27.2%5.6%0.6%-438.4K12.4M-133.2K0.5029.81N/AN/A1,2456236,3957,961
2010-07-15$106.89$105.0025.6%7.3%27.0%40.2%25.9%4.3%2.2%575.2K-6.4M-136.3K0.3332.84N/AN/A1,5114927,0358,397
2010-07-16$104.98$105.0025.3%7.2%27.7%39.2%25.1%4.8%3.4%7.4M8.2M-138.8K1.2429.16N/AN/A4355386,7008,572
2010-07-19$104.79$105.0024.2%6.9%27.6%35.3%24.7%4.9%1.9%-638.4K5.3M-128.2K2.7917.13N/AN/A3991,1153,3605,250
2010-07-20$105.90$105.0023.3%6.7%27.9%31.9%24.1%4.9%1.9%-473.1K1.5M-129.1K0.2521.46N/AN/A227573,6165,246
2010-07-21$105.60$105.0024.1%6.9%26.1%34.8%26.0%5.2%1.9%-433.4K1.6M-130.0K14.5125.11N/AN/A691,0013,7085,237
2010-07-22$108.39$105.0020.7%5.9%27.6%22.2%21.8%4.6%2.4%-259.9K-5.7M-127.5K0.4318.63N/AN/A3211393,7385,369
2010-07-23$109.61$105.0020.7%5.9%26.3%22.3%21.9%4.5%2.1%-131.1K-9.2M-125.6K0.4420.11N/AN/A157693,8085,340
2010-07-26$110.95$105.0021.6%6.2%26.5%25.7%22.8%4.2%1.4%43.1K-13.5M-117.3K0.6821.67N/AN/A53363,9085,363
2010-07-27$110.46$105.0021.4%6.1%26.6%24.8%25.1%4.0%1.4%1.1K-12.4M-117.9K0.4518.49N/AN/A128583,9075,375
2010-07-28$110.78$105.0021.8%6.2%21.8%26.1%22.6%3.9%1.4%64.7K-13.8M-117.7K1.4520.41N/AN/A38553,9905,412
2010-07-29$111.25$105.0021.4%6.1%21.4%24.9%26.2%3.3%2.0%118.5K-15.0M-114.2K0.6717.46N/AN/A30203,9875,407
2010-07-30$112.01$105.0020.6%5.9%20.9%22.0%19.3%3.5%2.3%192.2K-17.3M-111.7K2.5418.44N/AN/A992514,0015,415