GWW Options History — August 2010

In August 2010, GWW traded between $105.79 and $115.44. ATM implied volatility averaged 22.8%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.8% (HV 20d: 21.9%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.73.

Notable Days

  • 2010-08-04: Highest Volume — 16,167 contracts
  • 2010-08-27: Largest IV drop — 17.2% change
  • 2010-08-26: Highest IV Rank — 41.7%
  • 2010-08-26: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.18$105.79$115.44$114.16$105.79
Max Pain$109.32$105.00$110.00$105.00$110.00
ATM IV22.8%18.9%26.0%20.1%24.8%
Expected Move6.7%5.5%7.4%5.8%7.1%
HV 20d21.9%20.2%24.0%20.8%23.0%
HV 60d27.9%24.8%30.7%30.7%24.8%
IV Rank29.9%15.4%41.7%19.9%37.4%
IV Percentile42.3%11.5%63.9%20.2%57.5%
Term Structure3.0%1.1%4.8%1.1%4.8%
VWIV25.5%20.5%35.8%20.8%24.2%
Skew 25d4.8%3.0%6.3%3.5%4.6%
Skew 10d9.6%6.0%12.5%6.8%9.6%
Call IV 25d21.4%18.2%23.6%19.1%22.9%
Put IV 25d26.2%21.5%29.0%22.7%27.5%
Bid-Ask Spread %18.6012.2331.0313.6230.71
Gamma HHI0.210.130.390.160.23
Net GEX-69.1K-852.3K455.8K413.8K128.1K
Net DEX-7.6M-25.8M1.9M-23.0M-325.7K
Net VEX-106.3K-117.3K-95.7K-102.1K-104.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.730.0120.032.400.23
Total Volume1,003.4095716,167292413
Total OI9,283.6827,21510,8339,7497,894

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$114.16$105.0020.1%5.8%20.8%19.9%20.8%3.5%1.1%413.8K-23.0M-102.1K2.4013.62N/AN/A862064,0965,653
2010-08-03$113.54$105.0019.6%5.6%20.8%18.1%21.6%3.3%1.6%342.3K-21.5M-103.0K2.0014.07N/AN/A19384,0835,717
2010-08-04$115.44$105.0019.0%5.5%20.2%16.1%35.8%3.3%2.1%455.8K-25.8M-95.7K0.0116.04N/AN/A16,0531144,0855,739
2010-08-05$114.09$110.0020.1%5.8%20.9%20.0%20.5%3.0%1.8%20.3K-13.2M-96.7K20.0316.66N/AN/A387613,1525,834
2010-08-06$114.03$110.0018.9%6.2%20.8%15.4%0.0%5.0%2.5%-219.8K-11.4M-104.8K0.3312.88N/AN/A122403,1436,476
2010-08-09$115.00$110.0019.5%6.3%20.8%17.7%30.1%4.9%2.2%-79.9K-14.4M-101.8K1.1712.81N/AN/A941103,2326,486
2010-08-10$113.38$110.0020.0%6.4%21.5%19.8%23.2%5.4%2.7%-143.0K-10.9M-105.3K17.0814.53N/AN/A132223,2866,468
2010-08-11$109.85$110.0022.3%7.0%23.9%28.3%24.4%5.9%2.4%-852.3K-631.7K-112.0K0.6112.23N/AN/A6043713,2936,642
2010-08-12$110.74$110.0024.6%7.0%21.8%36.6%25.5%6.3%2.9%-293.6K-7.4M-115.5K1.9813.92N/AN/A1242453,7266,534
2010-08-13$109.66$110.0024.3%7.0%21.0%35.5%30.2%6.0%3.5%-605.9K-4.1M-117.3K11.4312.73N/AN/A7803,7206,696
2010-08-16$109.22$110.0024.8%7.1%21.0%37.3%27.4%5.7%2.7%-728.5K-2.3M-113.8K6.4315.61N/AN/A301933,7276,776
2010-08-17$111.24$110.0024.1%6.9%21.6%35.0%24.5%5.1%3.1%-159.7K-9.6M-109.5K1.4420.03N/AN/A36523,7286,842
2010-08-18$111.18$110.0024.1%6.9%21.6%34.7%24.4%5.3%2.6%-161.3K-9.9M-107.5K0.9817.41N/AN/A49483,7456,859
2010-08-19$108.11$110.0024.3%7.0%22.3%35.6%26.3%6.0%3.2%-817.2K1.5M-108.9K1.3923.01N/AN/A3134343,7496,900
2010-08-20$107.68$110.0023.6%6.8%21.9%32.9%26.0%5.1%3.4%-16.4K1.9M-107.4K7.0023.90N/AN/A8563,8506,983
2010-08-23$108.88$110.0022.4%6.4%21.8%28.7%22.9%4.6%4.1%325.9K-6.1M-103.3K0.8025.09N/AN/A1521223,3283,887
2010-08-24$106.35$110.0025.9%7.4%23.2%41.6%25.2%4.9%2.9%154.8K-1.7M-106.1K0.7322.96N/AN/A1531113,4323,971
2010-08-25$105.86$110.0025.8%7.4%23.2%41.1%29.6%4.8%3.7%112.0K-323.7K-107.7K1.4119.94N/AN/A44623,4994,031
2010-08-26$105.79$110.0026.0%7.4%23.1%41.7%26.7%4.5%4.0%119.0K-1.0M-107.2K0.9720.67N/AN/A71693,5424,058
2010-08-27$107.72$110.0021.5%6.2%24.0%25.2%23.8%4.5%4.2%314.3K-4.2M-106.6K1.7219.42N/AN/A43743,5994,051
2010-08-30$106.30$110.0025.1%7.2%23.0%38.4%22.7%4.5%3.7%170.7K-2.0M-102.7K1.8731.03N/AN/A681273,6264,103
2010-08-31$105.79$110.0024.8%7.1%23.0%37.4%24.2%4.6%4.8%128.1K-325.7K-104.8K0.2330.71N/AN/A335783,6864,208