GWW Options History — September 2010

In September 2010, GWW traded between $109.59 and $121.01. ATM implied volatility averaged 23.2%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.7% (HV 20d: 23.9%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2010-09-13: Highest Volume — 2,034 contracts
  • 2010-09-07: Largest IV spike — 12.4% change
  • 2010-09-30: Highest IV Rank — 42.8%
  • 2010-09-30: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.36$109.59$121.01$109.59$119.11
Max Pain$108.10$105.00$110.00$105.00$110.00
ATM IV23.2%18.8%26.3%21.4%26.3%
Expected Move6.9%5.9%7.5%6.1%7.5%
HV 20d23.9%20.2%26.2%25.9%20.2%
HV 60d24.0%22.7%25.7%25.6%22.9%
IV Rank31.6%15.4%42.8%24.7%42.8%
IV Percentile48.7%11.5%71.4%32.5%71.4%
Term Structure0.8%-1.9%5.1%4.7%-1.9%
VWIV25.2%19.2%30.7%22.1%26.8%
Skew 25d5.0%3.4%6.2%3.7%4.0%
Skew 10d11.1%8.3%14.3%8.9%8.3%
Call IV 25d22.0%19.5%24.6%20.1%24.6%
Put IV 25d27.0%22.9%29.3%23.7%28.6%
Bid-Ask Spread %20.7615.2753.2353.2315.98
Gamma HHI0.250.170.380.320.19
Net GEX850.4K461.4K1.4M677.1K553.1K
Net DEX-21.7M-32.2M-9.5M-9.5M-21.9M
Net VEX-92.3K-104.9K-84.8K-104.4K-91.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.024.002.502.11
Total Volume473.7141542,034417292
Total OI8,864.3817,99410,2478,1289,219

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$109.59$105.0021.4%6.1%25.9%24.7%22.1%3.7%4.7%677.1K-9.5M-104.4K2.5053.23N/AN/A1192983,8804,248
2010-09-02$110.84$105.0020.4%5.9%26.1%21.3%19.2%3.4%5.1%831.3K-12.6M-104.9K0.0228.02N/AN/A25963,9094,347
2010-09-03$111.43$105.0018.8%7.0%26.2%15.4%29.7%5.5%1.8%1.1M-15.1M-99.5K3.9122.72N/AN/A431684,0884,345
2010-09-07$110.36$105.0021.2%7.4%26.1%24.0%25.9%5.9%1.0%1.0M-12.1M-100.8K0.7620.39N/AN/A130994,1094,386
2010-09-08$110.73$105.0020.7%7.4%25.8%22.3%27.1%5.9%0.8%1.1M-13.1M-101.2K1.5219.80N/AN/A61934,1354,452
2010-09-09$113.05$105.0023.3%6.7%24.2%31.8%30.7%6.2%2.0%1.3M-19.1M-96.7K3.7418.10N/AN/A772884,1724,489
2010-09-10$114.73$105.0023.1%6.6%24.6%31.0%25.1%5.9%1.7%1.4M-23.1M-92.7K0.6716.66N/AN/A3532354,1794,632
2010-09-13$116.56$105.0024.1%6.9%24.7%34.6%24.3%4.8%0.9%1.1M-28.2M-84.8K1.0115.44N/AN/A1,0131,0214,2254,754
2010-09-14$116.36$110.0024.6%7.1%24.6%36.7%25.2%5.2%0.7%1.2M-27.5M-91.6K2.7819.29N/AN/A1343724,6845,134
2010-09-15$118.18$110.0022.8%6.5%24.4%29.9%24.7%5.2%2.0%1.3M-31.7M-88.4K0.6818.68N/AN/A2651794,7195,230
2010-09-16$116.75$110.0025.2%7.2%25.0%38.9%24.5%4.7%0.0%824.7K-29.0M-87.5K2.0721.69N/AN/A1823764,8135,328
2010-09-17$118.74$110.0023.1%6.6%22.7%31.0%24.2%5.2%1.3%1.3M-32.2M-86.5K0.5024.18N/AN/A6523284,8505,397
2010-09-20$121.01$110.0022.8%6.5%23.0%30.0%22.4%4.4%-1.4%531.5K-24.4M-86.2K0.9818.15N/AN/A1751713,6114,383
2010-09-21$119.74$110.0023.7%6.8%23.6%33.4%25.2%4.9%0.1%551.0K-22.9M-86.9K1.3615.27N/AN/A2803823,6954,395
2010-09-22$118.45$110.0023.9%6.9%22.0%34.1%27.1%5.0%0.3%475.0K-20.2M-90.5K0.9417.10N/AN/A81763,8244,620
2010-09-23$117.74$110.0023.9%6.9%22.1%34.2%26.4%5.4%-0.3%461.4K-18.5M-92.3K4.0019.51N/AN/A642563,8394,616
2010-09-24$120.74$110.0023.8%6.8%23.0%33.8%23.8%4.4%-0.4%522.5K-24.2M-87.1K1.2518.36N/AN/A1591993,8814,731
2010-09-27$119.35$110.0025.0%7.2%23.5%38.1%24.9%4.9%-1.0%520.1K-22.4M-85.5K0.5617.80N/AN/A175983,9764,833
2010-09-28$120.62$110.0024.9%7.1%22.5%37.6%25.5%4.7%-0.8%591.2K-24.9M-86.5K1.4817.68N/AN/A1972914,0514,859
2010-09-29$119.56$110.0024.9%7.1%22.8%37.7%24.0%4.8%-0.5%553.0K-22.4M-92.0K0.5317.84N/AN/A1971044,1444,970
2010-09-30$119.11$110.0026.3%7.5%20.2%42.8%26.8%4.0%-1.9%553.1K-21.9M-91.9K2.1115.98N/AN/A941984,1865,033