GWW Options History — October 2010

In October 2010, GWW traded between $118.25 and $125.31. ATM implied volatility averaged 25.4%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.8% (HV 20d: 20.6%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.01.

Notable Days

  • 2010-10-13: Highest Volume — 3,278 contracts
  • 2010-10-14: Largest IV drop — 46.5% change
  • 2010-10-13: Highest IV Rank — 100.0%
  • 2010-10-13: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.16$118.25$125.31$119.13$124.03
Max Pain$115.95$110.00$120.00$110.00$115.00
ATM IV25.4%20.6%45.6%24.9%20.8%
Expected Move6.6%5.9%7.6%7.1%6.0%
HV 20d20.6%18.7%22.7%20.1%20.4%
HV 60d22.3%21.7%23.3%22.7%22.2%
IV Rank36.9%19.2%100.0%37.9%19.7%
IV Percentile58.4%27.8%100.0%65.1%30.6%
Term Structure0.5%-1.5%1.8%-1.5%0.6%
VWIV23.4%20.3%26.8%26.1%22.9%
Skew 25d4.3%2.9%6.3%3.9%3.4%
Skew 10d8.3%6.2%12.3%12.3%6.6%
Call IV 25d21.4%20.0%24.4%24.1%20.2%
Put IV 25d25.7%23.2%29.0%28.0%23.5%
Bid-Ask Spread %20.359.4740.8211.4340.82
Gamma HHI0.270.190.410.200.28
Net GEX791.1K-486.8K1.5M526.4K1.5M
Net DEX-21.6M-34.1M-11.2M-22.2M-22.5M
Net VEX-85.8K-91.3K-80.9K-87.2K-85.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0510.833.465.85
Total Volume600.095263,27858137
Total OI8,676.0485,92612,5399,3627,445

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$119.13$110.0024.9%7.1%20.1%37.9%26.1%3.9%-1.5%526.4K-22.2M-87.2K3.4611.43N/AN/A13454,2285,134
2010-10-04$118.25$120.0026.3%6.9%20.5%43.1%21.1%6.3%0.8%449.7K-19.2M-91.1K0.0515.18N/AN/A3724,2315,151
2010-10-05$121.69$120.0026.5%6.9%21.8%43.7%26.8%5.6%0.5%680.3K-27.7M-83.0K0.4410.64N/AN/A3151404,2275,152
2010-10-06$122.62$120.0025.3%6.3%21.8%39.1%23.8%5.3%1.2%898.9K-29.9M-83.2K0.4111.34N/AN/A5242164,3835,239
2010-10-07$121.99$120.0029.0%7.1%21.3%53.0%25.4%5.5%0.5%726.8K-28.6M-83.6K1.389.47N/AN/A1622244,3985,244
2010-10-08$123.00$120.0026.5%6.3%21.0%43.5%26.6%4.9%1.6%838.0K-30.9M-81.7K0.3211.21N/AN/A7392344,4455,324
2010-10-11$123.14$115.0029.9%6.6%20.4%56.4%21.6%5.0%0.9%969.2K-30.7M-82.9K2.0011.42N/AN/A3156294,4895,444
2010-10-12$123.70$115.0032.6%6.5%20.4%66.3%23.8%4.9%1.8%636.2K-29.8M-86.8K1.8812.57N/AN/A2935504,6145,887
2010-10-13$125.31$115.0045.6%7.6%20.2%100.0%25.5%4.6%-1.5%664.7K-34.1M-84.3K0.7815.36N/AN/A1,8391,4394,6755,993
2010-10-14$121.64$115.0024.4%7.0%22.7%31.5%25.2%4.3%0.7%-486.8K-17.2M-91.1K1.8617.85N/AN/A6471,2055,5756,964
2010-10-15$121.32$115.0024.5%7.0%22.1%31.9%23.7%3.9%-0.0%-185.8K-19.3M-86.8K1.3513.13N/AN/A3554785,5346,791
2010-10-18$122.18$115.0023.4%6.7%21.2%28.1%23.3%4.0%0.9%543.9K-11.2M-82.0K0.1418.17N/AN/A533772,8373,089
2010-10-19$121.16$115.0022.8%6.5%21.1%26.4%22.0%4.1%0.7%857.1K-13.2M-91.3K0.5822.22N/AN/A3972303,3613,152
2010-10-20$122.74$115.0020.9%6.0%21.1%20.2%20.5%4.1%0.9%1.1M-16.9M-90.8K0.3023.07N/AN/A63193,5643,291
2010-10-21$123.82$115.0020.9%6.0%21.0%20.2%22.2%3.5%0.8%1.2M-19.7M-83.5K0.4428.79N/AN/A72323,5723,288
2010-10-22$122.61$115.0020.6%5.9%19.6%19.2%21.6%3.4%0.9%1.2M-17.7M-83.8K0.9626.29N/AN/A26253,6183,314
2010-10-25$122.72$115.0021.4%6.1%19.1%21.8%24.8%3.7%-0.0%1.2M-17.3M-86.6K8.7034.59N/AN/A10873,6363,334
2010-10-26$121.76$115.0022.4%6.4%19.0%24.8%22.6%3.9%0.6%1.1M-15.2M-87.2K10.8332.00N/AN/A6653,6453,392
2010-10-27$121.42$115.0022.4%6.4%18.7%25.0%22.5%3.2%0.1%1.0M-14.7M-80.9K0.0630.81N/AN/A375213,6513,442
2010-10-28$121.10$115.0021.9%6.3%18.7%23.2%20.3%2.9%1.0%1.3M-16.0M-89.2K0.4430.95N/AN/A1883,9913,453
2010-10-29$124.03$115.0020.8%6.0%20.4%19.7%22.9%3.4%0.6%1.5M-22.5M-85.4K5.8540.82N/AN/A201173,9903,455