GWW Options History — November 2010

In November 2010, GWW traded between $124.06 and $128.19. ATM implied volatility averaged 20.5%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.1% (HV 20d: 16.4%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 15.94.

Notable Days

  • 2010-11-17: Highest Volume — 5,500 contracts
  • 2010-11-24: Largest IV drop — 9.2% change
  • 2010-11-16: Highest IV Rank — 26.9%
  • 2010-11-16: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$125.64$124.06$128.19$124.37$124.93
Max Pain$123.33$115.00$125.00$115.00$125.00
ATM IV20.5%17.6%23.0%21.8%19.8%
Expected Move5.9%5.1%6.6%6.3%5.7%
HV 20d16.4%13.9%20.1%20.1%14.5%
HV 60d20.2%18.3%22.2%22.2%18.3%
IV Rank18.7%9.6%26.9%23.2%16.7%
IV Percentile29.3%5.6%55.2%41.7%25.0%
Term Structure1.3%0.0%2.8%0.1%1.8%
VWIV21.3%17.7%26.9%22.0%19.9%
Skew 25d3.3%2.3%4.2%2.3%3.4%
Skew 10d8.1%5.1%12.3%5.1%9.1%
Call IV 25d19.3%16.0%21.6%21.4%18.9%
Put IV 25d22.6%19.1%25.7%23.7%22.2%
Bid-Ask Spread %32.3221.9347.5329.5925.78
Gamma HHI0.310.270.410.280.33
Net GEX1.8M109.1K2.5M1.6M2.2M
Net DEX-25.6M-38.8M-15.0M-24.1M-19.0M
Net VEX-102.1K-122.9K-76.1K-78.1K-122.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.940.08212.501.631.32
Total Volume861.81205,500405473
Total OI9,557.0487,45813,3297,45810,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$124.37$115.0021.8%6.3%20.1%23.2%22.0%2.3%0.1%1.6M-24.1M-78.1K1.6329.59N/AN/A1542514,0033,455
2010-11-02$125.19$120.0021.4%6.1%17.7%21.7%21.2%2.5%0.4%1.5M-25.5M-76.1K0.9338.52N/AN/A70654,0443,666
2010-11-03$124.62$120.0020.6%5.9%17.6%19.3%20.6%2.4%0.9%1.5M-23.0M-81.3K0.1540.87N/AN/A1,1641764,0783,696
2010-11-04$126.34$120.0019.8%5.7%18.0%16.4%18.3%2.5%0.8%1.7M-26.9M-92.0K0.1131.91N/AN/A272304,1683,805
2010-11-05$128.19$120.0021.3%5.6%18.5%21.3%18.0%2.9%1.6%1.7M-31.8M-87.9K0.1825.16N/AN/A7141254,2163,830
2010-11-08$127.03$120.0019.9%5.9%18.9%17.0%21.8%3.4%1.3%2.1M-32.4M-84.5K75.6722.42N/AN/A32274,5833,884
2010-11-09$125.82$125.0019.8%6.0%19.3%16.6%24.4%3.8%0.6%1.9M-27.5M-87.5K1.3726.15N/AN/A59814,5854,103
2010-11-10$126.37$125.0019.9%5.9%18.8%16.8%22.5%3.6%0.7%2.0M-29.0M-85.8K19.0025.60N/AN/A1194,5814,172
2010-11-11$126.70$125.0021.1%6.0%15.0%20.6%24.5%3.9%0.9%2.0M-30.3M-84.1K0.5833.75N/AN/A8134734,5814,163
2010-11-12$125.50$125.0022.4%6.4%15.5%25.0%22.0%3.8%0.2%2.1M-27.7M-106.9K5.3232.54N/AN/A2591,3795,1334,530
2010-11-15$125.37$125.0022.3%6.4%15.4%24.8%26.9%4.2%0.8%2.4M-29.1M-101.7K212.5030.29N/AN/A61,2755,3494,771
2010-11-16$124.53$125.0023.0%6.6%15.3%26.9%26.0%4.1%0.0%109.1K-15.3M-110.6K1.2031.49N/AN/A4905885,3495,920
2010-11-17$124.86$125.0021.6%6.2%14.7%22.3%21.3%4.0%1.7%1.6M-23.7M-104.4K1.3947.53N/AN/A2,3003,2005,5405,291
2010-11-18$125.24$125.0021.0%6.0%14.4%20.5%22.0%3.5%1.5%1.1M-27.9M-122.3K0.7136.44N/AN/A1551106,5896,576
2010-11-19$125.78$125.0019.8%5.7%13.9%16.7%19.9%3.2%2.1%1.2M-38.8M-117.4K0.0826.49N/AN/A1,3161036,6986,631
2010-11-22$125.95$125.0019.7%5.6%13.9%16.3%20.1%3.2%1.6%2.0M-22.0M-119.9K0.7343.37N/AN/A2301674,9654,298
2010-11-23$124.06$125.0019.4%5.6%14.8%15.3%21.0%3.5%2.3%1.6M-15.0M-121.7K0.8739.14N/AN/A110965,1404,364
2010-11-24$126.70$125.0017.6%5.1%16.3%9.6%17.7%3.1%2.8%2.3M-24.6M-122.3K0.3540.75N/AN/A4851685,1654,402
2010-11-26$125.75$125.0018.3%5.2%16.6%11.8%18.4%2.6%2.7%2.5M-24.3M-122.9K9.2028.99N/AN/A5465,5484,450
2010-11-29$125.06$125.0019.1%5.5%14.6%14.2%19.4%3.9%2.3%2.4M-20.7M-115.3K1.4721.93N/AN/A1782625,5474,449
2010-11-30$124.93$125.0019.8%5.7%14.5%16.7%19.9%3.4%1.8%2.2M-19.0M-122.2K1.3225.78N/AN/A2042695,6794,701