GWW Options History — December 2010

In December 2010, GWW traded between $127.27 and $138.65. ATM implied volatility averaged 17.2%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.7% (HV 20d: 15.6%). Max pain ranged from $120.00 to $130.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 9.90.

Notable Days

  • 2010-12-07: Highest Volume — 2,752 contracts
  • 2010-12-13: Largest IV spike — 21.1% change
  • 2010-12-01: Highest IV Rank — 17.6%
  • 2010-12-06: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.12$127.27$138.65$127.27$138.11
Max Pain$126.59$120.00$130.00$125.00$130.00
ATM IV17.2%14.7%20.1%20.1%16.5%
Expected Move5.1%4.2%5.9%5.8%4.7%
HV 20d15.6%7.6%18.8%15.8%7.6%
HV 60d17.4%15.3%19.4%18.5%15.3%
IV Rank8.3%0.2%17.6%17.6%6.0%
IV Percentile8.4%0.4%27.8%27.8%7.1%
Term Structure3.8%1.8%4.9%1.8%3.8%
VWIV19.6%15.9%22.5%19.4%22.5%
Skew 25d3.8%1.8%4.8%4.8%3.6%
Skew 10d8.9%7.2%12.6%12.6%8.1%
Call IV 25d16.5%14.4%18.7%16.6%16.3%
Put IV 25d20.3%18.5%22.4%21.4%19.9%
Bid-Ask Spread %26.6916.6777.3421.2120.95
Gamma HHI0.320.260.400.340.26
Net GEX1.4M602.8K2.9M2.7M602.8K
Net DEX-49.6M-69.6M-30.0M-30.0M-38.7M
Net VEX-106.0K-121.1K-93.0K-121.1K-101.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.900.07163.600.382.19
Total Volume610.727232,7525062,297
Total OI11,816.4559,98314,65310,66511,098

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$127.27$125.0020.1%5.8%15.8%17.6%19.4%4.8%1.8%2.7M-30.0M-121.1K0.3821.21N/AN/A3661405,7544,911
2010-12-02$131.16$125.0017.7%5.1%18.8%9.9%17.1%1.8%2.8%2.9M-49.1M-105.3K2.1221.97N/AN/A1002125,9324,965
2010-12-03$131.59$125.0017.4%5.0%18.3%8.9%17.7%2.0%3.1%2.7M-50.2M-106.7K0.6416.67N/AN/A4602966,0005,151
2010-12-06$131.95$120.0018.4%5.9%17.7%12.0%21.5%3.2%3.8%2.8M-52.0M-106.5K0.9631.85N/AN/A24236,3065,314
2010-12-07$132.63$120.0017.7%5.2%17.3%9.8%20.0%4.2%4.6%2.7M-55.5M-101.1K0.6933.09N/AN/A1,6261,1266,3425,319
2010-12-08$132.13$120.0018.6%5.7%16.9%12.6%21.0%3.8%4.3%1.7M-52.3M-118.3K3.6429.71N/AN/A1184296,7526,311
2010-12-09$132.35$120.0017.4%5.7%16.9%8.9%19.6%3.6%3.9%2.0M-56.5M-109.8K8.6826.82N/AN/A282436,8166,151
2010-12-10$133.67$120.0016.0%5.3%17.1%4.2%22.2%3.8%4.9%2.0M-63.0M-102.3K12.6527.06N/AN/A202536,8136,001
2010-12-13$133.77$120.0019.3%5.5%16.5%15.1%21.2%4.4%3.5%2.1M-63.7M-97.4K2.0921.99N/AN/A7941,6566,8205,876
2010-12-14$134.83$130.0018.9%5.4%16.5%13.6%21.7%4.2%4.2%999.9K-61.4M-120.1K1.9026.78N/AN/A52996,8627,417
2010-12-15$135.38$130.0019.0%5.5%16.0%14.1%20.5%4.4%4.0%900.7K-64.5M-116.5K0.9926.91N/AN/A77766,8837,504
2010-12-16$136.80$130.0018.9%5.4%16.2%13.5%17.3%3.9%4.0%769.8K-69.6M-114.6K0.1525.69N/AN/A190286,9367,572
2010-12-17$136.19$130.0018.3%5.2%16.5%11.8%21.8%3.5%4.7%806.9K-69.1M-115.0K0.5017.12N/AN/A44227,0667,587
2010-12-20$137.30$130.0017.1%4.9%16.5%7.8%17.3%3.8%3.5%931.8K-39.5M-102.3K0.6821.48N/AN/A6124164,4975,486
2010-12-21$138.50$130.0015.2%4.4%16.6%1.8%18.3%4.6%3.6%625.4K-39.1M-103.9K1.5921.03N/AN/A921464,4995,751
2010-12-22$138.01$130.0015.2%4.4%15.2%1.8%17.0%3.6%3.5%629.6K-38.2M-102.0K2.9319.26N/AN/A30884,5205,797
2010-12-23$138.07$130.0014.7%4.2%14.1%0.2%22.4%3.9%4.2%631.3K-38.7M-101.2K10.5025.70N/AN/A2214,5315,839
2010-12-27$138.65$130.0015.8%4.5%13.4%3.7%17.1%3.8%3.6%625.9K-40.8M-93.8K0.6677.34N/AN/A56374,5325,860
2010-12-28$138.01$130.0015.5%4.4%13.3%2.8%15.9%3.8%4.1%657.2K-39.7M-93.0K0.2827.45N/AN/A210594,5505,876
2010-12-29$137.95$130.0015.6%4.5%13.2%2.9%21.3%4.6%3.3%876.4K-39.5M-98.8K163.6020.52N/AN/A58184,7485,935
2010-12-30$138.29$130.0015.9%4.6%12.2%4.1%18.2%4.3%3.6%608.3K-39.3M-101.4K0.0726.50N/AN/A4234,7496,333
2010-12-31$138.11$130.0016.5%4.7%7.6%6.0%22.5%3.6%3.8%602.8K-38.7M-101.2K2.1920.95N/AN/A7191,5784,7626,336