GWW Options History — January 2011

In January 2011, GWW traded between $130.21 and $139.54. ATM implied volatility averaged 20.1%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.3% (HV 20d: 17.8%). Max pain ranged from $130.00 to $140.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2011-01-24: Highest Volume — 3,340 contracts
  • 2011-01-06: Largest IV spike — 21.1% change
  • 2011-01-19: Highest IV Rank — 25.5%
  • 2011-01-07: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.92$130.21$139.54$139.54$131.47
Max Pain$135.25$130.00$140.00$130.00$140.00
ATM IV20.1%16.5%22.6%16.5%20.5%
Expected Move5.9%4.7%6.5%4.7%5.9%
HV 20d17.8%8.1%28.3%8.1%28.3%
HV 60d16.9%15.3%20.1%15.3%20.1%
IV Rank17.5%6.1%25.5%6.1%18.8%
IV Percentile32.8%7.5%54.8%7.5%35.3%
Term Structure0.6%-1.8%3.8%3.8%0.2%
VWIV20.8%17.5%24.3%17.5%19.6%
Skew 25d4.6%3.0%6.0%3.1%4.4%
Skew 10d10.1%4.9%13.4%8.0%8.3%
Call IV 25d19.1%16.0%21.2%16.0%18.3%
Put IV 25d23.7%19.1%27.2%19.1%22.7%
Bid-Ask Spread %29.8422.1158.0029.7732.10
Gamma HHI0.290.160.700.350.19
Net GEX1.2M-379.6K6.5M1.1M86.9K
Net DEX-23.5M-48.8M17.7M-48.8M17.6M
Net VEX-111.0K-128.3K-94.4K-105.6K-113.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.213.880.861.51
Total Volume653.65783,340190326
Total OI11,430.15,50213,30711,7189,381

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$139.54$130.0016.5%4.7%8.1%6.1%17.5%3.1%3.8%1.1M-48.8M-105.6K0.8629.77N/AN/A102885,4396,279
2011-01-04$139.23$130.0017.3%5.0%8.3%8.6%20.2%3.2%2.5%1.2M-45.9M-108.6K0.6422.43N/AN/A5593585,4766,335
2011-01-05$138.68$130.0017.3%5.0%8.6%8.6%18.7%3.0%2.9%1.4M-46.8M-115.3K0.9627.69N/AN/A79765,8066,373
2011-01-06$133.66$130.0021.0%6.0%16.2%20.4%23.0%4.4%2.2%916.9K-26.8M-124.4K1.8727.96N/AN/A3356285,8456,449
2011-01-07$132.60$135.0019.6%6.5%16.5%15.8%24.3%5.4%0.2%652.2K-21.2M-128.3K2.1224.52N/AN/A1312785,9846,815
2011-01-10$132.66$135.0021.0%6.4%16.1%20.2%22.9%6.0%0.2%586.5K-22.7M-122.4K0.9625.41N/AN/A1241195,9936,978
2011-01-11$133.54$135.0019.0%6.4%16.3%13.7%21.4%5.0%-0.3%751.6K-26.8M-120.8K0.8322.11N/AN/A52436,0906,994
2011-01-12$134.46$135.0018.7%6.2%16.2%12.7%21.5%5.4%0.3%963.5K-32.7M-115.7K0.2825.80N/AN/A1,0472966,0976,993
2011-01-13$134.78$135.0021.8%6.2%16.2%22.9%20.9%5.5%0.2%1.2M-35.7M-112.5K1.1825.35N/AN/A38456,0786,864
2011-01-14$135.90$135.0021.8%6.2%16.0%22.7%19.8%5.1%0.7%1.4M-41.9M-105.9K1.9926.26N/AN/A701396,0886,833
2011-01-18$137.20$135.0022.2%6.4%16.3%24.3%19.9%4.9%0.5%1.5M-48.5M-95.5K0.2131.00N/AN/A141296,1116,824
2011-01-19$136.08$135.0022.6%6.5%16.3%25.5%21.7%5.6%-1.0%1.7M-44.9M-95.5K1.1624.63N/AN/A1932236,1906,809
2011-01-20$135.20$135.0022.1%6.3%16.1%23.9%23.2%5.5%-0.2%2.5M-42.4M-97.7K0.5337.49N/AN/A51276,3236,964
2011-01-21$135.31$135.0022.0%6.3%16.1%23.6%21.3%5.3%-0.8%6.5M-45.1M-94.4K2.5724.53N/AN/A962476,3316,976
2011-01-24$139.16$135.0022.0%6.3%19.1%23.5%22.3%4.9%-1.8%1.1M-15.8M-95.2K3.8858.00N/AN/A6842,6563,1492,353
2011-01-25$132.56$140.0018.5%5.3%25.7%12.3%19.2%3.5%0.9%-379.6K14.6M-111.1K0.6848.96N/AN/A1,4199663,4704,597
2011-01-26$132.18$140.0019.7%5.7%25.7%16.2%18.1%4.3%0.9%-17.8K16.0M-120.8K1.3530.34N/AN/A2343154,2764,879
2011-01-27$133.99$140.0017.6%5.0%26.3%9.3%18.7%3.5%0.8%206.4K10.4M-124.5K0.3125.44N/AN/A223694,2544,802
2011-01-28$130.21$140.0021.0%6.0%28.0%20.3%21.1%4.5%-0.3%-30.1K17.7M-113.2K0.9027.00N/AN/A2982694,2764,828
2011-01-31$131.47$140.0020.5%5.9%28.3%18.8%19.6%4.4%0.2%86.9K17.6M-113.2K1.5132.10N/AN/A1301964,3615,020