GWW Options History — February 2011

In February 2011, GWW traded between $130.07 and $135.87. ATM implied volatility averaged 19.1%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 4.8% (HV 20d: 23.9%). Max pain ranged from $130.00 to $140.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.87.

Notable Days

  • 2011-02-09: Highest Volume — 2,561 contracts
  • 2011-02-23: Largest IV spike — 32.1% change
  • 2011-02-23: Highest IV Rank — 36.1%
  • 2011-02-23: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.57$130.07$135.87$132.32$133.21
Max Pain$135.00$130.00$140.00$140.00$135.00
ATM IV19.1%16.5%25.9%20.2%18.6%
Expected Move5.6%5.2%7.4%5.8%5.3%
HV 20d23.9%14.8%28.2%28.1%14.8%
HV 60d19.7%19.5%20.0%20.0%19.8%
IV Rank14.2%5.7%36.1%17.6%12.4%
IV Percentile22.8%4.4%77.0%32.9%15.9%
Term Structure0.8%-2.4%2.1%0.2%2.1%
VWIV19.3%17.3%22.2%20.8%20.0%
Skew 25d3.2%-0.6%4.1%3.6%2.7%
Skew 10d6.4%1.1%12.2%8.3%4.7%
Call IV 25d18.0%16.5%22.1%18.2%18.4%
Put IV 25d21.2%20.2%22.8%21.9%21.1%
Bid-Ask Spread %25.9311.0651.7827.6925.54
Gamma HHI0.190.130.310.210.18
Net GEX533.6K80.2K1.6M213.3K895.3K
Net DEX8.0M-6.1M18.4M16.4M-4.7M
Net VEX-113.6K-134.8K-98.2K-114.9K-109.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.082.870.961.15
Total Volume455.211392,561225217
Total OI10,027.6327,26112,1089,5798,051

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$132.32$140.0020.2%5.8%28.1%17.6%20.8%3.6%0.2%213.3K16.4M-114.9K0.9627.69N/AN/A1151104,4505,129
2011-02-02$131.73$140.0019.9%5.7%28.1%16.6%19.4%3.5%0.3%115.7K18.4M-111.9K2.8722.90N/AN/A15434,4685,238
2011-02-03$132.36$140.0019.3%5.5%28.2%14.9%19.3%3.2%0.6%347.3K16.6M-109.2K0.9724.29N/AN/A1131104,4715,200
2011-02-04$133.45$130.0016.7%5.2%25.3%6.4%17.8%3.9%1.7%335.4K12.6M-113.5K1.6415.60N/AN/A1913134,4685,207
2011-02-07$134.66$130.0016.9%5.3%25.3%6.9%18.7%3.8%1.1%148.6K9.5M-114.5K0.8113.80N/AN/A4343504,5235,412
2011-02-08$135.44$130.0016.8%5.3%25.4%6.7%17.7%3.6%1.1%80.2K7.2M-114.4K0.5111.06N/AN/A2841444,7235,629
2011-02-09$135.28$135.0016.5%5.3%25.3%5.7%19.1%3.5%1.2%128.1K7.9M-116.9K0.1519.01N/AN/A2,2333284,9205,755
2011-02-10$135.87$135.0018.7%5.4%25.3%12.9%18.6%3.3%1.3%174.0K8.7M-125.9K0.0822.46N/AN/A1,2931015,2196,050
2011-02-11$135.73$135.0019.0%5.5%25.3%13.9%19.1%3.5%0.4%1.6M2.9M-134.8K0.3723.73N/AN/A2891076,0556,053
2011-02-14$134.48$135.0018.8%5.4%25.3%13.2%18.5%3.8%0.3%602.6K12.2M-121.9K0.8623.08N/AN/A21185,6366,075
2011-02-15$134.00$135.0018.7%5.4%25.0%12.9%19.0%3.8%0.9%586.3K15.2M-115.9K0.6523.93N/AN/A31205,6376,084
2011-02-16$134.22$135.0018.6%5.3%24.9%12.4%17.9%3.7%0.8%619.6K15.5M-112.9K0.5825.11N/AN/A84495,6576,088
2011-02-17$134.00$135.0018.5%5.3%24.8%12.1%17.3%3.5%1.1%844.8K17.5M-108.3K0.1529.82N/AN/A107165,6676,094
2011-02-18$135.66$135.0018.3%5.3%25.2%11.6%17.8%3.7%1.9%1.1M2.5M-109.9K0.1429.61N/AN/A219305,6956,047
2011-02-22$133.01$135.0019.6%5.6%23.9%15.7%21.0%4.1%0.4%1.0M-6.1M-98.2K1.6339.57N/AN/A1632664,0273,234
2011-02-23$130.53$135.0025.9%7.4%17.8%36.1%22.2%-0.6%-2.4%506.0K-650.1K-108.1K1.6151.78N/AN/A1842974,1703,464
2011-02-24$130.07$135.0021.8%6.2%17.8%22.8%21.8%1.8%0.4%318.9K1.6M-109.3K0.8142.17N/AN/A1741414,2483,623
2011-02-25$131.72$135.0020.7%5.9%17.7%19.3%20.0%2.9%1.5%514.8K-582.7K-108.4K0.7021.43N/AN/A23164,3403,718
2011-02-28$133.21$135.0018.6%5.3%14.8%12.4%20.0%2.7%2.1%895.3K-4.7M-109.4K1.1525.54N/AN/A1011164,3333,718