GWW Options History — March 2011

In March 2011, GWW traded between $132.02 and $137.97. ATM implied volatility averaged 21.4%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.4% (HV 20d: 17.9%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.30.

Notable Days

  • 2011-03-02: Highest Volume — 1,850 contracts
  • 2011-03-03: Largest IV drop — 16.7% change
  • 2011-03-15: Highest IV Rank — 40.0%
  • 2011-03-15: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.76$132.02$137.97$132.02$137.68
Max Pain$130.65$130.00$135.00$135.00$130.00
ATM IV21.4%18.1%27.1%22.8%18.2%
Expected Move6.2%5.2%7.8%6.5%5.2%
HV 20d17.9%13.8%20.5%14.9%13.8%
HV 60d20.2%18.9%20.7%18.9%20.6%
IV Rank21.5%11.1%40.0%26.3%11.4%
IV Percentile40.8%9.1%81.0%59.5%9.5%
Term Structure0.7%-2.7%4.5%-0.9%1.9%
VWIV21.4%17.8%26.8%22.2%19.7%
Skew 25d4.1%1.2%6.2%2.7%3.1%
Skew 10d9.5%4.8%14.5%6.0%7.3%
Call IV 25d19.8%16.7%24.2%20.6%17.6%
Put IV 25d23.9%19.4%29.9%23.2%20.7%
Bid-Ask Spread %44.6925.0774.5054.8329.35
Gamma HHI0.270.160.450.200.43
Net GEX1.6M698.7K2.7M698.7K2.1M
Net DEX-11.7M-19.6M-2.4M-3.8M-13.6M
Net VEX-116.6K-135.6K-94.8K-100.8K-101.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.1810.702.870.91
Total Volume321.391411,85062744
Total OI9,929.9578,12011,3088,1209,580

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$132.02$135.0022.8%6.5%14.9%26.3%22.2%2.7%-0.9%698.7K-3.8M-100.8K2.8754.83N/AN/A1624654,3793,741
2011-03-02$134.75$135.0022.4%6.4%16.4%24.9%21.3%1.2%-0.1%844.0K-7.5M-114.5K1.1833.97N/AN/A8471,0034,5054,078
2011-03-03$137.38$135.0018.7%5.3%17.5%12.7%18.1%2.9%3.8%1.9M-19.6M-135.6K0.6946.16N/AN/A2541755,1854,991
2011-03-04$136.43$130.0019.6%5.9%17.8%15.8%20.1%4.6%0.7%1.7M-15.1M-135.5K0.6439.60N/AN/A2031305,2655,085
2011-03-07$135.77$130.0020.7%6.0%17.7%19.4%19.6%4.5%1.2%1.6M-13.4M-132.9K0.6238.49N/AN/A137855,3085,152
2011-03-08$136.70$130.0019.9%6.4%17.6%16.8%21.3%5.5%-1.0%1.8M-16.6M-133.6K0.5836.83N/AN/A26155,3955,229
2011-03-09$137.08$130.0020.8%6.7%17.5%19.5%20.9%5.4%-1.4%1.9M-17.2M-132.3K0.3137.71N/AN/A278865,4155,242
2011-03-10$134.41$130.0022.0%6.3%18.9%23.5%21.6%4.4%1.2%1.2M-7.7M-132.0K2.1940.64N/AN/A1102415,5305,310
2011-03-11$136.48$130.0025.0%7.2%19.7%33.3%22.7%5.5%-2.3%1.7M-14.7M-134.7K0.1863.08N/AN/A133245,5605,380
2011-03-14$135.53$130.0025.1%7.2%19.8%33.4%23.4%5.0%-2.6%1.6M-13.1M-130.7K0.1932.32N/AN/A57115,6545,384
2011-03-15$134.39$130.0027.1%7.8%19.8%40.0%26.8%6.2%-2.7%1.1M-7.9M-128.0K0.3269.28N/AN/A231745,7015,394
2011-03-16$133.12$130.0025.9%7.4%20.0%36.0%25.9%4.7%-1.4%780.4K-2.4M-124.5K0.2163.59N/AN/A207445,7975,372
2011-03-17$134.55$130.0024.3%7.0%20.4%30.9%26.5%4.8%-0.3%1.7M-8.5M-122.8K10.7071.95N/AN/A202145,8595,359
2011-03-18$135.53$130.0022.6%6.5%20.5%25.4%23.8%5.6%0.4%2.7M-15.8M-116.5K0.7250.97N/AN/A3652615,8535,455
2011-03-21$136.53$130.0021.5%6.2%20.2%21.9%21.4%2.6%2.4%1.5M-11.1M-103.8K0.2674.50N/AN/A235624,2854,324
2011-03-22$135.69$130.0021.3%6.1%19.0%21.2%21.3%3.0%0.8%1.4M-10.5M-104.5K0.6545.23N/AN/A113734,4604,383
2011-03-23$135.04$130.0019.5%5.6%17.7%15.4%20.7%3.8%2.2%1.4M-8.9M-102.4K0.9646.81N/AN/A68654,5574,422
2011-03-24$135.73$130.0019.3%5.5%17.6%14.8%18.2%4.1%2.4%1.5M-9.5M-99.8K0.3027.21N/AN/A37114,5584,430
2011-03-25$135.91$130.0019.0%5.4%17.1%13.8%19.5%4.5%3.1%1.7M-11.2M-100.8K1.5433.18N/AN/A26404,5714,441
2011-03-28$136.43$130.0019.0%5.4%16.8%13.7%19.2%3.4%2.9%1.9M-12.3M-94.8K0.7032.55N/AN/A142994,5624,461
2011-03-29$137.97$130.0018.6%5.3%16.7%12.7%20.8%4.7%2.0%2.2M-15.4M-100.2K2.2334.55N/AN/A1282864,6834,547
2011-03-30$137.28$130.0018.1%5.2%15.4%11.1%17.8%1.9%4.5%2.2M-13.6M-99.5K0.9125.07N/AN/A55504,7454,802
2011-03-31$137.68$130.0018.2%5.2%13.8%11.4%19.7%3.1%1.9%2.1M-13.6M-101.4K0.9129.35N/AN/A23214,7424,838