GWW Options History — April 2011

In April 2011, GWW traded between $140.88 and $151.60. ATM implied volatility averaged 18.9%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.1% (HV 20d: 14.8%). Max pain ranged from $130.00 to $140.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2011-04-18: Highest Volume — 2,742 contracts
  • 2011-04-11: Largest IV spike — 10.3% change
  • 2011-04-13: Highest IV Rank — 26.5%
  • 2011-04-12: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$145.41$140.88$151.60$140.88$151.60
Max Pain$139.50$130.00$140.00$130.00$140.00
ATM IV18.9%16.6%22.9%18.5%16.6%
Expected Move5.6%4.7%6.5%5.3%4.7%
HV 20d14.8%13.0%16.6%15.7%15.4%
HV 60d18.7%15.7%21.1%21.1%15.7%
IV Rank13.4%5.9%26.5%12.1%5.9%
IV Percentile20.6%4.4%60.3%11.5%4.4%
Term Structure0.3%-0.9%2.4%2.4%0.8%
VWIV19.6%16.5%24.7%16.6%17.7%
Skew 25d2.8%1.3%5.1%5.1%1.3%
Skew 10d6.9%3.8%12.2%12.2%8.5%
Call IV 25d18.5%16.0%21.4%17.1%16.2%
Put IV 25d21.4%17.5%24.7%22.1%17.5%
Bid-Ask Spread %34.8621.2856.8327.6326.91
Gamma HHI0.320.210.460.420.28
Net GEX1.9M637.2K3.6M3.0M1.4M
Net DEX-23.0M-33.8M-15.4M-23.1M-24.8M
Net VEX-101.6K-122.4K-86.6K-99.3K-119.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.022.500.201.08
Total Volume679.61032,742296279
Total OI9,0306,15412,2349,5998,084

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$140.88$130.0018.5%5.3%15.7%12.1%16.6%5.1%2.4%3.0M-23.1M-99.3K0.2027.63N/AN/A246504,7424,857
2011-04-04$140.95$140.0018.9%6.0%15.6%13.6%19.2%4.3%0.0%3.2M-24.0M-98.1K0.1221.28N/AN/A182224,8634,885
2011-04-05$141.52$140.0018.7%6.1%15.5%12.9%22.8%4.3%-0.4%3.6M-28.0M-95.9K1.9230.32N/AN/A3346404,9634,882
2011-04-06$144.20$140.0018.9%5.9%16.6%13.6%20.6%3.5%0.2%2.9M-33.8M-97.8K1.6426.47N/AN/A4076674,8265,421
2011-04-07$143.82$140.0017.7%6.0%14.6%9.7%19.7%4.0%-0.1%2.0M-30.8M-105.1K0.1330.14N/AN/A314415,0155,986
2011-04-08$143.17$140.0019.3%5.9%14.1%14.8%20.4%3.5%-0.0%2.0M-27.0M-107.7K0.1329.53N/AN/A567725,1296,020
2011-04-11$143.52$140.0021.3%6.2%13.7%21.2%21.2%2.7%-0.5%2.2M-28.5M-101.7K0.0832.59N/AN/A294235,3306,051
2011-04-12$141.96$140.0022.1%6.5%14.0%23.7%21.9%2.8%-0.9%2.3M-20.9M-100.2K0.0228.33N/AN/A10125,3816,066
2011-04-13$141.65$140.0022.9%6.4%13.4%26.5%24.7%3.8%0.4%2.6M-19.4M-90.3K0.2136.16N/AN/A273585,2555,966
2011-04-14$142.24$140.0021.8%6.3%13.1%23.0%21.8%2.7%0.3%2.6M-20.6M-86.6K0.5327.26N/AN/A1,2346575,1345,982
2011-04-15$142.86$140.0020.8%6.0%13.0%19.7%21.2%2.3%-0.3%2.0M-24.0M-107.8K0.4428.13N/AN/A4261875,6396,595
2011-04-18$145.32$140.0018.8%5.4%13.9%13.1%19.6%2.3%0.2%784.9K-15.5M-99.0K1.2046.36N/AN/A1,2451,4973,0943,060
2011-04-19$145.92$140.0018.0%5.2%13.4%10.7%18.5%1.9%0.4%637.2K-15.4M-105.5K0.5145.82N/AN/A3501803,2473,393
2011-04-20$149.87$140.0017.1%4.9%15.3%7.8%17.7%2.1%0.7%970.7K-20.6M-95.2K0.2638.66N/AN/A364953,0123,173
2011-04-21$149.65$140.0016.6%4.8%15.5%6.1%17.5%2.4%0.5%979.7K-20.3M-97.4K2.5056.83N/AN/A581453,1043,229
2011-04-25$148.94$140.0017.5%5.0%15.8%9.1%19.2%2.3%0.2%974.1K-19.6M-94.2K1.8035.39N/AN/A931673,1243,232
2011-04-26$149.02$140.0017.7%5.1%15.9%9.7%18.1%2.1%0.2%942.2K-20.0M-93.4K2.4941.24N/AN/A4491,1163,1703,339
2011-04-27$150.19$140.0017.1%4.9%15.8%7.8%17.3%1.8%0.3%1.1M-21.5M-114.0K1.7150.72N/AN/A1332283,4444,090
2011-04-28$150.84$140.0016.7%4.8%15.4%6.3%16.5%1.6%0.8%1.2M-22.6M-122.4K0.4137.36N/AN/A2811153,5264,291
2011-04-29$151.60$140.0016.6%4.7%15.4%5.9%17.7%1.3%0.8%1.4M-24.8M-119.6K1.0826.91N/AN/A1341453,7344,350