GWW Options History — May 2011

In May 2011, GWW traded between $146.79 and $151.78. ATM implied volatility averaged 17.6%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.6% (HV 20d: 15.0%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.02.

Notable Days

  • 2011-05-04: Highest Volume — 920 contracts
  • 2011-05-25: Largest IV drop — 8.2% change
  • 2011-05-05: Highest IV Rank — 13.7%
  • 2011-05-05: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$149.63$146.79$151.78$149.80$151.07
Max Pain$147.62$145.00$150.00$145.00$150.00
ATM IV17.6%16.3%19.0%16.6%16.7%
Expected Move5.1%4.7%5.4%4.8%4.8%
HV 20d15.0%13.6%16.4%14.9%14.7%
HV 60d16.0%14.9%16.6%15.9%15.0%
IV Rank9.3%5.1%13.7%6.1%6.4%
IV Percentile12.7%3.2%27.0%4.8%7.1%
Term Structure1.1%0.1%1.9%0.9%1.5%
VWIV18.6%16.8%22.9%17.0%18.8%
Skew 25d2.5%1.4%3.2%1.6%2.3%
Skew 10d6.6%2.5%10.7%3.3%10.7%
Call IV 25d16.9%15.7%17.8%16.5%15.7%
Put IV 25d19.4%17.7%20.4%18.1%18.0%
Bid-Ask Spread %40.5923.0059.7823.0054.89
Gamma HHI0.210.150.290.240.18
Net GEX1.1M365.3K2.0M1.1M768.2K
Net DEX-16.5M-25.2M-8.8M-20.6M-15.7M
Net VEX-126.2K-138.4K-107.3K-122.6K-122.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.1312.751.121.33
Total Volume383.09555920367196
Total OI8,483.5246,7989,2658,2297,885

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$149.80$145.0016.6%4.8%14.9%6.1%17.0%1.6%0.9%1.1M-20.6M-122.6K1.1223.00N/AN/A1731943,7884,441
2011-05-03$149.38$145.0017.1%4.9%15.0%7.6%17.2%1.4%0.5%972.1K-18.2M-123.8K0.1326.34N/AN/A8061053,8484,594
2011-05-04$148.31$145.0017.7%5.1%15.4%9.6%22.9%2.0%0.5%1.1M-16.5M-132.7K0.1637.75N/AN/A7941264,3224,678
2011-05-05$146.79$145.0019.0%5.4%14.7%13.7%19.1%2.4%0.1%649.0K-9.6M-136.7K1.8859.78N/AN/A1813404,0174,745
2011-05-06$147.91$145.0017.8%5.2%14.9%10.1%18.4%2.8%1.1%710.2K-11.6M-138.2K0.7735.10N/AN/A102793,9764,942
2011-05-09$148.27$145.0018.0%5.1%14.7%10.5%18.8%3.2%1.2%841.2K-12.5M-138.4K0.4935.90N/AN/A119584,0064,973
2011-05-10$150.89$145.0016.6%5.1%15.7%6.0%16.8%2.6%1.1%1.8M-22.1M-129.4K0.9142.88N/AN/A2452244,0674,982
2011-05-11$150.05$145.0017.0%5.1%15.2%7.3%19.9%2.8%1.2%1.6M-19.3M-134.9K2.1341.16N/AN/A45964,1645,042
2011-05-12$151.78$145.0017.9%5.1%15.4%10.4%16.9%3.0%0.9%2.0M-25.2M-130.4K0.1343.81N/AN/A680914,1695,096
2011-05-13$151.00$145.0018.2%5.2%15.7%11.2%18.3%3.0%1.2%1.7M-21.0M-127.2K0.8241.03N/AN/A2121743,8365,070
2011-05-16$150.30$150.0018.4%5.3%15.9%12.0%19.0%2.6%1.1%1.5M-18.8M-120.3K0.7140.60N/AN/A58413,8395,133
2011-05-17$149.09$150.0018.3%5.2%15.4%11.4%19.0%2.9%0.7%1.2M-14.3M-118.1K1.4047.40N/AN/A1442013,8625,169
2011-05-18$151.74$150.0018.3%5.2%16.4%11.4%18.4%2.7%0.9%1.8M-22.6M-118.2K12.7551.42N/AN/A4513,8715,304
2011-05-19$151.45$150.0017.8%5.1%13.6%9.9%18.6%2.6%1.4%1.5M-21.0M-107.3K0.2644.31N/AN/A7091813,6575,205
2011-05-20$150.83$150.0017.7%5.1%13.7%9.6%18.1%2.3%1.4%1.9M-21.2M-119.3K0.5225.88N/AN/A54283,8155,154
2011-05-23$148.89$150.0018.1%5.2%14.4%10.8%19.2%2.5%0.9%647.2K-12.0M-115.4K1.9036.12N/AN/A2204183,1133,685
2011-05-24$147.34$150.0018.8%5.4%14.8%13.3%18.7%2.8%1.4%365.3K-8.8M-128.9K0.4340.66N/AN/A183783,2103,986
2011-05-25$148.50$150.0017.3%5.0%14.8%8.3%18.6%2.5%0.8%506.1K-10.6M-128.0K3.5238.28N/AN/A21743,3584,029
2011-05-26$149.37$150.0016.4%4.7%14.9%5.5%18.9%2.2%1.9%625.7K-12.3M-128.7K8.1933.83N/AN/A362953,3534,067
2011-05-27$149.41$150.0016.3%4.7%14.8%5.1%17.7%1.9%1.6%510.3K-12.4M-128.6K2.8052.30N/AN/A551543,3824,321
2011-05-31$151.07$150.0016.7%4.8%14.7%6.4%18.8%2.3%1.5%768.2K-15.7M-122.2K1.3354.89N/AN/A841123,4204,465