GWW Options History — June 2011

In June 2011, GWW traded between $141.90 and $153.65. ATM implied volatility averaged 19.3%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.3% (HV 20d: 20.6%). Max pain ranged from $140.00 to $150.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.77.

Notable Days

  • 2011-06-02: Highest Volume — 1,077 contracts
  • 2011-06-24: Largest IV spike — 11.2% change
  • 2011-06-16: Highest IV Rank — 21.4%
  • 2011-06-16: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$146.10$141.90$153.65$144.80$153.65
Max Pain$140.68$140.00$150.00$150.00$140.00
ATM IV19.3%16.8%21.3%21.3%16.8%
Expected Move5.6%4.8%6.1%6.1%4.8%
HV 20d20.6%16.6%23.0%21.2%17.0%
HV 60d17.3%16.6%17.9%17.4%17.9%
IV Rank14.8%6.8%21.4%21.1%6.8%
IV Percentile35.0%8.3%58.3%52.8%8.3%
Term Structure2.3%0.4%3.3%0.4%2.9%
VWIV20.0%18.1%23.9%20.6%18.4%
Skew 25d3.6%2.5%5.5%2.6%5.5%
Skew 10d7.8%-4.1%11.7%-4.1%10.5%
Call IV 25d18.0%12.8%20.0%18.3%12.8%
Put IV 25d21.6%18.3%24.7%21.0%18.3%
Bid-Ask Spread %54.8522.3195.6971.9095.69
Gamma HHI0.230.120.790.150.20
Net GEX-793.2K-8.8M1.4M-292.2K1.4M
Net DEX-3.6M-25.0M14.7M-3.3M-25.0M
Net VEX-135.9K-145.7K-126.1K-127.5K-130.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.770.1311.951.270.91
Total Volume392.864261,0771,003122
Total OI9,269.3647,73110,7557,9958,891

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$144.80$150.0021.3%6.1%21.2%21.1%20.6%2.6%0.4%-292.2K-3.3M-127.5K1.2771.90N/AN/A4425613,4764,519
2011-06-02$144.79$145.0019.6%5.6%21.1%15.7%20.6%2.9%0.7%-297.5K-2.1M-137.4K7.6979.21N/AN/A1249533,8444,904
2011-06-03$143.57$140.0018.6%5.6%21.0%12.6%21.6%4.1%1.9%-860.1K3.0M-145.7K4.5970.73N/AN/A512343,8895,565
2011-06-06$144.03$140.0020.4%5.7%20.8%18.3%20.0%4.1%2.0%-926.2K2.6M-139.9K0.3452.95N/AN/A105363,8755,584
2011-06-07$143.61$140.0018.9%5.5%20.7%13.7%19.3%3.7%2.7%-993.0K2.7M-137.1K1.8350.24N/AN/A53973,9235,590
2011-06-08$142.65$140.0018.4%5.5%19.5%11.8%18.6%3.8%2.6%-1.3M7.1M-136.8K3.2638.01N/AN/A2267363,9255,646
2011-06-09$143.42$140.0019.2%5.5%19.7%14.5%19.9%3.6%2.4%-1.5M6.8M-143.7K11.9524.74N/AN/A222634,0226,035
2011-06-10$141.90$140.0020.8%6.0%19.2%19.7%19.5%3.8%2.0%-1.9M14.7M-142.9K0.7323.31N/AN/A2431784,0316,258
2011-06-13$142.81$140.0019.5%5.6%19.5%15.5%20.4%4.3%2.5%-2.0M9.6M-140.9K1.0722.31N/AN/A57614,1966,167
2011-06-14$145.69$140.0019.4%5.6%21.1%15.1%18.6%3.7%2.4%-1.8M-2.3M-137.7K0.4627.49N/AN/A4932274,2126,182
2011-06-15$143.14$140.0020.1%5.8%21.8%17.4%23.9%4.3%2.6%-2.0M8.0M-140.1K4.8326.49N/AN/A582804,4356,215
2011-06-16$144.27$140.0021.3%6.1%20.8%21.4%23.0%4.7%1.9%-3.2M6.9M-138.7K1.0443.68N/AN/A1641714,3886,311
2011-06-17$144.54$140.0020.4%5.8%20.9%18.3%22.7%4.5%3.0%-8.8M9.5M-134.7K2.0438.28N/AN/A2224524,4066,349
2011-06-20$146.04$140.0019.2%5.5%21.4%14.4%19.0%3.8%2.4%283.1K-6.8M-126.1K0.9127.16N/AN/A2352133,3114,420
2011-06-21$148.50$140.0018.5%5.3%21.9%12.3%18.7%2.5%2.5%666.7K-12.5M-130.0K0.2556.66N/AN/A244613,5254,535
2011-06-22$149.10$140.0017.4%5.0%21.6%8.6%18.3%3.1%3.2%999.3K-15.6M-131.1K0.5884.84N/AN/A156903,7434,505
2011-06-23$149.16$140.0018.1%5.2%21.4%11.0%19.6%3.0%2.8%1.0M-15.8M-132.3K10.8189.13N/AN/A313353,8434,537
2011-06-24$147.37$140.0020.2%5.8%21.7%17.6%18.4%3.2%2.5%747.9K-11.8M-135.7K2.2567.67N/AN/A8183,8584,759
2011-06-27$148.12$140.0019.3%5.5%21.8%14.8%20.0%2.9%2.3%879.2K-13.6M-134.5K0.1351.61N/AN/A77103,8634,764
2011-06-28$151.51$140.0019.4%5.6%23.0%15.1%19.5%2.7%2.6%1.3M-20.7M-131.8K0.4987.66N/AN/A2201073,8934,771
2011-06-29$151.59$140.0017.8%5.1%16.6%9.9%18.1%3.0%3.3%1.3M-20.9M-134.4K3.5076.91N/AN/A461613,8984,863
2011-06-30$153.65$140.0016.8%4.8%17.0%6.8%18.4%5.5%2.9%1.4M-25.0M-130.1K0.9195.69N/AN/A64583,8915,000