GWW Options History — July 2011

In July 2011, GWW traded between $148.37 and $160.78. ATM implied volatility averaged 20.7%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.3% (HV 20d: 18.3%). Max pain ranged from $140.00 to $155.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.37.

Notable Days

  • 2011-07-14: Highest Volume — 725 contracts
  • 2011-07-11: Largest IV spike — 26.5% change
  • 2011-07-18: Highest IV Rank — 32.6%
  • 2011-07-18: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$155.90$148.37$160.78$158.21$148.37
Max Pain$152.00$140.00$155.00$140.00$155.00
ATM IV20.7%16.4%24.8%16.4%23.4%
Expected Move6.1%4.7%7.1%4.7%6.7%
HV 20d18.3%16.9%20.8%18.8%18.5%
HV 60d18.4%17.9%19.1%18.5%18.9%
IV Rank19.2%5.5%32.6%5.5%28.0%
IV Percentile54.9%3.6%90.9%3.6%83.7%
Term Structure0.3%-0.5%4.0%4.0%-0.2%
VWIV21.9%16.4%26.0%16.4%25.5%
Skew 25d4.0%2.8%5.2%5.2%3.1%
Skew 10d8.5%6.0%13.1%13.1%9.7%
Call IV 25d19.8%12.5%23.3%12.5%22.9%
Put IV 25d23.8%17.6%26.9%17.6%26.0%
Bid-Ask Spread %43.2029.6183.7883.7849.26
Gamma HHI0.190.110.310.220.11
Net GEX1.0M-39.6K1.9M1.7M-39.6K
Net DEX-21.4M-41.2M1.8M-34.1M1.8M
Net VEX-137.6K-156.8K-124.3K-124.3K-156.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.370.1121.500.7821.50
Total Volume305.2113725591450
Total OI8,384.856,11310,3138,9707,766

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$158.21$140.0016.4%4.7%18.8%5.5%16.4%5.2%4.0%1.7M-34.1M-124.3K0.7883.78N/AN/A3322593,9265,044
2011-07-05$158.19$150.0017.9%5.7%18.9%10.3%21.3%4.6%0.5%1.8M-34.9M-126.3K0.7738.84N/AN/A2091604,1155,229
2011-07-06$159.63$150.0018.7%5.8%18.7%12.9%23.5%4.1%0.1%1.9M-38.4M-128.5K1.5232.93N/AN/A61934,2315,352
2011-07-07$160.78$150.0018.3%5.7%18.2%11.5%18.9%4.6%0.8%1.9M-41.2M-127.9K0.7037.49N/AN/A1831284,2525,405
2011-07-08$160.75$150.0017.1%5.7%18.3%7.8%19.6%4.3%0.7%1.8M-40.5M-127.7K0.1132.12N/AN/A187204,2395,525
2011-07-11$158.54$150.0021.7%6.1%18.7%22.5%22.7%4.4%-0.1%1.7M-36.4M-130.2K2.4731.83N/AN/A38944,3225,532
2011-07-12$158.30$150.0020.0%6.1%18.9%17.1%21.9%4.6%0.2%1.8M-36.1M-131.0K0.7429.61N/AN/A65484,3525,613
2011-07-13$158.75$150.0020.3%6.1%18.1%18.1%22.4%5.0%0.5%1.8M-37.2M-130.1K0.2529.73N/AN/A192484,3805,615
2011-07-14$156.59$150.0023.3%6.7%17.5%27.6%24.4%5.1%0.2%1.5M-32.3M-131.0K1.7338.46N/AN/A2664594,5015,624
2011-07-15$157.62$150.0022.6%6.5%17.5%25.5%22.2%4.1%-0.3%970.1K-32.9M-140.6K0.7132.08N/AN/A1441024,4115,902
2011-07-18$156.31$155.0024.8%7.1%18.0%32.6%26.0%3.6%-0.5%578.9K-12.0M-139.0K1.6634.11N/AN/A1181962,7303,383
2011-07-19$156.24$155.0021.4%6.1%17.9%21.6%21.3%3.9%-0.2%585.0K-11.4M-140.3K0.5046.14N/AN/A3381692,7933,547
2011-07-20$155.66$155.0021.4%6.1%17.4%21.7%21.7%3.6%-0.5%631.6K-10.8M-143.4K1.1045.51N/AN/A1201322,9903,680
2011-07-21$156.17$155.0020.2%5.8%17.4%17.6%20.4%2.8%0.3%692.8K-11.9M-143.7K1.1052.00N/AN/A1221343,0523,761
2011-07-22$155.45$155.0019.0%5.5%17.5%13.9%20.4%3.2%0.7%615.6K-10.2M-145.4K0.3351.26N/AN/A166543,1033,869
2011-07-25$154.84$155.0019.9%5.7%16.9%16.6%21.3%3.4%0.1%641.4K-9.5M-145.3K2.8654.53N/AN/A441263,2573,909
2011-07-26$149.99$155.0021.6%6.2%20.8%22.1%21.5%3.8%-0.2%123.4K-1.7M-141.4K6.1541.87N/AN/A271663,2713,975
2011-07-27$148.76$155.0022.6%6.5%19.3%25.3%23.1%3.4%-0.1%-12.9K1.2M-144.5K0.7647.13N/AN/A2772113,2724,065
2011-07-28$148.84$155.0022.9%6.6%19.3%26.4%23.5%2.8%-0.4%17.6K340.8K-153.6K1.6355.38N/AN/A631033,4994,205
2011-07-29$148.37$155.0023.4%6.7%18.5%28.0%25.5%3.1%-0.2%-39.6K1.8M-156.8K21.5049.26N/AN/A204303,5304,236