GWW Options History — August 2011 In August 2011, GWW traded between $126.11 and $154.10. ATM implied volatility averaged 36.2%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 4.2% (HV 20d: 40.4%). Max pain ranged from $135.00 to $155.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.66.
Notable Days 2011-08-08 : Highest Volume — 2,008 contracts2011-08-08 : Largest IV spike — 55.8% change2011-08-08 : Highest IV Rank — 100.0%2011-08-08 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $138.45 $126.11 $154.10 $147.30 $154.10 Max Pain $140.43 $135.00 $155.00 $155.00 $140.00 ATM IV 36.2% 24.8% 58.7% 24.8% 29.0% Expected Move 10.1% 7.1% 13.9% 7.1% 8.3% HV 20d 40.4% 14.5% 54.6% 14.5% 53.0% HV 60d 29.0% 18.9% 34.6% 18.9% 34.6% IV Rank 52.9% 32.4% 100.0% 32.7% 32.4% IV Percentile 96.4% 90.9% 100.0% 90.9% 90.9% Term Structure -0.8% -8.0% 2.0% -0.7% 2.0% VWIV 35.4% 24.0% 45.3% 24.0% 31.3% Skew 25d 7.9% 1.7% 11.7% 3.6% 6.4% Skew 10d 14.0% 1.9% 28.1% 5.5% 14.6% Call IV 25d 31.7% 23.3% 41.3% 23.3% 27.8% Put IV 25d 39.6% 26.9% 48.6% 26.9% 34.1% Bid-Ask Spread % 46.63 26.25 64.44 64.44 62.91 Gamma HHI 0.16 0.11 0.42 0.11 0.11 Net GEX -212.4K -936.0K 967.5K -413.9K 967.5K Net DEX 9.9M -30.0M 33.0M 5.2M -30.0M Net VEX -173.9K -207.7K -145.7K -154.9K -207.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.66 0.26 7.77 0.54 5.65 Total Volume 682.217 112 2,008 266 1,576 Total OI 10,188.957 8,098 11,946 8,098 11,156
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-08-01 $147.30 $155.00 24.8% 7.1% 14.5% 32.7% 24.0% 3.6% -0.7% -413.9K 5.2M -154.9K 0.54 64.44 N/A N/A 173 93 3,539 4,559 2011-08-02 $141.43 $155.00 27.1% 7.8% 19.5% 40.0% 26.5% 1.7% -1.1% -705.0K 14.4M -145.7K 2.45 59.67 N/A N/A 105 257 3,668 4,587 2011-08-03 $142.78 $150.00 25.5% 7.3% 19.5% 34.9% 26.2% 3.7% -0.2% -578.2K 12.1M -150.4K 0.27 53.11 N/A N/A 223 61 3,728 4,530 2011-08-04 $136.63 $150.00 38.2% 11.0% 23.2% 76.0% 33.4% 4.8% -8.0% -561.5K 18.1M -146.2K 1.21 51.09 N/A N/A 232 280 3,886 4,538 2011-08-05 $138.50 $150.00 34.4% 9.9% 24.3% 63.8% 34.5% 6.3% -1.7% -438.4K 15.2M -156.6K 1.46 55.94 N/A N/A 353 517 3,912 4,557 2011-08-08 $129.86 $145.00 53.7% 13.9% 31.6% 100.0% 45.3% 4.6% -6.3% -463.9K 24.0M -149.1K 1.64 56.82 N/A N/A 760 1,248 4,130 4,849 2011-08-09 $132.57 $145.00 40.3% 11.0% 33.3% 65.6% 39.2% 7.2% -2.2% -824.8K 27.5M -157.2K 1.04 48.23 N/A N/A 168 175 4,438 5,581 2011-08-10 $126.11 $140.00 58.7% 13.2% 36.0% 100.0% 41.0% 4.7% -2.2% -775.7K 33.0M -146.4K 0.38 43.63 N/A N/A 1,158 440 4,493 5,606 2011-08-11 $133.22 $140.00 40.2% 11.5% 43.0% 57.8% 40.5% 9.8% -1.6% -588.8K 22.2M -178.6K 0.80 41.50 N/A N/A 454 361 5,272 5,830 2011-08-12 $135.84 $135.00 37.5% 10.8% 43.8% 51.8% 34.4% 9.3% -1.8% -330.4K 15.8M -181.1K 0.83 48.28 N/A N/A 374 312 5,625 5,967 2011-08-15 $138.57 $135.00 33.0% 9.5% 44.9% 41.5% 36.5% 9.4% 0.7% 18.4K 9.3M -180.6K 0.26 30.93 N/A N/A 619 162 5,705 5,959 2011-08-16 $137.26 $135.00 35.3% 10.1% 44.9% 46.7% 34.3% 8.4% 0.9% -7.9K 11.7M -176.5K 7.77 28.46 N/A N/A 57 443 5,751 5,990 2011-08-17 $137.08 $135.00 35.0% 10.0% 44.9% 46.1% 37.7% 9.7% -0.7% 2.7K 13.9M -173.4K 2.06 26.25 N/A N/A 98 202 5,750 6,177 2011-08-18 $130.95 $135.00 42.1% 12.1% 46.8% 62.2% 37.3% 10.6% -1.8% -567.3K 25.7M -165.5K 1.60 60.91 N/A N/A 43 69 5,789 6,157 2011-08-19 $130.34 $135.00 42.3% 12.1% 46.8% 62.7% 41.2% 11.7% 0.4% -936.0K 24.9M -164.8K 1.39 63.87 N/A N/A 331 460 5,791 6,122 2011-08-22 $132.68 $135.00 40.0% 11.5% 47.8% 57.4% 41.3% 11.1% -2.3% -291.9K 14.5M -173.8K 0.67 34.10 N/A N/A 291 194 4,374 4,981 2011-08-23 $138.15 $135.00 33.7% 9.7% 49.8% 43.2% 37.0% 11.4% 1.3% -77.3K 6.1M -185.8K 1.09 50.09 N/A N/A 302 328 4,551 5,084 2011-08-24 $140.98 $135.00 33.3% 9.5% 50.5% 42.2% 34.8% 11.2% 0.8% 77.0K 845.9K -196.1K 1.81 27.56 N/A N/A 210 380 4,641 5,280 2011-08-25 $138.02 $135.00 35.4% 10.2% 50.9% 47.1% 36.0% 10.8% 0.5% -55.5K 5.6M -202.4K 0.98 35.79 N/A N/A 246 240 4,721 5,527 2011-08-26 $143.05 $135.00 34.6% 9.9% 52.8% 45.1% 35.7% 9.6% 1.7% 238.1K -3.0M -205.9K 1.31 51.72 N/A N/A 148 194 4,792 5,537 2011-08-29 $148.59 $135.00 29.1% 8.3% 54.6% 32.6% 33.7% 7.2% 1.6% 608.7K -16.5M -200.0K 0.54 33.05 N/A N/A 512 277 4,898 5,555 2011-08-30 $150.41 $140.00 29.7% 8.5% 52.5% 34.1% 31.2% 8.2% 1.5% 820.0K -22.4M -201.6K 2.51 44.22 N/A N/A 161 404 5,155 5,608 2011-08-31 $154.10 $140.00 29.0% 8.3% 53.0% 32.4% 31.3% 6.4% 2.0% 967.5K -30.0M -207.7K 5.65 62.91 N/A N/A 237 1,339 5,253 5,903
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