GWW Options History — September 2011

In September 2011, GWW traded between $148.40 and $161.63. ATM implied volatility averaged 37.7%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 1.2% (HV 20d: 36.5%). Max pain ranged from $140.00 to $155.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 4.34.

Notable Days

  • 2011-09-13: Highest Volume — 3,616 contracts
  • 2011-09-13: Largest IV drop — 16.8% change
  • 2011-09-30: Highest IV Rank — 72.6%
  • 2011-09-30: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$155.02$148.40$161.63$150.96$149.54
Max Pain$147.38$140.00$155.00$145.00$155.00
ATM IV37.7%31.9%46.7%31.9%46.7%
Expected Move10.8%9.1%13.4%9.1%13.4%
HV 20d36.5%28.1%51.3%50.8%30.3%
HV 60d36.0%34.9%37.1%34.9%37.1%
IV Rank52.1%38.9%72.6%38.9%72.6%
IV Percentile95.0%90.1%99.2%92.5%99.2%
Term Structure-1.8%-4.5%1.1%0.7%-3.9%
VWIV40.4%32.7%46.5%32.7%45.9%
Skew 25d10.6%8.4%13.6%8.9%12.9%
Skew 10d23.4%17.2%28.4%17.2%27.6%
Call IV 25d33.3%28.5%41.2%28.5%41.2%
Put IV 25d43.9%37.4%54.1%37.4%54.1%
Bid-Ask Spread %45.6730.6162.8856.9853.69
Gamma HHI0.120.080.410.110.09
Net GEX275.4K-872.3K2.3M400.9K-678.9K
Net DEX-20.0M-62.9M12.1M-19.2M12.1M
Net VEX-252.3K-289.9K-211.9K-223.7K-278.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.340.1218.741.020.12
Total Volume922.3811103,616244857
Total OI14,452.76212,36318,16612,36515,236

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$150.96$145.0031.9%9.1%50.8%38.9%32.7%8.9%0.7%400.9K-19.2M-223.7K1.0256.98N/AN/A1211235,4206,945
2011-09-02$148.40$145.0033.5%9.6%51.3%42.8%37.1%8.4%1.1%137.8K-11.9M-226.4K2.5756.84N/AN/A561445,3766,987
2011-09-06$148.99$140.0038.8%10.6%44.6%54.6%40.0%11.0%-3.2%153.4K-12.2M-220.8K6.4636.25N/AN/A261685,3827,020
2011-09-07$153.04$140.0033.0%9.7%44.9%41.5%32.8%10.0%-1.9%382.4K-23.9M-211.9K0.7631.69N/AN/A3782895,3827,111
2011-09-08$152.45$140.0036.8%10.4%39.8%50.1%36.6%9.3%-2.8%339.2K-23.1M-216.5K0.8330.87N/AN/A2652195,4807,206
2011-09-09$149.22$140.0040.0%11.4%37.4%57.4%39.3%11.3%-4.1%59.9K-12.7M-228.7K0.1730.61N/AN/A1,7272865,5787,393
2011-09-12$151.72$140.0043.7%11.7%37.3%65.8%41.4%11.6%-4.5%1.5M-30.0M-238.2K2.2738.56N/AN/A2806376,8597,550
2011-09-13$157.27$145.0036.4%11.0%38.5%49.2%43.4%10.1%-3.3%1.5M-52.1M-235.6K6.3235.92N/AN/A4943,1227,0328,052
2011-09-14$159.73$145.0032.7%10.3%38.1%40.9%40.9%10.2%-1.8%757.8K-54.8M-263.2K1.5335.30N/AN/A6551,0047,11510,664
2011-09-15$161.63$150.0035.4%10.1%38.0%46.9%37.3%10.3%-1.6%915.2K-62.9M-258.7K11.7243.33N/AN/A728447,39510,765
2011-09-16$159.89$150.0034.3%9.8%33.2%44.5%38.9%10.3%-1.0%2.3M-56.9M-262.3K0.9741.58N/AN/A2062007,39110,775
2011-09-19$160.36$150.0034.3%9.8%32.8%44.5%40.9%10.0%-0.0%109.3K-18.9M-250.7K5.5141.73N/AN/A955234,5998,638
2011-09-20$160.47$150.0034.6%9.9%32.9%45.1%38.3%9.5%-0.5%129.6K-19.0M-253.9K1.2953.69N/AN/A2072684,6648,826
2011-09-21$157.05$150.0037.2%10.7%32.5%51.0%39.1%9.4%-1.2%-55.3K-10.7M-264.3K3.8752.12N/AN/A451744,7798,995
2011-09-22$154.49$150.0040.1%11.5%33.0%57.6%45.1%11.4%-0.7%-236.9K-4.1M-272.0K6.5650.63N/AN/A2771,8164,8069,080
2011-09-23$154.27$150.0040.8%11.7%31.7%59.2%40.9%10.9%-1.3%-203.6K-3.1M-278.4K3.2950.06N/AN/A722374,8949,433
2011-09-26$158.13$150.0037.7%10.8%30.5%52.2%43.7%10.9%-0.6%-27.0K-11.1M-272.3K2.6748.20N/AN/A30804,8949,545
2011-09-27$159.98$150.0038.0%10.9%28.1%53.0%42.8%10.4%-1.4%81.8K-16.5M-264.1K9.7755.76N/AN/A1351,3194,9209,561
2011-09-28$154.52$155.0042.1%12.1%31.0%62.3%45.6%11.5%-2.2%-812.5K3.5M-288.4K4.7152.42N/AN/A944434,98110,800
2011-09-29$153.27$155.0043.3%12.4%29.9%65.0%46.5%13.6%-3.4%-872.3K8.2M-289.9K18.7462.88N/AN/A701,3125,06010,919
2011-09-30$149.54$155.0046.7%13.4%30.3%72.6%45.9%12.9%-3.9%-678.9K12.1M-278.1K0.1253.69N/AN/A764935,05410,182