GWW Options History — October 2011

In October 2011, GWW traded between $143.86 and $174.18. ATM implied volatility averaged 34.5%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 2.8% (HV 20d: 37.3%). Max pain ranged from $150.00 to $165.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 12.59.

Notable Days

  • 2011-10-28: Highest Volume — 6,196 contracts
  • 2011-10-31: Largest IV spike — 17.1% change
  • 2011-10-03: Highest IV Rank — 84.2%
  • 2011-10-03: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$160.69$143.86$174.18$143.86$171.31
Max Pain$153.57$150.00$165.00$155.00$165.00
ATM IV34.5%23.5%51.8%51.8%27.5%
Expected Move9.8%6.7%14.8%14.8%7.9%
HV 20d37.3%32.5%42.8%32.8%35.8%
HV 60d40.4%37.9%42.4%37.9%40.6%
IV Rank45.0%19.9%84.2%84.2%29.1%
IV Percentile85.2%72.2%99.2%99.2%77.0%
Term Structure-0.8%-4.9%1.7%-4.9%0.6%
VWIV34.0%25.5%51.0%51.0%30.4%
Skew 25d9.0%5.6%13.3%13.3%6.1%
Skew 10d20.3%10.8%29.3%27.9%12.4%
Call IV 25d30.6%21.9%46.5%46.5%24.8%
Put IV 25d39.6%27.9%59.9%59.9%30.9%
Bid-Ask Spread %45.1827.2170.8151.6370.81
Gamma HHI0.100.080.170.090.09
Net GEX529.2K-671.6K2.1M-671.6K198.3K
Net DEX-24.2M-66.7M22.0M22.0M-30.0M
Net VEX-248.8K-281.7K-200.9K-273.4K-264.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.590.19220.290.544.94
Total Volume1,183.8571026,1961,426386
Total OI17,181.42913,23220,61615,93420,489

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$143.86$155.0051.8%14.8%32.8%84.2%51.0%13.3%-4.9%-671.6K22.0M-273.4K0.5451.63N/AN/A9284985,72810,206
2011-10-04$149.44$150.0046.0%13.2%35.6%71.2%44.8%11.9%-3.7%-173.0K6.8M-281.7K0.5859.98N/AN/A5022896,19110,265
2011-10-05$151.49$150.0044.5%12.7%34.6%67.6%41.4%10.5%-3.2%-165.7K1.3M-274.7K0.3541.24N/AN/A7892735,98510,411
2011-10-06$152.23$150.0043.0%12.3%34.6%64.2%38.0%11.3%-3.0%2.7K-2.3M-278.3K0.8042.23N/AN/A3062446,39110,544
2011-10-07$149.99$150.0041.6%11.4%34.2%61.2%42.8%11.3%-1.5%-67.9K4.0M-274.3K1.3727.21N/AN/A43596,61710,670
2011-10-10$154.16$150.0040.1%11.1%35.1%57.6%35.7%11.6%-2.0%327.9K-10.4M-253.8K3.0334.26N/AN/A1073246,64410,670
2011-10-11$154.33$150.0038.1%10.6%32.5%53.2%33.3%10.9%-1.5%333.2K-8.7M-261.8K1.2230.38N/AN/A2172656,71010,746
2011-10-12$158.82$150.0033.7%9.6%33.7%43.2%36.1%9.9%-0.3%900.9K-26.8M-258.2K1.1032.20N/AN/A2672956,84710,776
2011-10-13$156.21$150.0035.2%10.1%33.9%46.6%30.5%10.4%-1.2%475.6K-14.2M-257.3K0.6831.69N/AN/A6144156,83310,939
2011-10-14$157.91$150.0032.1%9.2%34.0%39.5%29.8%9.8%-0.1%836.4K-22.7M-254.0K0.4834.86N/AN/A6783247,12211,116
2011-10-17$155.09$150.0036.5%10.5%34.5%49.5%36.3%8.8%-2.7%396.1K-10.2M-241.2K1.1342.22N/AN/A7948996,97911,261
2011-10-18$166.30$150.0032.4%9.3%42.8%40.1%31.7%8.0%-0.2%2.1M-66.7M-200.9K1.7751.56N/AN/A1,5642,7757,34011,794
2011-10-19$163.59$155.0030.9%8.9%42.5%36.9%31.7%7.9%0.3%377.7K-44.9M-240.3K2.3437.65N/AN/A2686267,30513,311
2011-10-20$165.12$155.0031.2%8.9%42.0%37.5%30.7%7.7%0.6%790.2K-51.9M-235.2K0.1940.31N/AN/A407777,12713,348
2011-10-21$167.64$155.0028.1%8.1%42.2%30.4%31.1%8.0%1.6%789.1K-63.8M-228.4K0.8044.79N/AN/A5414327,23413,375
2011-10-24$170.85$155.0028.0%8.0%41.8%30.1%28.9%7.4%0.3%956.8K-38.2M-220.6K0.4352.90N/AN/A4792074,8038,429
2011-10-25$168.25$155.0028.4%8.1%42.3%31.1%29.8%7.0%0.7%1.2M-33.9M-240.4K7.5650.05N/AN/A1108325,2068,568
2011-10-26$169.77$155.0027.2%7.8%39.9%28.4%27.8%6.6%0.9%995.1K-34.1M-239.6K12.3251.67N/AN/A253085,0389,066
2011-10-27$174.18$160.0025.1%7.2%40.3%23.5%25.5%5.6%0.7%864.6K-44.4M-222.7K2.4160.27N/AN/A1463525,0459,302
2011-10-28$174.01$165.0023.5%6.7%38.7%19.9%27.1%5.9%1.7%559.1K-39.9M-223.6K220.2960.97N/AN/A286,1684,9659,414
2011-10-31$171.31$165.0027.5%7.9%35.8%29.1%30.4%6.1%0.6%198.3K-30.0M-264.4K4.9470.81N/AN/A653214,98915,500