GWW Options History — November 2011

In November 2011, GWW traded between $169.43 and $186.90. ATM implied volatility averaged 28.1%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 5.6% (HV 20d: 33.7%). Max pain ranged from $165.00 to $175.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.95.

Notable Days

  • 2011-11-08: Highest Volume — 5,544 contracts
  • 2011-11-09: Largest IV spike — 37.1% change
  • 2011-11-09: Highest IV Rank — 39.7%
  • 2011-11-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$176.30$169.43$186.90$169.63$186.90
Max Pain$172.14$165.00$175.00$165.00$175.00
ATM IV28.1%23.5%32.2%31.8%27.1%
Expected Move8.1%7.3%9.1%9.1%7.8%
HV 20d33.7%29.5%39.3%34.6%36.6%
HV 60d35.3%33.3%38.4%38.2%35.3%
IV Rank30.5%19.9%39.7%38.8%28.1%
IV Percentile75.5%69.4%81.0%80.2%69.8%
Term Structure0.6%-1.2%1.8%-1.2%-0.2%
VWIV30.0%24.4%35.8%34.2%25.7%
Skew 25d7.2%5.0%8.8%7.6%5.1%
Skew 10d16.9%11.6%20.9%17.8%20.6%
Call IV 25d25.6%22.8%29.4%29.4%23.7%
Put IV 25d32.9%28.8%37.0%37.0%28.8%
Bid-Ask Spread %40.1916.8666.7059.8666.70
Gamma HHI0.150.080.560.100.13
Net GEX-22.5K-3.4M1.1M330.7K1.1M
Net DEX-34.8M-65.4M-13.5M-28.1M-52.5M
Net VEX-213.7K-276.1K-171.8K-233.3K-172.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.950.0425.080.660.30
Total Volume902.3331385,5447761,994
Total OI21,253.38119,56723,17720,62220,853

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$169.63$165.0031.8%9.1%34.6%38.8%34.2%7.6%-1.2%330.7K-28.1M-233.3K0.6659.86N/AN/A4673095,03115,591
2011-11-02$174.55$165.0027.6%7.9%35.5%29.2%28.8%7.3%0.8%552.2K-41.7M-218.6K1.3062.08N/AN/A3364385,25915,804
2011-11-03$179.12$165.0025.8%7.4%36.1%25.2%25.8%5.0%0.8%550.9K-56.2M-185.6K1.8464.08N/AN/A1673085,34316,066
2011-11-04$178.33$170.0024.4%7.5%35.4%21.9%24.4%8.8%0.8%91.4K-46.0M-252.9K7.2116.86N/AN/A433105,43916,280
2011-11-07$178.63$170.0025.0%7.5%34.7%23.4%34.2%8.1%0.4%583.7K-54.7M-184.0K0.3717.42N/AN/A4101535,46816,234
2011-11-08$181.33$170.0023.5%7.3%34.7%19.9%27.5%8.3%0.7%713.6K-65.4M-171.8K0.0420.14N/AN/A5,3372075,68316,344
2011-11-09$172.67$170.0032.2%8.7%39.3%39.7%34.0%8.4%-0.3%-637.7K-13.5M-276.1K4.7726.78N/AN/A602864,66316,385
2011-11-10$176.27$170.0029.4%8.4%38.9%33.3%28.5%8.3%0.3%99.8K-29.7M-203.0K1.3922.09N/AN/A4696524,69316,479
2011-11-11$179.40$170.0026.8%7.7%39.1%27.5%29.0%7.8%0.8%714.0K-41.9M-188.8K3.8620.65N/AN/A1124324,93116,799
2011-11-14$177.51$175.0027.4%7.9%38.5%28.9%34.3%7.5%0.5%36.5K-28.4M-251.4K8.4321.67N/AN/A837004,94917,136
2011-11-15$179.30$175.0027.0%7.8%30.6%28.0%29.8%6.9%0.9%1.0M-41.2M-186.8K1.5826.11N/AN/A3205064,93817,038
2011-11-16$176.84$175.0029.6%8.5%30.4%33.7%35.8%8.2%0.2%-286.6K-31.0M-201.2K6.9048.49N/AN/A1951,3465,16517,395
2011-11-17$175.49$175.0029.8%8.5%30.6%34.2%28.7%7.3%0.6%-3.4M-22.9M-204.5K1.4335.24N/AN/A2493575,25617,921
2011-11-18$176.34$175.0028.2%8.1%30.2%30.6%28.6%7.0%0.7%-3.4M-33.8M-191.2K0.8541.75N/AN/A2131825,28717,879
2011-11-21$173.96$175.0028.7%8.2%30.1%31.8%29.3%7.3%1.0%184.6K-22.3M-252.6K1.5044.50N/AN/A1592384,53115,036
2011-11-22$174.09$175.0028.0%8.0%29.5%30.3%29.3%6.0%0.8%312.7K-25.7M-234.0K5.0041.62N/AN/A231154,61815,183
2011-11-23$169.43$175.0030.3%8.7%31.1%35.4%30.7%7.6%1.8%41.1K-16.2M-239.7K4.9648.61N/AN/A924564,63815,211
2011-11-25$170.31$175.0031.5%9.0%29.6%38.0%35.4%6.8%0.5%-142.4K-16.1M-241.1K2.4342.37N/AN/A721754,66615,499
2011-11-28$175.73$175.0028.4%8.1%31.8%31.1%26.7%6.6%1.2%680.8K-32.6M-179.7K2.9561.57N/AN/A762244,73515,565
2011-11-29$176.49$175.0028.3%8.1%31.2%30.8%29.8%6.3%1.0%462.3K-29.9M-219.3K25.0855.52N/AN/A266524,79815,532
2011-11-30$186.90$175.0027.1%7.8%36.6%28.1%25.7%5.1%-0.2%1.1M-52.5M-172.8K0.3066.70N/AN/A1,5384564,81016,043