GWW Options History — December 2011

In December 2011, GWW traded between $178.09 and $192.31. ATM implied volatility averaged 24.3%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 5.5% (HV 20d: 29.8%). Max pain ranged from $155.00 to $180.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.84.

Notable Days

  • 2011-12-12: Highest Volume — 1,276 contracts
  • 2011-12-09: Largest IV drop — 13.7% change
  • 2011-12-13: Highest IV Rank — 30.9%
  • 2011-12-08: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$185.28$178.09$192.31$186.30$187.19
Max Pain$158.10$155.00$180.00$180.00$160.00
ATM IV24.3%19.2%28.3%26.0%22.6%
Expected Move6.9%5.5%7.9%7.4%6.5%
HV 20d29.8%20.2%35.6%35.6%20.8%
HV 60d33.7%31.1%35.0%35.0%31.2%
IV Rank21.3%8.4%30.9%25.6%14.8%
IV Percentile58.7%31.3%74.2%68.7%54.8%
Term Structure3.6%-0.2%5.4%0.2%3.9%
VWIV25.5%19.9%33.0%26.9%25.0%
Skew 25d5.9%4.3%8.4%5.3%4.6%
Skew 10d13.8%9.9%21.7%12.0%11.3%
Call IV 25d21.7%17.5%25.1%23.4%19.7%
Put IV 25d27.5%22.0%33.5%28.6%24.2%
Bid-Ask Spread %50.3223.0572.2862.2429.74
Gamma HHI0.160.110.290.130.15
Net GEX1.7M534.4K2.3M1.8M1.8M
Net DEX-47.2M-69.1M-22.7M-56.9M-47.4M
Net VEX-225.1K-262.7K-198.9K-200.3K-226.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.840.3316.244.020.33
Total Volume473.2381581,276517612
Total OI23,747.8122,32825,10522,32824,213

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$186.30$180.0026.0%7.4%35.6%25.6%26.9%5.3%0.2%1.8M-56.9M-200.3K4.0262.24N/AN/A1034145,97116,357
2011-12-02$186.20$180.0026.7%7.7%34.6%27.3%25.8%4.7%-0.2%1.7M-53.4M-222.4K1.0560.39N/AN/A4224456,03116,573
2011-12-05$187.31$155.0027.7%7.6%34.6%29.5%26.8%7.1%2.6%1.9M-58.9M-214.6K0.6536.90N/AN/A96626,28116,881
2011-12-06$186.22$155.0026.4%7.5%34.7%26.5%30.3%6.8%2.9%1.8M-51.8M-230.9K4.1439.73N/AN/A441826,30816,888
2011-12-07$185.35$155.0026.7%7.7%34.4%27.2%29.8%7.1%3.0%1.6M-51.2M-212.6K4.7023.05N/AN/A1758236,30417,008
2011-12-08$183.28$155.0028.1%7.9%29.4%30.4%33.0%8.4%2.5%1.0M-36.3M-262.7K7.0737.49N/AN/A292056,31817,128
2011-12-09$186.52$155.0024.2%7.3%29.1%21.6%26.3%6.2%3.6%2.0M-56.9M-198.9K0.5842.84N/AN/A3421996,30017,144
2011-12-12$183.84$155.0025.7%7.5%29.2%25.0%25.5%6.7%3.7%1.6M-47.4M-201.0K16.2450.30N/AN/A741,2026,54417,226
2011-12-13$180.62$155.0028.3%7.8%29.7%30.9%26.2%6.6%3.6%896.6K-29.9M-240.5K4.0848.35N/AN/A502046,55318,311
2011-12-14$178.09$155.0027.5%7.8%29.9%28.9%27.9%6.5%3.9%534.4K-22.7M-242.5K3.1548.02N/AN/A792496,58318,401
2011-12-15$178.42$155.0025.8%7.4%29.5%25.1%26.8%6.1%4.2%831.0K-23.9M-234.0K1.1350.79N/AN/A2492826,57918,505
2011-12-16$178.99$155.0024.9%7.1%29.4%23.2%24.0%6.0%5.0%2.2M-27.3M-226.5K0.6750.75N/AN/A3712506,63318,472
2011-12-19$181.71$155.0024.1%6.9%29.8%21.3%23.0%5.6%4.1%1.2M-36.4M-218.7K0.3359.17N/AN/A6352085,71117,102
2011-12-20$186.71$155.0022.2%6.4%30.5%17.0%21.8%5.0%4.4%2.1M-51.6M-231.9K0.7764.96N/AN/A2291776,18617,167
2011-12-21$187.47$155.0021.7%6.2%30.5%15.9%23.3%5.9%4.1%1.9M-53.3M-237.1K0.4257.99N/AN/A136576,27117,305
2011-12-22$186.46$155.0021.2%6.1%28.5%14.7%24.6%4.4%4.2%2.1M-52.2M-232.4K2.2263.04N/AN/A881956,36317,323
2011-12-23$189.34$155.0019.2%5.5%28.8%8.4%21.3%4.9%5.4%2.1M-59.6M-229.8K1.5563.94N/AN/A771196,40317,424
2011-12-27$192.31$155.0020.1%5.8%27.4%10.6%19.9%4.3%4.7%2.3M-69.1M-214.5K2.4665.59N/AN/A852096,43617,521
2011-12-28$188.87$160.0020.9%6.0%28.5%12.3%22.9%5.2%4.4%2.0M-53.6M-218.7K2.8072.28N/AN/A852386,25717,650
2011-12-29$189.63$160.0020.5%5.9%20.2%10.6%23.8%5.7%4.8%1.9M-52.0M-231.3K1.1929.24N/AN/A1081296,30717,766
2011-12-30$187.19$160.0022.6%6.5%20.8%14.8%25.0%4.6%3.9%1.8M-47.4M-226.3K0.3329.74N/AN/A4601526,34417,869