GWW Options History — January 2012

In January 2012, GWW traded between $185.59 and $203.51. ATM implied volatility averaged 21.0%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.4% (HV 20d: 19.5%). Max pain ranged from $160.00 to $200.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.30.

Notable Days

  • 2012-01-23: Highest Volume — 2,912 contracts
  • 2012-01-12: Largest IV spike — 33.8% change
  • 2012-01-24: Highest IV Rank — 17.2%
  • 2012-01-09: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$194.86$185.59$203.51$185.59$190.74
Max Pain$189.75$160.00$200.00$160.00$200.00
ATM IV21.0%16.8%23.6%23.5%20.8%
Expected Move6.3%5.6%7.0%6.7%6.0%
HV 20d19.5%15.8%22.3%21.0%21.4%
HV 60d28.1%25.8%31.3%31.3%26.5%
IV Rank11.0%1.3%17.2%16.9%10.7%
IV Percentile41.9%4.8%58.7%57.9%43.7%
Term Structure1.6%-0.9%5.1%3.8%1.4%
VWIV23.4%19.7%30.6%25.3%20.0%
Skew 25d4.4%2.5%5.9%4.5%3.0%
Skew 10d10.6%4.8%13.9%11.1%6.9%
Call IV 25d20.3%18.5%22.1%21.5%19.6%
Put IV 25d24.7%21.3%27.5%26.0%22.6%
Bid-Ask Spread %64.2340.3780.4969.4875.95
Gamma HHI0.260.150.770.150.21
Net GEX218.3K-9.9M3.2M1.8M-1.4M
Net DEX-48.2M-91.8M11.5M-45.2M11.5M
Net VEX-213.5K-255.2K-176.7K-224.5K-251.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.3514.661.091.06
Total Volume957.551802,912364278
Total OI20,206.258,15327,23624,51111,442

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$185.59$160.0023.5%6.7%21.0%16.9%25.3%4.5%3.8%1.8M-45.2M-224.5K1.0969.48N/AN/A1741906,58417,927
2012-01-04$187.87$160.0019.9%5.7%21.4%8.6%21.8%4.3%5.0%2.1M-50.7M-217.8K1.5677.43N/AN/A2133326,69118,014
2012-01-05$190.20$160.0019.5%5.6%21.7%7.5%19.7%3.6%5.1%2.5M-59.4M-219.4K0.5280.49N/AN/A128666,81318,225
2012-01-06$190.34$190.0019.1%6.9%21.6%6.5%23.3%5.8%1.5%2.5M-61.9M-214.3K0.3540.37N/AN/A136486,83818,245
2012-01-09$191.13$190.0019.4%7.0%21.1%7.4%24.5%5.8%1.2%2.8M-66.0M-205.3K1.2847.58N/AN/A791016,89418,273
2012-01-10$191.26$190.0018.8%6.8%20.3%5.9%27.3%5.9%1.5%2.8M-67.5M-200.9K1.3152.52N/AN/A1301706,91318,284
2012-01-11$193.00$190.0016.8%6.5%19.5%1.3%24.6%5.7%1.7%3.0M-72.8M-197.0K2.3850.96N/AN/A882096,87318,372
2012-01-12$194.08$190.0022.5%6.5%18.1%14.7%30.6%5.7%1.9%3.2M-76.2M-202.1K4.1154.04N/AN/A1084446,89118,534
2012-01-13$196.70$195.0022.6%6.5%17.1%14.9%22.6%5.1%1.5%3.2M-84.6M-200.9K1.1353.88N/AN/A2512846,89118,704
2012-01-17$200.45$195.0023.0%6.6%17.7%15.8%24.3%5.3%0.7%2.2M-91.8M-177.4K4.1857.05N/AN/A5412,2606,68518,840
2012-01-18$202.10$195.0022.9%6.6%17.7%15.7%24.5%5.0%1.1%-4.1M-90.7M-182.3K3.8657.03N/AN/A4951,9096,77820,458
2012-01-19$202.10$195.0023.0%6.6%17.5%15.8%24.6%5.7%0.8%-3.4M-86.9M-176.7K0.7660.45N/AN/A6184726,42820,232
2012-01-20$200.65$195.0022.1%6.3%16.0%13.6%25.0%4.7%1.6%-9.9M-89.9M-191.2K0.4262.90N/AN/A5212216,89520,239
2012-01-23$202.65$195.0022.3%6.4%16.2%14.3%23.8%4.5%-0.2%628.2K-25.0M-181.5K14.6667.36N/AN/A1862,7263,2664,887
2012-01-24$203.51$195.0023.6%6.8%15.8%17.2%23.4%2.7%-0.9%348.3K-21.1M-225.7K0.9879.65N/AN/A9679483,3785,323
2012-01-25$195.17$200.0020.0%5.7%22.3%8.7%20.9%3.3%1.1%-814.1K606.9K-243.9K1.5970.07N/AN/A9421,5013,9985,967
2012-01-26$192.60$200.0020.0%5.7%22.2%8.8%21.0%2.8%1.2%-1.2M7.3M-255.2K0.8775.62N/AN/A3412974,4096,500
2012-01-27$193.18$200.0019.4%5.6%21.1%7.3%20.4%2.7%1.6%-923.7K3.5M-252.4K1.4076.44N/AN/A1862614,6226,507
2012-01-30$193.82$200.0019.8%5.7%21.1%8.2%20.6%2.5%1.1%-929.8K2.3M-249.7K2.5975.26N/AN/A922384,6906,615
2012-01-31$190.74$200.0020.8%6.0%21.4%10.7%20.0%3.0%1.4%-1.4M11.5M-251.9K1.0675.95N/AN/A1351434,7376,705