GWW Options History — February 2012

In February 2012, GWW traded between $193.37 and $210.18. ATM implied volatility averaged 19.7%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 4.9% (HV 20d: 24.6%). Max pain ranged from $195.00 to $210.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2012-02-13: Highest Volume — 2,867 contracts
  • 2012-02-09: Largest IV spike — 16.7% change
  • 2012-02-16: Highest IV Rank — 12.1%
  • 2012-02-16: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$204.97$193.37$210.18$193.37$207.73
Max Pain$201.75$195.00$210.00$200.00$210.00
ATM IV19.7%17.1%21.4%19.6%19.4%
Expected Move5.7%5.5%6.1%5.6%5.6%
HV 20d24.6%21.3%28.0%21.6%21.3%
HV 60d24.7%21.0%27.0%26.1%21.0%
IV Rank8.0%1.8%12.1%7.7%7.3%
IV Percentile31.4%5.6%46.4%33.3%27.8%
Term Structure2.1%1.3%3.0%1.3%3.0%
VWIV20.9%19.4%23.7%20.3%19.4%
Skew 25d2.9%2.1%3.4%2.3%2.4%
Skew 10d7.1%5.0%10.6%8.9%5.0%
Call IV 25d19.2%17.7%20.7%19.0%19.2%
Put IV 25d22.1%20.5%23.7%21.4%21.5%
Bid-Ask Spread %66.1152.7881.7181.3979.00
Gamma HHI0.320.190.440.200.32
Net GEX2.0M-1.1M3.7M-1.1M1.8M
Net DEX-34.7M-58.5M3.7M3.7M-31.0M
Net VEX-247.5K-258.8K-222.6K-249.9K-246.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.132.190.360.63
Total Volume727.25672,86745467
Total OI12,211.4510,43814,35311,55211,327

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$193.37$200.0019.6%5.6%21.6%7.7%20.3%2.3%1.3%-1.1M3.7M-249.9K0.3681.39N/AN/A3341204,8106,742
2012-02-02$196.31$200.0019.2%5.5%21.8%6.9%19.9%2.8%1.7%-265.4K-7.9M-248.0K0.6780.85N/AN/A3232165,0346,783
2012-02-03$203.06$195.0017.7%5.6%24.3%3.3%20.2%3.4%2.2%1.0M-32.2M-246.3K0.8153.03N/AN/A5844715,1366,957
2012-02-06$202.81$195.0018.5%5.7%24.3%5.3%19.8%3.2%2.0%1.4M-33.4M-235.4K1.0056.53N/AN/A2402405,2196,911
2012-02-07$201.85$195.0017.6%5.5%24.5%3.0%20.3%3.4%2.5%1.3M-29.6M-244.0K0.2657.35N/AN/A1,0032585,2616,993
2012-02-08$201.75$195.0017.1%5.6%24.5%1.8%20.0%3.0%2.3%3.4M-38.0M-248.5K0.1359.09N/AN/A1,2861666,0487,082
2012-02-09$201.54$195.0019.9%5.7%24.4%8.5%20.9%3.4%2.2%3.3M-31.0M-244.3K2.1962.19N/AN/A1132475,6037,200
2012-02-10$200.16$200.0020.9%6.0%24.6%10.9%22.0%3.3%1.8%3.0M-22.6M-253.7K1.5755.11N/AN/A2073245,6047,228
2012-02-13$208.46$200.0020.4%5.8%28.0%9.6%20.7%3.0%1.5%3.2M-56.7M-222.6K0.2658.27N/AN/A2,2795885,6067,298
2012-02-14$209.10$200.0020.7%5.9%27.4%10.5%22.0%2.8%1.7%3.3M-57.0M-249.2K0.2552.78N/AN/A9222276,1017,726
2012-02-15$207.83$200.0021.0%6.0%27.4%11.1%21.7%2.9%1.9%3.7M-58.5M-258.8K0.3758.45N/AN/A4501666,6207,733
2012-02-16$208.88$200.0021.4%6.1%27.4%12.1%23.7%3.1%1.6%3.2M-54.4M-249.7K1.1455.55N/AN/A2983406,1907,738
2012-02-17$208.88$200.0020.5%5.9%27.2%9.9%22.3%2.8%2.0%2.5M-51.2M-251.6K1.8864.73N/AN/A1763306,2097,875
2012-02-21$206.82$200.0020.7%5.9%27.4%10.3%21.9%3.4%2.0%1.7M-29.9M-254.6K1.6366.87N/AN/A3275344,8455,593
2012-02-22$206.34$210.0020.1%5.8%27.4%9.1%20.5%2.8%2.5%1.6M-27.7M-258.7K0.3870.70N/AN/A78304,9085,903
2012-02-23$207.97$210.0019.4%5.6%22.4%7.4%20.4%2.5%2.7%1.8M-32.7M-248.8K0.7173.56N/AN/A2571824,8965,920
2012-02-24$207.29$210.0019.3%5.5%21.7%7.0%20.9%2.4%2.8%1.6M-30.4M-247.6K1.2475.78N/AN/A1702114,8706,028
2012-02-27$210.18$210.0020.1%5.8%22.0%9.0%20.5%2.7%2.5%2.0M-38.9M-243.5K1.1279.36N/AN/A2542854,9186,091
2012-02-28$209.04$210.0020.1%5.8%22.2%8.9%21.5%2.1%2.3%1.8M-34.6M-247.8K1.0281.71N/AN/A1201224,9886,235
2012-02-29$207.73$210.0019.4%5.6%21.3%7.3%19.4%2.4%3.0%1.8M-31.0M-246.8K0.6379.00N/AN/A41265,0596,268