GWW Options History — March 2012

In March 2012, GWW traded between $205.54 and $219.36. ATM implied volatility averaged 20.4%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.3% (HV 20d: 16.2%). Max pain ranged from $190.00 to $210.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.45.

Notable Days

  • 2012-03-28: Highest Volume — 1,899 contracts
  • 2012-03-15: Largest IV spike — 53.4% change
  • 2012-03-30: Highest IV Rank — 26.6%
  • 2012-03-30: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$213.02$205.54$219.36$207.82$214.81
Max Pain$198.18$190.00$210.00$210.00$210.00
ATM IV20.4%13.4%25.4%18.9%25.4%
Expected Move6.2%5.3%7.3%5.4%7.3%
HV 20d16.2%13.6%21.1%21.1%16.3%
HV 60d20.2%19.2%21.2%21.0%19.4%
IV Rank13.2%0.0%26.6%6.0%26.6%
IV Percentile39.2%0.0%64.3%21.4%64.3%
Term Structure0.7%-1.5%3.6%3.4%-1.5%
VWIV22.9%19.7%25.5%19.8%25.5%
Skew 25d3.6%2.3%4.6%2.7%3.2%
Skew 10d7.8%5.1%10.2%5.3%6.3%
Call IV 25d20.6%18.2%23.7%18.3%23.7%
Put IV 25d24.2%20.6%26.9%21.0%26.9%
Bid-Ask Spread %73.9759.4680.7379.8479.21
Gamma HHI0.260.160.370.320.17
Net GEX1.6M432.4K2.9M1.8M432.4K
Net DEX-37.8M-59.4M-24.2M-32.4M-28.5M
Net VEX-206.0K-244.4K-164.4K-244.4K-233.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.450.1811.711.822.94
Total Volume7141031,899234626
Total OI11,245.3648,97613,75411,35113,754

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$207.82$210.0018.9%5.4%21.1%6.0%19.8%2.7%3.4%1.8M-32.4M-244.4K1.8279.84N/AN/A831515,0726,279
2012-03-02$208.10$210.0018.4%5.3%20.6%4.9%19.7%2.4%3.6%2.0M-32.9M-239.8K0.8679.92N/AN/A1181025,0926,259
2012-03-05$208.96$190.0019.4%6.4%17.1%7.4%22.3%4.3%1.2%2.1M-35.0M-231.7K0.8472.62N/AN/A56475,1106,302
2012-03-06$205.54$190.0021.0%6.7%18.3%11.1%24.0%4.5%0.8%1.5M-24.2M-235.1K0.8459.46N/AN/A2572175,0986,303
2012-03-07$206.12$190.0020.0%6.6%18.2%8.8%24.8%4.4%0.9%1.5M-24.2M-232.6K7.6960.68N/AN/A393005,1786,424
2012-03-08$207.56$190.0019.9%6.5%18.3%8.5%24.8%4.4%1.2%1.9M-28.4M-238.2K4.4364.64N/AN/A1345935,0536,478
2012-03-09$211.77$195.0019.0%6.5%19.4%6.5%24.2%4.6%0.9%2.5M-42.2M-235.6K0.8967.08N/AN/A3773355,0946,703
2012-03-12$213.43$195.0019.7%6.6%19.2%8.1%22.9%4.2%0.6%2.7M-48.0M-217.4K0.4467.81N/AN/A4311915,0726,787
2012-03-13$216.45$195.0015.7%5.9%13.9%0.0%22.8%3.9%1.4%2.9M-59.4M-207.9K0.9776.40N/AN/A3283185,2246,849
2012-03-14$216.11$195.0013.4%5.9%13.9%0.0%23.8%4.2%1.7%2.4M-56.1M-211.9K0.1872.24N/AN/A1,0051775,1616,964
2012-03-15$216.48$195.0020.5%5.9%13.6%15.7%22.6%3.9%1.6%2.1M-47.2M-197.6K3.3675.25N/AN/A3581,2044,6767,080
2012-03-16$214.09$195.0022.3%6.4%14.3%19.6%22.9%3.7%1.1%1.5M-49.1M-164.4K1.0174.34N/AN/A2512544,7496,178
2012-03-19$212.68$200.0021.7%6.2%14.6%18.3%21.9%3.6%0.2%1.1M-31.2M-165.2K0.7374.61N/AN/A5263833,7905,186
2012-03-20$212.19$200.0021.5%6.2%14.1%17.9%22.4%3.9%0.1%1.1M-30.0M-177.2K1.2874.31N/AN/A3224114,1615,463
2012-03-21$214.71$200.0021.3%6.1%14.5%17.4%21.3%3.1%0.5%1.4M-36.0M-182.0K0.9975.45N/AN/A2352324,3715,659
2012-03-22$213.61$200.0021.8%6.3%14.5%18.7%24.3%3.5%0.1%1.1M-31.6M-184.1K3.1774.46N/AN/A632004,3135,809
2012-03-23$214.72$200.0021.8%6.3%14.5%18.7%21.2%3.1%0.1%1.3M-36.6M-180.3K0.5080.16N/AN/A130654,3585,869
2012-03-26$218.00$200.0020.6%5.9%14.6%15.9%23.3%3.2%-0.4%1.5M-42.4M-172.8K5.5178.39N/AN/A1367504,3705,885
2012-03-27$219.36$200.0021.3%6.1%14.4%17.5%21.7%2.3%-0.8%1.3M-44.1M-175.4K2.6579.17N/AN/A3429054,3956,408
2012-03-28$216.27$200.0022.7%6.5%15.3%20.6%23.2%3.1%-1.1%722.2K-34.1M-189.1K1.0680.58N/AN/A9249754,4307,126
2012-03-29$217.55$200.0023.2%6.6%15.4%21.7%23.4%3.4%-1.2%1.1M-38.6M-216.2K11.7180.73N/AN/A911,0665,0337,833
2012-03-30$214.81$210.0025.4%7.3%16.3%26.6%25.5%3.2%-1.5%432.4K-28.5M-233.8K2.9479.21N/AN/A1594675,0458,709