GWW Options History — April 2012

In April 2012, GWW traded between $204.01 and $219.90. ATM implied volatility averaged 24.5%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.5% (HV 20d: 22.0%). Max pain ranged from $210.00 to $210.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.67.

Notable Days

  • 2012-04-24: Highest Volume — 4,826 contracts
  • 2012-04-09: Largest IV spike — 22.8% change
  • 2012-04-11: Highest IV Rank — 36.1%
  • 2012-04-24: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$213.38$204.01$219.90$218.19$207.82
Max Pain$210.00$210.00$210.00$210.00$210.00
ATM IV24.5%19.8%29.7%24.1%23.5%
Expected Move6.9%5.7%8.0%6.9%6.7%
HV 20d22.0%15.5%31.4%17.0%31.4%
HV 60d21.1%19.5%23.4%19.5%23.4%
IV Rank24.6%14.1%36.1%23.7%22.3%
IV Percentile58.2%28.6%77.0%61.1%54.4%
Term Structure-0.6%-1.9%2.1%-1.9%0.1%
VWIV25.4%21.7%29.3%25.5%25.0%
Skew 25d4.5%3.6%5.4%3.7%4.2%
Skew 10d9.4%7.7%11.0%7.7%8.4%
Call IV 25d22.4%18.4%24.8%23.5%22.8%
Put IV 25d27.0%22.7%30.1%27.3%27.0%
Bid-Ask Spread %63.8152.6581.6379.4359.30
Gamma HHI0.250.120.850.180.13
Net GEX1.7M-1.2M21.9M753.8K-376.3K
Net DEX-20.7M-54.5M23.3M-37.1M9.7M
Net VEX-226.7K-275.4K-182.3K-226.7K-263.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.324.581.663.05
Total Volume1,251.72834,8266391,352
Total OI13,894.58,71015,73514,00812,947

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$218.19$210.0024.1%6.9%17.0%23.7%25.5%3.7%-1.9%753.8K-37.1M-226.7K1.6679.43N/AN/A2403995,0958,913
2012-04-03$219.48$210.0023.9%6.9%15.5%23.3%27.9%3.8%-1.7%826.3K-40.8M-221.4K3.6681.63N/AN/A772825,1009,162
2012-04-04$217.43$210.0024.0%6.9%16.2%23.5%24.9%3.8%-1.6%501.4K-33.3M-228.5K0.8079.64N/AN/A2992405,0959,294
2012-04-05$217.27$210.0023.9%6.8%16.1%23.2%27.0%3.6%-1.5%908.0K-34.6M-232.3K2.7179.08N/AN/A842285,3569,335
2012-04-09$213.80$210.0029.3%7.3%15.9%35.2%29.3%5.3%-1.5%430.3K-21.9M-216.2K1.1052.65N/AN/A5105625,3859,385
2012-04-10$207.62$210.0029.6%7.3%18.9%35.7%28.8%4.8%-1.2%-882.1K-4.1M-239.2K2.1454.36N/AN/A7471,5965,7909,466
2012-04-11$211.61$210.0029.7%7.3%19.5%36.1%25.4%5.4%-1.1%353.5K-18.4M-230.8K0.7355.41N/AN/A3532585,7809,109
2012-04-12$214.00$210.0025.9%7.4%20.0%27.7%26.1%4.7%-1.8%1.0M-24.9M-226.0K0.7655.62N/AN/A3752855,6979,076
2012-04-13$213.18$210.0025.7%7.4%20.0%27.2%25.7%4.9%-1.1%1.2M-24.7M-231.4K0.8756.70N/AN/A1511325,9569,125
2012-04-16$215.59$210.0024.8%7.1%20.0%25.1%25.9%4.5%-1.3%1.8M-35.3M-217.6K0.9463.64N/AN/A3613395,9659,138
2012-04-17$215.63$210.0021.0%6.0%19.8%16.9%22.0%5.3%1.2%2.8M-36.5M-193.3K0.8968.64N/AN/A5224666,0019,146
2012-04-18$216.75$210.0020.9%6.0%19.9%16.7%23.4%4.5%1.4%3.3M-41.3M-187.5K1.4471.26N/AN/A2583716,0379,248
2012-04-19$213.26$210.0023.2%6.6%20.4%21.6%24.5%5.0%0.7%863.7K-26.2M-182.3K3.3562.87N/AN/A2929785,9469,248
2012-04-20$219.90$210.0019.8%5.7%23.0%14.1%21.7%4.2%2.1%21.9M-54.5M-194.6K0.3265.35N/AN/A1,2654096,0179,718
2012-04-23$211.24$210.0023.4%6.7%27.3%22.0%23.8%4.2%0.4%-689.5K883.5K-197.2K1.1157.79N/AN/A1,5591,7292,9415,769
2012-04-24$204.01$210.0027.7%8.0%29.1%31.7%26.6%5.3%-1.4%-1.2M23.3M-255.5K1.2752.92N/AN/A2,1232,7033,8596,936
2012-04-25$208.44$210.0024.0%6.9%30.3%23.5%27.5%4.6%-0.7%692.9K-849.2K-275.4K1.2955.97N/AN/A4956395,3977,137
2012-04-26$209.46$210.0023.2%6.6%30.0%21.6%24.2%4.1%-0.3%-146.8K441.6K-255.3K0.8062.11N/AN/A4443534,7007,324
2012-04-27$212.83$210.0022.7%6.5%30.6%20.5%23.5%4.8%0.2%769.3K-13.6M-259.4K4.5861.76N/AN/A2791,2794,9267,371
2012-04-30$207.82$210.0023.5%6.7%31.4%22.3%25.0%4.2%0.1%-376.3K9.7M-263.3K3.0559.30N/AN/A3341,0184,9667,981