GWW Options History — May 2012

In May 2012, GWW traded between $186.23 and $209.03. ATM implied volatility averaged 27.3%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.3% (HV 20d: 28.6%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.33.

Notable Days

  • 2012-05-30: Highest Volume — 6,724 contracts
  • 2012-05-21: Largest IV drop — 13.3% change
  • 2012-05-18: Highest IV Rank — 45.3%
  • 2012-05-18: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$196.94$186.23$209.03$207.83$193.65
Max Pain$207.27$200.00$210.00$210.00$200.00
ATM IV27.3%22.4%33.9%22.7%25.4%
Expected Move7.8%6.4%9.7%6.5%7.3%
HV 20d28.6%23.5%31.8%30.7%23.5%
HV 60d23.3%21.7%24.3%22.4%24.2%
IV Rank30.6%19.8%45.3%20.5%26.4%
IV Percentile64.8%46.8%84.1%49.2%55.6%
Term Structure2.1%0.5%5.4%0.5%4.4%
VWIV27.7%23.0%33.9%23.0%27.2%
Skew 25d5.3%3.6%6.3%4.1%4.8%
Skew 10d9.1%5.6%15.1%7.6%11.3%
Call IV 25d25.2%21.7%30.5%22.0%24.3%
Put IV 25d30.5%25.3%35.6%26.1%29.0%
Bid-Ask Spread %53.9841.4963.5061.0862.33
Gamma HHI0.170.120.210.150.12
Net GEX-2.7M-4.6M-403.6K-403.6K-3.2M
Net DEX46.3M10.0M95.5M10.9M47.3M
Net VEX-305.8K-428.6K-249.2K-268.1K-428.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.330.4331.480.770.86
Total Volume1,252.3182686,724667512
Total OI15,302.81813,13221,44513,50021,445

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$207.83$210.0022.7%6.5%30.7%20.5%23.0%4.1%0.5%-403.6K10.9M-268.1K0.7761.08N/AN/A3772905,1348,366
2012-05-02$209.03$210.0022.4%6.4%30.7%19.8%24.7%3.6%0.6%-663.4K10.0M-257.5K3.7258.63N/AN/A1003724,9208,446
2012-05-03$205.66$210.0022.7%6.5%31.0%20.7%24.9%4.5%0.8%-1.2M19.6M-249.2K8.0363.50N/AN/A1571,2614,8828,277
2012-05-04$201.75$210.0025.2%7.4%31.6%26.1%26.2%5.8%1.1%-2.7M41.6M-268.2K0.4341.49N/AN/A6542824,8789,188
2012-05-07$204.70$210.0027.3%7.6%31.8%30.6%23.7%5.7%0.7%-1.9M29.7M-276.8K0.9246.07N/AN/A3593325,2379,290
2012-05-08$203.27$210.0026.8%7.7%30.2%29.6%26.1%5.3%0.8%-2.2M34.9M-280.1K0.6045.93N/AN/A4852895,4009,428
2012-05-09$201.76$210.0027.8%7.8%29.4%31.8%27.7%5.3%0.9%-2.6M40.3M-283.8K1.5747.03N/AN/A1151805,6889,496
2012-05-10$202.40$210.0027.2%7.8%29.0%30.5%28.4%5.4%0.8%-2.2M34.2M-285.3K1.1445.73N/AN/A1631865,6939,504
2012-05-11$194.57$210.0029.0%8.3%31.8%34.4%30.0%5.6%1.2%-3.7M61.3M-261.4K4.7150.81N/AN/A6322,9765,7569,534
2012-05-14$191.25$210.0031.3%9.0%31.5%39.5%30.2%5.9%0.5%-4.6M81.5M-283.2K1.4946.38N/AN/A8471,2605,94310,838
2012-05-15$191.77$210.0030.8%8.8%31.6%38.4%28.7%6.3%1.0%-4.5M73.1M-285.5K0.5253.24N/AN/A2741436,31710,620
2012-05-16$191.77$210.0031.1%8.9%31.4%39.1%31.1%6.1%1.5%-4.4M70.9M-282.4K4.3653.07N/AN/A1436246,33210,592
2012-05-17$188.40$210.0032.7%9.4%31.5%42.6%32.6%5.1%1.2%-4.3M84.1M-286.2K3.4054.10N/AN/A5661,9266,42810,902
2012-05-18$186.23$210.0033.9%9.7%28.3%45.3%33.9%4.8%1.0%-3.8M95.5M-305.4K4.2653.02N/AN/A2511,0706,78911,818
2012-05-21$188.99$210.0029.4%8.4%26.8%35.4%28.7%5.5%2.5%-2.3M53.5M-310.8K0.8656.84N/AN/A2221914,6168,516
2012-05-22$193.57$210.0026.7%7.6%26.4%29.3%27.7%5.1%3.3%-2.3M43.5M-328.0K0.7261.76N/AN/A5273774,6918,601
2012-05-23$195.45$200.0026.5%7.6%25.3%29.0%27.7%5.9%4.1%-2.4M38.8M-337.5K0.8456.00N/AN/A3683094,9068,877
2012-05-24$194.84$200.0026.5%7.6%25.1%28.9%28.0%5.5%4.3%-2.3M37.8M-354.2K0.7953.64N/AN/A1501185,1829,064
2012-05-25$193.90$200.0024.9%7.2%24.0%25.6%23.9%5.5%5.3%-2.5M41.3M-351.1K0.8656.99N/AN/A4003465,2839,107
2012-05-29$196.34$200.0024.0%6.9%23.6%23.5%28.3%4.5%5.4%-2.3M33.6M-360.6K0.8557.51N/AN/A5374565,6089,373
2012-05-30$195.66$200.0025.6%7.3%23.6%26.9%27.0%5.8%4.0%-2.5M35.7M-384.5K31.4862.37N/AN/A2076,5175,9469,751
2012-05-31$193.65$200.0025.4%7.3%23.5%26.4%27.2%4.8%4.4%-3.2M47.3M-428.6K0.8662.33N/AN/A2752376,04115,404