GWW Options History — June 2012

In June 2012, GWW traded between $177.10 and $191.24. ATM implied volatility averaged 30.8%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 4.2% (HV 20d: 34.9%). Max pain ranged from $190.00 to $200.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.52.

Notable Days

  • 2012-06-05: Highest Volume — 2,910 contracts
  • 2012-06-11: Largest IV spike — 35.8% change
  • 2012-06-05: Highest IV Rank — 50.0%
  • 2012-06-13: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$184.06$177.10$191.24$188.25$191.24
Max Pain$198.10$190.00$200.00$200.00$190.00
ATM IV30.8%26.1%36.0%28.9%27.6%
Expected Move9.0%7.7%10.5%8.3%7.9%
HV 20d34.9%24.1%41.5%24.7%41.5%
HV 60d29.3%24.7%32.7%24.8%32.7%
IV Rank38.3%28.1%50.0%34.3%31.4%
IV Percentile73.2%57.1%88.1%71.4%59.1%
Term Structure-1.0%-3.5%3.2%3.2%0.3%
VWIV31.2%27.4%34.5%31.5%27.4%
Skew 25d6.8%4.2%9.5%5.7%4.2%
Skew 10d15.5%7.3%25.1%15.3%7.3%
Call IV 25d28.6%25.1%32.4%27.6%26.2%
Put IV 25d35.4%30.3%41.9%33.2%30.3%
Bid-Ask Spread %59.4144.9570.7665.3969.27
Gamma HHI0.130.090.460.120.12
Net GEX-4.0M-10.9M-1.9M-3.5M-1.9M
Net DEX75.0M22.8M128.7M66.9M22.8M
Net VEX-390.8K-429.5K-363.2K-427.2K-379.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.2410.832.990.24
Total Volume1,235.9524672,9101,176467
Total OI23,919.8121,70426,76821,70425,214

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$188.25$200.0028.9%8.3%24.7%34.3%31.5%5.7%3.2%-3.5M66.9M-427.2K2.9965.39N/AN/A2958816,14515,559
2012-06-04$187.50$200.0032.8%9.8%24.1%42.8%30.8%8.2%-2.0%-4.0M76.3M-422.0K0.6644.95N/AN/A3602386,14216,396
2012-06-05$177.95$200.0036.0%10.0%28.6%50.0%33.7%9.0%-1.6%-4.2M112.1M-385.4K1.6651.04N/AN/A1,0961,8146,27016,491
2012-06-06$182.38$200.0032.5%9.7%30.8%42.1%33.1%8.5%-2.2%-4.5M95.5M-394.0K2.2750.12N/AN/A4481,0196,44316,538
2012-06-07$185.74$200.0028.5%9.2%31.9%33.4%32.4%7.6%-1.3%-4.2M81.3M-410.4K1.2048.56N/AN/A5236256,54916,526
2012-06-08$189.98$200.0026.1%8.6%33.2%28.1%30.4%6.9%-0.8%-4.1M67.4M-429.5K2.4467.50N/AN/A2335686,79217,041
2012-06-11$180.88$200.0035.5%9.9%34.7%48.8%32.7%8.2%-2.1%-5.1M106.3M-384.2K5.4656.16N/AN/A3301,8016,85617,401
2012-06-12$181.58$200.0032.4%9.9%34.4%42.0%34.1%8.8%-2.6%-5.8M105.4M-389.2K2.0152.65N/AN/A5531,1126,99317,521
2012-06-13$177.22$200.0034.8%10.5%35.2%47.3%34.5%9.5%-3.5%-5.9M123.8M-382.0K1.4549.93N/AN/A7181,0417,23417,935
2012-06-14$177.10$200.0035.6%10.2%35.2%49.0%30.9%8.8%-2.8%-6.1M128.7M-424.7K1.0950.33N/AN/A9851,0697,86118,907
2012-06-15$180.52$200.0032.6%9.4%35.7%42.5%34.3%8.4%-1.4%-10.9M94.0M-399.0K2.3751.29N/AN/A3378008,28818,352
2012-06-18$181.38$200.0029.4%8.4%35.6%35.4%29.3%7.1%-0.8%-4.0M81.1M-381.6K1.5856.80N/AN/A3655776,56516,304
2012-06-19$189.02$200.0027.0%7.7%38.3%30.1%28.1%5.1%-0.5%-2.7M43.4M-376.9K0.9755.80N/AN/A4304156,73916,412
2012-06-20$189.40$200.0026.9%7.7%37.3%29.9%27.4%5.4%0.7%-2.7M43.3M-379.6K0.3369.70N/AN/A7282426,74116,614
2012-06-21$184.16$195.0029.7%8.5%38.2%35.9%30.5%5.6%-0.7%-2.8M57.3M-392.5K0.5765.52N/AN/A9745567,38416,690
2012-06-22$186.81$195.0028.4%8.1%38.7%33.1%30.4%4.7%0.3%-2.1M42.4M-377.7K0.7364.85N/AN/A3582627,49615,671
2012-06-25$183.74$195.0029.4%8.4%39.1%35.4%31.2%5.8%-1.0%-2.2M51.6M-364.5K3.1966.89N/AN/A1805747,74615,758
2012-06-26$183.45$195.0030.3%8.7%38.6%37.3%31.5%5.4%-0.5%-2.4M54.9M-363.2K7.3470.76N/AN/A584267,72216,145
2012-06-27$184.61$195.0029.8%8.6%38.8%36.3%29.8%5.0%-0.8%-2.5M52.4M-368.8K10.8369.59N/AN/A849107,72316,414
2012-06-28$182.45$195.0031.5%9.0%38.8%40.0%30.6%6.0%-0.3%-3.3M67.5M-374.1K3.5170.47N/AN/A3331,1707,79716,941
2012-06-29$191.24$190.0027.6%7.9%41.5%31.4%27.4%4.2%0.3%-1.9M22.8M-379.9K0.2469.27N/AN/A376918,02617,188