GWW Options History — July 2012

In July 2012, GWW traded between $179.02 and $210.57. ATM implied volatility averaged 29.4%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 13.0% (HV 20d: 42.4%). Max pain ranged from $185.00 to $200.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.18.

Notable Days

  • 2012-07-18: Highest Volume — 4,924 contracts
  • 2012-07-12: Largest IV drop — 20.3% change
  • 2012-07-11: Highest IV Rank — 58.9%
  • 2012-07-12: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$195.84$179.02$210.57$190.10$204.83
Max Pain$191.43$185.00$200.00$190.00$200.00
ATM IV29.4%24.2%40.1%28.7%28.6%
Expected Move8.1%6.9%9.2%8.2%8.2%
HV 20d42.4%31.6%51.0%41.5%48.7%
HV 60d35.9%32.2%39.5%32.7%39.1%
IV Rank35.3%24.0%58.9%33.9%33.6%
IV Percentile62.5%36.5%93.7%65.5%61.1%
Term Structure-0.6%-3.1%2.3%-1.2%-1.5%
VWIV30.2%26.3%34.9%30.6%29.8%
Skew 25d5.7%3.2%8.7%5.5%3.9%
Skew 10d12.1%8.6%20.2%11.4%8.6%
Call IV 25d26.1%19.8%29.7%27.2%25.3%
Put IV 25d31.8%27.9%37.3%32.7%29.2%
Bid-Ask Spread %70.6653.5583.5376.2583.53
Gamma HHI0.130.100.210.120.10
Net GEX-1.3M-4.4M1.3M-2.3M427.9K
Net DEX3.7M-106.9M102.2M30.0M-23.1M
Net VEX-336.8K-367.1K-303.1K-367.1K-341.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.445.571.111.67
Total Volume1,303.1431604,924493160
Total OI23,268.66711,88932,86725,33314,149

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$190.10$190.0028.7%8.2%41.5%33.9%30.6%5.5%-1.2%-2.3M30.0M-367.1K1.1176.25N/AN/A2342598,15817,175
2012-07-03$193.38$190.0027.8%8.0%36.8%31.7%33.5%4.3%-1.1%-1.7M11.5M-366.4K5.0875.00N/AN/A1025188,15317,111
2012-07-05$191.87$190.0029.8%8.5%36.2%36.3%33.5%4.8%-1.6%-1.6M18.1M-349.9K1.8079.92N/AN/A1362458,15517,181
2012-07-06$187.77$185.0029.7%8.0%36.7%36.1%28.5%6.2%1.7%-2.2M39.4M-347.8K3.2653.55N/AN/A381248,24417,308
2012-07-09$188.03$185.0033.5%8.3%35.7%44.4%30.3%6.2%-0.6%-2.1M37.0M-327.8K3.5554.56N/AN/A4571,6228,26417,316
2012-07-10$184.55$185.0036.4%8.7%31.6%50.8%29.4%6.7%-0.8%-3.7M68.5M-337.2K0.8157.96N/AN/A7355948,49618,468
2012-07-11$179.02$185.0040.1%9.1%33.5%58.9%31.2%6.7%-2.0%-4.4M102.2M-316.0K0.9062.63N/AN/A2,1391,9348,76818,802
2012-07-12$185.43$185.0031.9%9.2%34.6%41.0%34.9%8.7%-2.4%-3.0M58.0M-360.8K2.1958.90N/AN/A4108979,99919,579
2012-07-13$189.76$185.0031.1%8.9%35.3%39.1%33.4%7.6%-2.7%-3.2M39.4M-366.8K4.0059.72N/AN/A3221,2899,57019,563
2012-07-16$188.09$185.0031.5%9.0%35.1%40.0%34.1%6.6%-2.0%-4.1M49.6M-347.2K0.4461.74N/AN/A5972639,56820,442
2012-07-17$188.97$185.0030.6%8.8%35.1%38.1%34.9%6.0%-3.1%-3.6M42.7M-331.6K5.5768.16N/AN/A4792,6679,87320,487
2012-07-18$210.57$185.0025.2%7.2%49.9%26.1%27.1%8.5%1.4%1.0M-106.9M-303.1K1.1482.70N/AN/A2,2982,62610,14621,021
2012-07-19$205.72$200.0024.4%7.0%51.0%24.2%28.6%4.9%2.3%1.3M-93.0M-306.2K1.0077.96N/AN/A86987010,36021,734
2012-07-20$204.80$200.0026.6%7.6%49.7%29.2%26.3%5.1%1.4%538.0K-90.5M-319.3K1.7575.83N/AN/A15827710,74022,127
2012-07-23$204.24$200.0027.8%8.0%49.6%31.8%28.1%5.6%-0.5%424.1K-19.3M-318.7K1.3274.22N/AN/A2803695,4546,435
2012-07-24$198.75$200.0028.0%8.0%50.4%32.2%28.9%6.0%0.0%-35.9K-4.8M-322.1K1.4671.19N/AN/A4426475,5996,698
2012-07-25$199.22$195.0027.4%7.9%50.3%30.9%27.7%4.8%0.4%41.6K-5.9M-335.4K0.8174.91N/AN/A2331885,8867,047
2012-07-26$202.26$195.0027.4%7.9%50.5%31.0%28.7%5.0%-0.4%324.1K-13.7M-338.0K1.4373.77N/AN/A1932766,0237,171
2012-07-27$207.76$195.0024.2%6.9%50.7%24.0%27.0%4.6%1.2%743.7K-30.5M-334.5K3.1978.14N/AN/A2528046,1127,267
2012-07-30$207.55$200.0026.3%7.5%48.4%28.4%27.6%3.2%-0.3%693.7K-31.0M-334.5K3.3283.26N/AN/A842796,0667,927
2012-07-31$204.83$200.0028.6%8.2%48.7%33.6%29.8%3.9%-1.5%427.9K-23.1M-341.6K1.6783.53N/AN/A601006,1098,040