GWW Options History — August 2012

In August 2012, GWW traded between $200.74 and $208.22. ATM implied volatility averaged 22.8%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 7.7% (HV 20d: 30.5%). Max pain ranged from $200.00 to $200.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.63.

Notable Days

  • 2012-08-10: Highest Volume — 741 contracts
  • 2012-08-03: Largest IV drop — 15.3% change
  • 2012-08-01: Highest IV Rank — 31.0%
  • 2012-08-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$204.56$200.74$208.22$203.01$205.96
Max Pain$200.00$200.00$200.00$200.00$200.00
ATM IV22.8%20.1%27.4%27.4%21.3%
Expected Move6.7%5.7%7.9%7.9%6.1%
HV 20d30.5%13.8%48.6%48.6%13.8%
HV 60d37.9%35.3%39.2%39.0%35.3%
IV Rank23.2%17.4%31.0%31.0%20.7%
IV Percentile28.8%12.3%52.0%52.0%22.2%
Term Structure3.4%-0.9%5.2%-0.9%4.2%
VWIV24.6%20.5%29.9%29.7%21.8%
Skew 25d4.4%3.5%5.4%3.9%3.9%
Skew 10d10.4%7.0%14.1%9.0%8.7%
Call IV 25d21.5%19.4%24.5%24.5%20.2%
Put IV 25d25.9%23.8%28.6%28.4%24.1%
Bid-Ask Spread %76.7367.3288.2283.8684.28
Gamma HHI0.150.100.210.100.21
Net GEX773.3K-261.7K1.3M249.6K1.3M
Net DEX-21.1M-36.9M-3.6M-16.8M-27.0M
Net VEX-290.8K-338.6K-269.2K-338.6K-275.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.063.671.873.58
Total Volume306.6524274166252
Total OI13,659.65211,80614,85514,21413,163

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$203.01$200.0027.4%7.9%48.6%31.0%29.7%3.9%-0.9%249.6K-16.8M-338.6K1.8783.86N/AN/A23436,1168,098
2012-08-02$201.27$200.0025.8%7.4%48.6%27.3%26.4%4.8%0.8%34.5K-9.7M-332.9K0.9082.65N/AN/A50456,1138,124
2012-08-03$205.29$200.0021.8%6.3%48.1%18.7%24.6%4.0%1.9%587.6K-24.4M-323.7K1.5788.22N/AN/A941486,1368,147
2012-08-06$206.55$200.0022.8%6.9%48.1%20.9%27.9%5.0%3.0%674.8K-30.2M-315.3K2.6467.32N/AN/A591566,1898,216
2012-08-07$208.22$200.0023.8%7.1%47.3%23.1%23.6%4.4%2.2%1.0M-36.9M-306.6K0.0668.98N/AN/A259156,2158,286
2012-08-08$206.47$200.0022.7%6.9%45.7%20.5%29.9%4.8%2.9%899.5K-29.8M-309.1K1.2368.26N/AN/A2613226,3888,296
2012-08-09$204.51$200.0024.2%7.3%44.8%23.9%25.9%4.5%2.9%562.3K-18.6M-309.5K2.6867.78N/AN/A812176,0688,547
2012-08-10$200.74$200.0022.4%7.2%45.0%23.4%26.2%5.0%2.7%-261.7K-3.6M-304.4K1.8668.39N/AN/A2594826,0988,738
2012-08-13$201.28$200.0023.6%7.1%44.8%26.6%26.3%5.4%3.5%232.3K-7.0M-290.1K0.7667.73N/AN/A121926,0378,635
2012-08-14$201.20$200.0025.1%7.0%44.8%30.7%27.7%4.8%3.4%343.4K-8.2M-291.3K2.3369.18N/AN/A1232866,0398,685
2012-08-15$202.39$200.0021.7%6.9%21.7%21.8%26.7%4.8%4.1%832.3K-12.4M-283.9K0.6868.89N/AN/A25176,0508,805
2012-08-16$206.10$200.0022.3%6.4%21.3%23.2%23.1%5.2%3.9%632.9K-22.5M-273.9K0.1577.93N/AN/A438675,8218,520
2012-08-17$207.28$200.0022.6%6.5%21.3%24.0%23.4%3.7%3.4%893.3K-28.8M-271.5K0.1876.65N/AN/A508916,0358,551
2012-08-20$205.80$200.0020.1%5.7%21.5%17.4%24.4%4.6%4.6%1.1M-23.7M-269.9K1.4475.88N/AN/A2593735,5516,255
2012-08-21$203.62$200.0022.4%6.4%19.4%23.6%23.2%3.7%4.2%954.2K-20.3M-269.2K0.3779.03N/AN/A138515,6966,449
2012-08-22$205.06$200.0020.5%5.9%19.5%18.6%23.6%4.5%4.6%1.0M-23.2M-278.3K2.4079.81N/AN/A431035,7456,453
2012-08-23$204.13$200.0022.8%6.5%18.9%24.6%21.5%3.9%4.1%950.0K-19.9M-276.0K0.3481.80N/AN/A156535,7726,539
2012-08-24$204.99$200.0023.2%6.6%16.2%25.5%20.5%4.4%3.4%1.1M-24.1M-272.1K2.1579.47N/AN/A611315,8946,576
2012-08-27$206.34$200.0020.6%5.9%16.4%19.0%22.0%4.1%4.6%1.2M-25.9M-272.9K2.3679.37N/AN/A841985,9176,650
2012-08-28$205.98$200.0020.6%5.9%15.7%18.8%21.0%4.0%5.2%1.2M-27.3M-273.1K0.8282.22N/AN/A2141765,9656,701
2012-08-29$204.41$200.0023.1%6.6%15.6%25.3%22.9%3.5%4.5%1.1M-22.6M-275.7K3.5483.90N/AN/A521846,0826,821
2012-08-30$204.27$200.0023.4%6.7%15.3%26.1%24.3%4.5%4.4%1.1M-21.2M-274.5K3.6783.14N/AN/A521916,0766,914
2012-08-31$205.96$200.0021.3%6.1%13.8%20.7%21.8%3.9%4.2%1.3M-27.0M-275.2K3.5884.28N/AN/A551976,1047,059