GWW Options History — September 2012

In September 2012, GWW traded between $202.99 and $209.25. ATM implied volatility averaged 25.7%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 10.0% (HV 20d: 15.7%). Max pain ranged from $200.00 to $200.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 2.27.

Notable Days

  • 2012-09-12: Highest Volume — 1,020 contracts
  • 2012-09-13: Largest IV spike — 16.4% change
  • 2012-09-20: Highest IV Rank — 39.6%
  • 2012-09-20: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$205.32$202.99$209.25$209.25$208.37
Max Pain$200.00$200.00$200.00$200.00$200.00
ATM IV25.7%21.4%28.6%22.4%27.5%
Expected Move7.6%6.4%8.2%6.4%7.9%
HV 20d15.7%14.6%17.7%14.8%15.2%
HV 60d32.4%30.2%35.2%35.2%30.2%
IV Rank32.1%21.0%39.6%23.5%36.8%
IV Percentile53.1%23.0%73.8%28.6%65.9%
Term Structure-0.2%-2.0%4.2%4.2%-1.9%
VWIV28.0%23.5%32.0%25.2%29.8%
Skew 25d4.7%3.6%5.5%4.5%4.0%
Skew 10d10.4%7.0%14.4%12.6%7.7%
Call IV 25d24.8%20.8%27.3%20.8%27.2%
Put IV 25d29.4%25.3%31.4%25.3%31.1%
Bid-Ask Spread %75.5465.9787.4886.3178.85
Gamma HHI0.180.140.230.220.16
Net GEX440.6K-557.7K1.7M1.7M665.0K
Net DEX-18.5M-36.3M-11.6M-36.3M-23.0M
Net VEX-244.7K-272.2K-216.7K-272.2K-216.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.246.772.141.10
Total Volume484.0531301,020521564
Total OI14,107.31612,53515,51113,36413,079

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$209.25$200.0022.4%6.4%14.8%23.5%25.2%4.5%4.2%1.7M-36.3M-272.2K2.1486.31N/AN/A1663556,1247,240
2012-09-05$203.44$200.0025.3%7.2%17.7%31.0%26.2%5.3%3.3%947.7K-19.6M-267.2K1.9786.25N/AN/A2625156,1447,379
2012-09-06$203.65$200.0023.9%6.9%17.5%27.5%23.5%4.8%3.8%449.6K-14.0M-270.1K2.6187.48N/AN/A1042716,1727,794
2012-09-07$203.74$200.0022.5%7.8%17.2%23.9%25.9%5.5%0.2%521.5K-15.8M-264.2K0.5568.09N/AN/A1991106,1747,817
2012-09-10$202.99$200.0022.7%7.8%15.8%24.3%27.1%5.1%-0.2%403.5K-14.5M-254.7K1.0465.97N/AN/A971016,1867,868
2012-09-11$203.67$200.0023.0%7.7%15.8%25.2%27.4%4.8%-0.1%637.0K-16.4M-255.5K0.8469.22N/AN/A1501266,2337,867
2012-09-12$206.78$200.0021.4%7.3%16.6%21.0%30.6%5.3%-0.5%1.4M-26.4M-250.7K6.3472.97N/AN/A1398816,3127,859
2012-09-13$205.92$200.0024.9%7.1%16.7%30.1%27.2%5.2%-0.1%1.1M-25.5M-250.0K3.7576.61N/AN/A1937236,3268,331
2012-09-14$206.01$200.0025.5%7.3%15.3%31.6%28.9%4.7%-0.1%-557.7K-15.2M-257.8K3.2472.73N/AN/A2207126,2459,033
2012-09-17$206.13$200.0026.0%7.5%15.2%33.0%27.8%4.9%-0.8%-235.8K-15.9M-251.3K0.6372.63N/AN/A80506,3549,116
2012-09-18$204.85$200.0028.1%8.1%15.1%38.5%32.0%5.2%-1.6%174.3K-17.0M-239.7K1.2076.41N/AN/A1812186,3818,831
2012-09-19$203.75$200.0027.7%7.9%14.8%37.3%27.5%4.5%-1.3%-332.6K-13.3M-241.3K1.5571.53N/AN/A1322046,4229,001
2012-09-20$204.26$200.0028.6%8.2%14.6%39.6%27.2%5.3%-2.0%-222.4K-13.2M-239.6K0.2474.93N/AN/A5651376,4339,078
2012-09-21$203.03$200.0027.1%7.8%14.6%35.8%27.3%4.0%-1.0%-402.9K-12.5M-230.8K6.7773.61N/AN/A392646,3318,923
2012-09-24$203.52$200.0028.5%8.2%14.6%39.3%29.0%4.4%-1.0%237.7K-11.6M-221.7K0.9970.19N/AN/A1501495,2297,349
2012-09-25$206.66$200.0027.0%7.7%15.4%35.4%30.3%3.6%-1.5%712.5K-21.1M-219.4K2.5777.95N/AN/A2035215,2907,245
2012-09-26$207.24$200.0028.0%8.0%15.5%38.2%30.6%4.1%-1.7%656.8K-20.4M-223.0K3.7676.90N/AN/A552075,3737,498
2012-09-27$207.84$200.0028.1%8.0%15.2%38.2%28.9%3.9%-1.9%542.5K-19.8M-223.2K1.8576.55N/AN/A541005,3617,641
2012-09-28$208.37$200.0027.5%7.9%15.2%36.8%29.8%4.0%-1.9%665.0K-23.0M-216.7K1.1078.85N/AN/A2682965,3777,702