GWW Options History — October 2012

In October 2012, GWW traded between $197.48 and $216.72. ATM implied volatility averaged 26.6%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 9.5% (HV 20d: 17.1%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.77.

Notable Days

  • 2012-10-16: Highest Volume — 3,827 contracts
  • 2012-10-11: Largest IV drop — 24.6% change
  • 2012-10-10: Highest IV Rank — 78.1%
  • 2012-10-04: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$208.97$197.48$216.72$211.11$201.41
Max Pain$208.10$200.00$210.00$200.00$210.00
ATM IV26.6%21.6%34.2%30.5%24.8%
Expected Move7.3%6.2%8.8%8.8%7.1%
HV 20d17.1%10.3%22.9%15.6%22.9%
HV 60d22.0%17.2%29.9%29.9%17.7%
IV Rank46.6%30.7%78.1%44.7%42.8%
IV Percentile59.0%23.8%96.4%84.5%50.8%
Term Structure-1.2%-5.0%1.3%-4.0%-0.8%
VWIV26.2%22.0%31.6%31.6%24.2%
Skew 25d4.3%2.9%5.6%4.1%3.6%
Skew 10d9.7%6.5%14.2%8.8%6.5%
Call IV 25d24.1%20.8%29.0%29.0%23.9%
Put IV 25d28.3%24.9%33.1%33.1%27.5%
Bid-Ask Spread %68.5650.3981.7279.3377.70
Gamma HHI0.170.120.230.180.13
Net GEX262.2K-1.1M1.8M1.3M-615.0K
Net DEX-20.3M-47.2M10.4M-32.9M1.8M
Net VEX-209.0K-228.3K-190.0K-213.6K-197.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.058.421.801.81
Total Volume925.3331053,8271,035360
Total OI14,027.5248,49318,81813,1929,780

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$211.11$200.0030.5%8.8%15.6%44.7%31.6%4.1%-4.0%1.3M-32.9M-213.6K1.8079.33N/AN/A3706655,5517,641
2012-10-02$212.76$200.0029.4%8.4%14.8%41.8%30.9%3.9%-2.9%1.4M-37.5M-228.3K0.9480.71N/AN/A3993775,7068,089
2012-10-03$212.12$200.0029.2%8.4%10.3%48.5%31.0%3.6%-2.9%1.2M-34.4M-222.3K1.1881.22N/AN/A1191415,6788,294
2012-10-04$213.76$200.0030.6%8.8%10.5%55.5%29.8%4.3%-5.0%1.6M-41.8M-216.9K1.5681.72N/AN/A2263535,7348,378
2012-10-05$215.49$210.0027.5%6.9%10.6%47.8%26.7%5.0%-1.0%1.8M-47.2M-217.0K1.3851.77N/AN/A3144335,8258,561
2012-10-08$213.62$210.0031.4%7.6%11.2%63.7%26.1%4.7%-2.6%1.2M-36.8M-215.5K3.8850.39N/AN/A783035,9918,920
2012-10-09$210.99$210.0034.2%7.6%12.4%77.9%24.6%4.0%-1.8%669.5K-26.6M-218.1K8.4253.68N/AN/A2241,8866,0119,039
2012-10-10$209.57$210.0034.2%7.4%11.6%78.1%25.8%5.2%-1.2%-355.1K-17.5M-227.9K3.6156.03N/AN/A562026,09210,376
2012-10-11$216.72$210.0025.8%7.4%16.3%46.5%26.9%5.6%-2.2%1.2M-46.8M-215.2K0.6459.04N/AN/A6914436,1109,898
2012-10-12$214.63$210.0027.2%7.8%16.9%51.9%26.9%5.2%-2.2%725.7K-36.7M-221.3K0.7962.36N/AN/A3332636,22410,053
2012-10-15$215.86$210.0027.4%7.9%16.9%52.5%30.3%3.5%-3.3%824.5K-42.0M-204.8K1.1079.40N/AN/A1,3491,4876,28410,191
2012-10-16$209.58$210.0022.5%6.4%20.2%34.2%24.3%2.9%0.4%-321.2K-16.4M-204.0K1.8971.15N/AN/A1,3262,5017,00010,971
2012-10-17$209.27$210.0022.8%6.5%20.1%35.5%24.7%4.2%0.3%-229.2K-19.6M-207.7K1.5859.75N/AN/A5398547,31911,499
2012-10-18$209.60$210.0021.6%6.2%20.1%30.7%23.5%3.9%1.1%-621.9K-18.4M-199.7K0.6465.01N/AN/A2291467,06011,610
2012-10-19$205.80$210.0021.7%6.2%21.1%31.3%22.0%4.7%1.3%-494.9K5.2M-190.0K0.2072.91N/AN/A378777,16111,635
2012-10-22$205.32$210.0022.1%6.3%21.1%32.6%24.3%4.5%0.5%11.7K-4.6M-191.5K2.0473.87N/AN/A2945993,3605,133
2012-10-23$204.22$210.0024.9%7.1%20.4%43.3%25.2%4.9%0.6%-482.6K-331.8K-197.7K0.7274.37N/AN/A1621173,4385,674
2012-10-24$199.37$210.0024.1%6.9%22.0%40.0%25.0%4.1%-0.1%-1.0M8.1M-195.0K1.6472.20N/AN/A1051723,5065,729
2012-10-25$199.63$210.0023.4%6.7%22.0%37.5%22.9%3.9%0.5%-1.1M8.3M-197.0K0.0561.37N/AN/A721353,5245,794
2012-10-26$197.48$210.0024.3%7.0%22.1%40.9%23.7%4.3%0.3%-1.0M10.4M-207.3K1.1975.69N/AN/A48573,9575,782
2012-10-31$201.41$210.0024.8%7.1%22.9%42.8%24.2%3.6%-0.8%-615.0K1.8M-197.8K1.8177.70N/AN/A1282323,9785,802