GWW Options History — November 2012

In November 2012, GWW traded between $187.08 and $203.08. ATM implied volatility averaged 22.7%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.0% (HV 20d: 19.7%). Max pain ranged from $190.00 to $210.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.59.

Notable Days

  • 2012-11-14: Highest Volume — 3,257 contracts
  • 2012-11-14: Largest IV spike — 20.3% change
  • 2012-11-14: Highest IV Rank — 63.4%
  • 2012-11-15: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$193.84$187.08$203.08$200.52$194.02
Max Pain$196.43$190.00$210.00$210.00$195.00
ATM IV22.7%18.2%30.3%23.9%18.2%
Expected Move6.4%5.2%7.3%6.8%5.2%
HV 20d19.7%16.3%23.6%22.6%16.3%
HV 60d18.0%17.5%18.4%17.7%18.1%
IV Rank35.0%18.2%63.4%39.4%18.2%
IV Percentile34.9%2.4%88.9%44.0%2.4%
Term Structure0.8%-0.5%2.1%-0.3%2.0%
VWIV22.9%18.9%26.1%23.3%19.3%
Skew 25d4.3%2.8%12.4%4.3%2.9%
Skew 10d9.3%6.2%11.3%10.9%10.3%
Call IV 25d20.6%15.2%23.5%22.2%17.4%
Put IV 25d24.9%20.4%27.8%26.5%20.4%
Bid-Ask Spread %74.7261.3489.8083.0484.88
Gamma HHI0.160.110.290.130.13
Net GEX-1.4M-4.5M-347.2K-889.8K-609.7K
Net DEX13.8M-2.4M46.4M4.3M5.4M
Net VEX-174.4K-190.9K-161.4K-190.9K-168.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.586.970.773.26
Total Volume587.381923,25792294
Total OI10,516.2389,35013,6539,95810,602

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$200.52$210.0023.9%6.8%22.6%39.4%23.3%4.3%-0.3%-889.8K4.3M-190.9K0.7783.04N/AN/A52403,9865,972
2012-11-02$201.06$210.0023.3%6.7%22.6%37.3%24.1%4.7%0.6%-811.3K3.1M-190.6K4.1584.21N/AN/A542244,0165,984
2012-11-05$202.49$200.0024.7%6.9%22.6%42.5%0.0%4.5%-0.2%-608.0K120.6K-189.2K5.9861.34N/AN/A432574,0285,980
2012-11-06$203.08$200.0024.6%6.9%22.4%42.2%26.1%4.1%0.1%-347.2K-2.4M-186.5K0.9564.06N/AN/A56534,0165,902
2012-11-07$198.44$200.0022.8%6.8%23.4%35.5%22.4%4.3%0.4%-1.0M5.9M-180.6K3.0571.49N/AN/A752294,0175,942
2012-11-08$195.25$200.0023.7%7.0%23.6%38.8%25.0%4.4%0.5%-2.0M14.2M-183.2K0.5864.33N/AN/A2071214,0786,103
2012-11-09$194.61$200.0022.9%7.0%23.6%35.8%24.3%4.5%0.3%-1.9M14.6M-176.1K0.9863.84N/AN/A1191174,2336,127
2012-11-12$193.42$200.0024.4%6.9%19.1%41.4%25.8%4.1%0.5%-2.4M18.9M-173.2K2.2268.23N/AN/A2305114,2986,200
2012-11-13$192.80$195.0025.2%6.8%19.0%44.3%24.7%4.8%0.4%-2.8M21.8M-176.6K0.7866.26N/AN/A8916954,3916,449
2012-11-14$188.77$195.0030.3%7.1%19.3%63.4%24.8%12.4%0.1%-3.1M36.6M-169.1K1.9789.80N/AN/A1,0972,1605,0997,008
2012-11-15$187.08$195.0025.6%7.3%17.4%45.8%24.7%4.2%-0.5%-4.5M46.4M-174.1K2.6370.57N/AN/A3338775,7317,922
2012-11-16$187.83$195.0023.7%6.8%17.7%38.7%24.7%3.9%0.1%-2.9M40.8M-164.7K4.7964.85N/AN/A2441,1685,7447,709
2012-11-19$191.20$195.0021.9%6.3%19.4%31.9%22.8%4.2%1.3%-633.4K9.7M-167.3K1.2971.60N/AN/A1331723,7305,620
2012-11-20$191.54$190.0021.3%6.1%18.8%29.9%22.0%3.9%1.3%-526.5K8.4M-169.7K2.4178.01N/AN/A922223,8215,697
2012-11-21$190.39$190.0020.9%6.0%18.8%28.1%20.4%3.5%1.5%-839.0K12.2M-172.4K0.8178.19N/AN/A63513,9065,907
2012-11-23$191.51$190.0020.2%5.8%19.1%25.4%18.9%2.8%2.1%-605.5K8.7M-167.7K1.9574.36N/AN/A43843,9595,919
2012-11-26$190.42$190.0020.7%5.9%17.5%27.5%23.1%3.7%1.1%-871.5K12.6M-161.4K6.9782.38N/AN/A362513,9886,003
2012-11-27$190.64$190.0020.4%5.9%17.5%26.5%22.9%3.3%1.0%-865.7K12.7M-162.9K1.8781.16N/AN/A1673124,0066,042
2012-11-28$191.59$190.0019.8%5.7%17.4%24.2%19.1%3.3%1.7%-661.1K10.2M-168.9K4.9081.44N/AN/A612994,0766,139
2012-11-29$194.00$195.0018.4%5.3%16.4%18.7%19.7%2.8%1.8%-642.0K5.3M-169.2K2.0685.01N/AN/A661364,1066,385
2012-11-30$194.02$195.0018.2%5.2%16.3%18.2%19.3%2.9%2.0%-609.7K5.4M-168.1K3.2684.88N/AN/A692254,1306,472