GWW Options History — December 2012

In December 2012, GWW traded between $190.26 and $202.37. ATM implied volatility averaged 19.6%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.9% (HV 20d: 13.7%). Max pain ranged from $190.00 to $195.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 10.17.

Notable Days

  • 2012-12-19: Highest Volume — 1,165 contracts
  • 2012-12-13: Largest IV spike — 8.9% change
  • 2012-12-13: Highest IV Rank — 29.6%
  • 2012-12-13: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$194.96$190.26$202.37$192.41$202.37
Max Pain$193.25$190.00$195.00$195.00$195.00
ATM IV19.6%18.3%21.3%20.3%20.4%
Expected Move5.7%5.3%6.1%5.8%5.9%
HV 20d13.7%11.7%16.4%16.4%15.6%
HV 60d17.6%17.1%18.4%17.3%18.4%
IV Rank23.4%18.6%29.6%26.2%26.5%
IV Percentile11.9%2.8%27.8%15.9%21.8%
Term Structure3.7%1.1%5.1%1.1%4.1%
VWIV20.7%16.8%25.9%19.6%22.5%
Skew 25d3.1%2.4%4.3%2.7%3.2%
Skew 10d8.1%5.9%10.9%8.2%10.9%
Call IV 25d18.7%17.6%19.9%18.8%18.6%
Put IV 25d21.8%20.4%23.6%21.5%21.8%
Bid-Ask Spread %79.3646.0687.2886.8446.06
Gamma HHI0.200.130.790.130.17
Net GEX185.6K-1.9M13.3M-1.0M792.3K
Net DEX2.9M-20.0M16.0M10.3M-14.2M
Net VEX-145.4K-166.9K-126.9K-164.9K-126.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.170.16155.002.411.91
Total Volume310.5541,165283169
Total OI11,139.9510,01812,56510,75410,456

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$192.41$195.0020.3%5.8%16.4%26.2%19.6%2.7%1.1%-1.0M10.3M-164.9K2.4186.84N/AN/A832004,1276,627
2012-12-04$192.08$195.0020.2%5.8%16.1%25.6%18.6%2.8%1.4%-1.3M12.5M-166.9K1.3885.19N/AN/A24334,1926,767
2012-12-05$192.21$195.0019.2%5.5%16.0%21.9%18.4%2.4%1.7%-1.1M10.5M-160.0K0.2687.27N/AN/A69184,2006,655
2012-12-06$190.62$195.0019.8%5.7%14.2%24.1%19.3%3.4%1.4%-1.5M15.9M-155.8K0.9286.29N/AN/A1571444,2256,657
2012-12-07$191.09$190.0019.0%6.0%13.3%21.2%21.1%4.3%4.2%-1.4M13.3M-156.7K2.8878.34N/AN/A17494,3136,703
2012-12-10$193.05$190.0018.3%5.7%13.8%18.6%23.3%3.9%4.4%-856.5K7.4M-151.4K3.1674.28N/AN/A19604,3176,748
2012-12-11$193.81$190.0018.8%5.7%13.8%20.5%20.0%3.5%4.4%-701.0K5.4M-147.3K1.4178.24N/AN/A2944144,3316,746
2012-12-12$192.09$190.0019.5%6.1%14.1%23.1%21.7%3.2%3.3%-1.4M11.4M-146.6K1.5380.05N/AN/A1161784,4746,984
2012-12-13$190.49$195.0021.3%6.1%12.2%29.6%23.1%3.8%4.0%-1.8M16.0M-143.9K5.0072.44N/AN/A9454,4606,904
2012-12-14$190.26$195.0020.5%5.9%11.7%26.9%20.1%3.4%4.2%-1.9M15.9M-139.7K4.0573.53N/AN/A1285184,4646,911
2012-12-17$191.66$195.0020.8%6.0%11.8%27.7%25.9%3.6%4.3%-1.8M13.9M-143.6K155.0080.33N/AN/A23104,4547,317
2012-12-18$195.16$195.0019.5%5.6%11.9%23.0%20.9%3.8%4.8%98.4K1.9M-142.8K0.4180.47N/AN/A133554,4557,384
2012-12-19$197.95$195.0018.5%5.3%12.8%19.2%19.0%2.6%5.0%1.7M-8.1M-137.6K0.6080.85N/AN/A7274384,4607,426
2012-12-20$196.94$190.0019.2%5.5%12.7%21.8%20.0%3.0%5.1%1.3M-7.8M-140.5K3.4283.19N/AN/A361234,8607,619
2012-12-21$200.00$190.0019.1%5.5%13.6%21.6%16.8%3.0%4.9%13.3M-20.0M-146.5K0.1683.35N/AN/A435694,8817,684
2012-12-24$199.44$190.0019.4%5.5%13.4%22.4%19.5%2.7%3.5%393.3K-7.3M-137.4K1.9679.45N/AN/A701374,0875,931
2012-12-26$198.88$195.0019.2%5.5%13.5%21.9%21.5%2.4%3.9%343.3K-6.4M-134.4K15.3787.28N/AN/A192924,1346,054
2012-12-27$200.52$195.0019.4%5.6%13.6%22.5%21.5%3.0%4.3%347.0K-8.5M-134.6K1.4185.01N/AN/A1422004,1456,229
2012-12-28$198.20$195.0019.5%5.6%13.9%22.9%21.1%2.4%4.4%155.1K-3.1M-131.2K0.1678.74N/AN/A240384,2596,159
2012-12-31$202.37$195.0020.4%5.9%15.6%26.5%22.5%3.2%4.1%792.3K-14.2M-126.9K1.9146.06N/AN/A581114,2816,175