GWW Options History — January 2013

In January 2013, GWW traded between $203.66 and $218.61. ATM implied volatility averaged 18.6%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.3% (HV 20d: 17.3%). Max pain ranged from $195.00 to $210.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2013-01-16: Highest Volume — 1,165 contracts
  • 2013-01-10: Largest IV spike — 34.4% change
  • 2013-01-11: Highest IV Rank — 36.5%
  • 2013-01-11: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$210.22$203.66$218.61$207.73$217.82
Max Pain$202.38$195.00$210.00$195.00$210.00
ATM IV18.6%14.3%23.1%17.8%14.3%
Expected Move5.5%4.1%6.6%5.1%4.1%
HV 20d17.3%13.4%18.8%17.2%13.4%
HV 60d17.5%16.0%19.3%19.2%16.1%
IV Rank19.5%3.5%36.5%16.6%3.5%
IV Percentile16.3%0.4%49.2%2.4%0.4%
Term Structure0.5%-3.0%4.2%4.0%1.3%
VWIV21.0%15.5%25.8%18.8%16.8%
Skew 25d3.5%1.2%5.3%5.3%2.5%
Skew 10d9.2%3.7%13.8%12.4%9.0%
Call IV 25d17.9%12.7%21.0%14.1%13.7%
Put IV 25d21.4%15.2%25.1%19.3%16.2%
Bid-Ask Spread %78.7163.3895.1493.7194.39
Gamma HHI0.350.170.930.200.43
Net GEX2.8M323.0K22.7M1.8M1.5M
Net DEX-22.2M-40.5M-6.6M-27.2M-17.2M
Net VEX-102.7K-118.0K-87.9K-118.0K-107.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.156.321.191.21
Total Volume368.667561,165324115
Total OI9,170.3814,60712,27110,4896,466

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$207.73$195.0017.8%5.1%17.2%16.6%18.8%5.3%4.0%1.8M-27.2M-118.0K1.1993.71N/AN/A1481764,3006,189
2013-01-03$207.07$195.0017.1%4.9%17.3%14.1%17.8%1.2%4.2%1.6M-25.6M-115.7K1.3095.14N/AN/A991294,3026,336
2013-01-04$208.42$200.0016.9%6.0%17.3%13.3%23.9%4.4%1.1%1.9M-29.5M-114.6K5.1364.70N/AN/A321644,3756,406
2013-01-07$207.12$200.0017.2%6.1%17.1%14.3%24.1%4.0%0.7%1.6M-26.3M-110.5K2.0567.33N/AN/A42864,3866,472
2013-01-08$203.66$200.0017.9%6.5%18.7%16.9%24.0%4.0%0.6%1.2M-19.5M-107.2K3.3863.38N/AN/A662234,4126,526
2013-01-09$205.06$200.0017.1%6.0%18.5%13.9%22.8%3.5%0.7%1.4M-22.4M-106.6K1.6768.76N/AN/A33554,4336,645
2013-01-10$203.75$200.0022.9%6.6%18.8%35.9%23.0%4.6%0.1%1.1M-18.7M-104.8K3.6768.47N/AN/A1144184,4536,670
2013-01-11$204.63$200.0023.1%6.6%18.3%36.5%23.1%4.3%0.0%1.2M-21.4M-102.1K0.3365.37N/AN/A91304,5006,826
2013-01-14$206.99$200.0021.4%6.1%18.0%30.0%23.5%4.3%0.3%1.8M-26.7M-97.4K0.7766.82N/AN/A128994,5266,839
2013-01-15$208.07$200.0021.3%6.1%17.9%29.7%24.4%4.2%-0.0%2.0M-30.1M-96.2K1.7274.74N/AN/A721244,5796,918
2013-01-16$208.19$200.0021.9%6.3%17.9%31.9%25.8%3.8%-0.3%2.1M-30.4M-96.9K0.2473.05N/AN/A9362294,6416,999
2013-01-17$210.34$200.0022.0%6.3%17.3%32.3%22.7%4.2%-0.6%9.5M-40.5M-98.8K0.2879.47N/AN/A6791885,2047,067
2013-01-18$210.23$200.0020.9%6.0%16.9%28.2%22.9%3.8%-0.1%22.7M-39.4M-91.5K0.8673.17N/AN/A1881624,8146,939
2013-01-22$210.47$200.0021.3%6.1%16.7%29.5%21.5%3.5%-2.6%323.0K-6.6M-87.9K0.9977.52N/AN/A4814741,6162,991
2013-01-23$209.79$200.0021.3%6.1%16.2%29.7%22.0%2.3%-3.0%493.9K-7.3M-99.0K1.0876.67N/AN/A2242411,9783,366
2013-01-24$214.31$210.0015.4%4.4%17.4%7.8%16.1%3.1%1.1%1.3M-14.5M-95.0K1.7090.75N/AN/A1813072,1353,517
2013-01-25$217.09$210.0015.2%4.4%17.5%6.9%15.5%3.3%1.4%1.3M-15.9M-94.0K6.3289.32N/AN/A885562,1253,676
2013-01-28$216.65$210.0014.5%4.2%17.6%4.4%15.8%2.1%1.0%1.1M-13.9M-106.8K0.1787.61N/AN/A4882,1644,103
2013-01-29$218.61$210.0015.7%4.5%16.7%8.7%16.1%1.7%-0.7%1.1M-16.7M-104.6K0.8888.86N/AN/A72632,2074,106
2013-01-30$218.55$210.0014.6%4.2%15.7%4.7%21.2%3.5%0.8%1.5M-17.2M-102.9K0.1593.73N/AN/A151222,2374,134
2013-01-31$217.82$210.0014.3%4.1%13.4%3.5%16.8%2.5%1.3%1.5M-17.2M-107.0K1.2194.39N/AN/A52632,3254,141