GWW Options History — February 2013

In February 2013, GWW traded between $215.86 and $229.48. ATM implied volatility averaged 16.6%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.8% (HV 20d: 14.8%). Max pain ranged from $210.00 to $230.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.93.

Notable Days

  • 2013-02-15: Highest Volume — 1,526 contracts
  • 2013-02-27: Largest IV drop — 18.1% change
  • 2013-02-26: Highest IV Rank — 26.1%
  • 2013-02-26: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$222.69$215.86$229.48$219.62$226.46
Max Pain$221.58$210.00$230.00$210.00$230.00
ATM IV16.6%14.1%20.3%14.1%16.5%
Expected Move4.8%4.3%5.8%4.4%4.7%
HV 20d14.8%12.3%17.5%13.4%17.5%
HV 60d15.4%14.8%16.3%16.1%16.1%
IV Rank12.1%2.6%26.1%2.6%11.8%
IV Percentile7.7%0.4%25.0%0.4%7.1%
Term Structure1.8%0.3%3.0%1.9%3.0%
VWIV17.9%15.2%21.4%15.9%18.9%
Skew 25d3.1%1.8%5.9%2.7%4.4%
Skew 10d7.6%4.6%11.7%7.4%10.4%
Call IV 25d15.7%13.2%18.8%14.5%14.4%
Put IV 25d18.8%17.2%21.9%17.2%18.8%
Bid-Ask Spread %81.4270.4891.6478.0891.64
Gamma HHI0.290.160.550.420.17
Net GEX172.9K-1.4M2.4M1.4M-1.2M
Net DEX-13.2M-33.8M3.3M-19.9M-6.9M
Net VEX-132.4K-169.9K-103.8K-103.8K-159.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.930.1117.650.440.42
Total Volume319.474541,52621492
Total OI7,467.5796,5248,1126,5248,046

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$219.62$210.0014.1%4.4%13.4%2.6%15.9%2.7%1.9%1.4M-19.9M-103.8K0.4478.08N/AN/A149652,3314,193
2013-02-04$217.14$220.0015.4%4.6%14.3%7.5%17.5%3.1%1.9%1.3M-16.0M-110.7K5.8470.48N/AN/A553212,4454,246
2013-02-05$218.70$220.0014.9%4.6%14.0%5.7%17.7%2.7%1.9%1.2M-17.5M-113.2K0.6473.48N/AN/A33212,4484,505
2013-02-06$217.87$220.0015.1%4.6%12.3%6.4%18.0%3.4%1.9%1.2M-15.3M-114.8K0.1174.55N/AN/A204232,4414,525
2013-02-07$215.86$220.0015.9%4.6%13.0%9.7%17.8%3.0%1.8%469.3K-8.0M-110.8K0.4475.03N/AN/A61272,1474,535
2013-02-08$216.71$210.0015.9%4.6%12.5%9.4%0.0%3.0%1.9%759.6K-9.9M-114.4K17.6576.82N/AN/A173002,1934,500
2013-02-11$217.61$210.0016.1%4.6%12.5%10.2%21.4%2.7%1.8%863.1K-11.4M-109.5K1.4174.59N/AN/A3114372,2054,753
2013-02-12$223.09$210.0017.1%4.9%14.5%13.9%18.1%2.6%1.5%2.4M-25.5M-114.3K5.5179.06N/AN/A713912,5125,140
2013-02-13$225.62$210.0015.1%4.3%14.7%6.5%17.6%3.9%2.1%1.4M-27.7M-117.7K0.9584.43N/AN/A1161102,4965,340
2013-02-14$226.29$220.0015.1%4.3%14.7%6.5%15.2%3.0%2.3%856.8K-28.7M-112.4K0.1781.88N/AN/A299512,4655,370
2013-02-15$229.48$220.0017.3%4.9%14.9%14.6%17.7%2.5%1.7%649.4K-33.8M-123.2K4.8284.81N/AN/A2621,2642,6765,421
2013-02-19$229.13$230.0016.3%4.7%15.0%10.9%17.1%2.7%1.9%-841.3K-12.7M-139.7K1.1885.32N/AN/A1251482,1865,247
2013-02-20$226.65$230.0016.6%4.8%15.9%12.3%16.5%1.8%1.8%-1.0M-8.6M-149.1K0.7285.91N/AN/A60432,2885,353
2013-02-21$223.75$230.0018.8%5.4%16.8%20.2%17.3%2.8%1.3%-1.1M-1.8M-155.6K9.3886.57N/AN/A292722,3335,370
2013-02-22$224.86$230.0018.3%5.2%15.4%18.5%18.9%2.4%1.4%-1.3M-2.3M-168.0K0.7182.13N/AN/A127902,3375,627
2013-02-25$221.48$230.0020.2%5.8%16.1%25.7%19.4%3.1%0.3%-1.3M3.3M-169.9K0.1884.08N/AN/A135242,4355,677
2013-02-26$223.09$230.0020.3%5.8%16.2%26.1%18.1%3.5%0.9%-1.4M1.2M-169.9K4.4587.42N/AN/A331472,3885,686
2013-02-27$227.62$230.0016.7%4.8%17.3%12.3%19.7%5.9%2.5%-1.1M-8.9M-160.5K0.7490.74N/AN/A90672,3975,627
2013-02-28$226.46$230.0016.5%4.7%17.5%11.8%18.9%4.4%3.0%-1.2M-6.9M-159.2K0.4291.64N/AN/A65272,4205,626