GWW Options History — March 2013

In March 2013, GWW traded between $218.92 and $231.78. ATM implied volatility averaged 19.3%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.8% (HV 20d: 16.5%). Max pain ranged from $210.00 to $230.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.96.

Notable Days

  • 2013-03-12: Highest Volume — 986 contracts
  • 2013-03-14: Largest IV spike — 13.8% change
  • 2013-03-28: Highest IV Rank — 31.1%
  • 2013-03-28: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$226.00$218.92$231.78$227.43$224.98
Max Pain$216.50$210.00$230.00$230.00$220.00
ATM IV19.3%15.5%22.1%16.6%22.1%
Expected Move5.9%4.8%6.3%4.8%6.3%
HV 20d16.5%15.2%18.5%17.4%16.6%
HV 60d16.2%15.8%17.1%15.9%16.6%
IV Rank21.4%7.9%31.1%12.2%31.1%
IV Percentile22.3%4.8%40.5%7.5%40.5%
Term Structure-1.0%-2.2%2.9%2.9%-2.0%
VWIV20.7%16.9%22.3%16.9%22.3%
Skew 25d3.5%2.9%5.0%5.0%3.1%
Skew 10d7.6%5.5%11.4%11.4%5.9%
Call IV 25d19.0%13.8%20.7%13.8%19.9%
Put IV 25d22.5%18.8%23.8%18.8%23.1%
Bid-Ask Spread %83.5476.7392.6592.6585.06
Gamma HHI0.170.130.300.170.15
Net GEX-409.0K-1.7M387.7K-1.1M344.1K
Net DEX-9.9M-19.6M-164.1K-9.2M-11.4M
Net VEX-145.0K-159.2K-133.4K-158.6K-136.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.079.831.440.54
Total Volume234.54698636891
Total OI7,848.66,7338,7008,1037,288

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$227.43$230.0016.6%4.8%17.4%12.2%16.9%5.0%2.9%-1.1M-9.2M-158.6K1.4492.65N/AN/A1512172,4525,651
2013-03-04$229.37$210.0017.9%5.8%17.4%17.0%21.2%4.0%-0.7%-913.2K-13.4M-159.2K0.7479.70N/AN/A34252,5335,723
2013-03-05$231.78$210.0017.4%5.9%16.9%15.0%19.9%3.5%-1.2%-614.7K-19.6M-150.2K0.9482.39N/AN/A79742,5535,745
2013-03-06$230.63$210.0017.9%6.0%17.0%17.0%21.5%3.4%-1.5%-818.7K-17.6M-153.3K9.8381.95N/AN/A474622,5715,807
2013-03-07$230.23$210.0017.0%5.9%17.0%13.4%21.4%3.8%-1.4%-994.5K-16.4M-156.3K1.2576.73N/AN/A32402,6045,860
2013-03-08$231.00$210.0015.5%5.7%16.3%7.9%21.1%3.3%-1.0%-846.7K-19.6M-147.3K3.3381.46N/AN/A581932,6265,770
2013-03-11$230.57$210.0017.4%5.6%16.5%15.1%19.6%3.2%-0.8%-986.0K-18.7M-141.8K0.6182.85N/AN/A148912,6595,762
2013-03-12$225.80$210.0017.6%5.6%18.5%15.8%20.3%4.2%-1.0%-1.1M-3.7M-146.0K1.4181.22N/AN/A4095772,7715,838
2013-03-13$225.11$210.0016.9%5.6%16.4%13.2%21.0%3.8%-1.0%-1.7M-694.7K-150.4K1.5281.13N/AN/A1151752,6826,018
2013-03-14$225.10$220.0019.2%5.5%15.9%21.9%19.1%3.7%-0.9%-829.3K-164.1K-141.7K0.0780.60N/AN/A4332,6196,060
2013-03-15$225.06$220.0019.5%5.6%15.9%22.9%19.4%3.7%-0.9%-307.0K-417.9K-138.0K0.3683.53N/AN/A36132,6396,057
2013-03-18$223.28$220.0021.3%6.1%15.2%29.6%21.5%3.4%-1.2%281.4K-9.0M-133.4K8.4884.89N/AN/A332802,2864,447
2013-03-19$223.66$220.0021.3%6.1%15.2%28.0%21.2%3.4%-1.0%246.3K-8.7M-139.7K0.6484.51N/AN/A83532,3024,657
2013-03-20$226.26$220.0019.8%5.7%15.4%22.2%21.5%3.5%-1.4%387.7K-12.8M-142.9K0.2886.26N/AN/A275782,3694,669
2013-03-21$223.13$220.0021.4%6.1%15.5%28.4%21.3%2.9%-1.4%269.9K-9.4M-145.9K3.5186.57N/AN/A391372,4384,723
2013-03-22$224.68$220.0021.4%6.1%15.6%28.4%21.4%3.3%-1.3%314.6K-11.0M-143.3K1.3284.91N/AN/A25332,4454,769
2013-03-25$218.92$220.0022.1%6.3%17.4%30.8%21.4%3.1%-2.2%36.8K-3.1M-140.8K0.2887.19N/AN/A207592,4524,775
2013-03-26$220.92$220.0021.9%6.3%17.5%30.0%21.8%3.1%-1.7%78.1K-5.4M-138.5K1.2282.69N/AN/A851042,3704,745
2013-03-27$222.01$220.0021.5%6.2%15.9%28.6%21.4%3.3%-1.5%155.9K-7.1M-136.8K1.4684.43N/AN/A35512,4234,814
2013-03-28$224.98$220.0022.1%6.3%16.6%31.1%22.3%3.1%-2.0%344.1K-11.4M-136.4K0.5485.06N/AN/A59322,4404,848