GWW Options History — April 2013

In April 2013, GWW traded between $216.98 and $246.47. ATM implied volatility averaged 22.4%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.1% (HV 20d: 26.4%). Max pain ranged from $210.00 to $230.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.50.

Notable Days

  • 2013-04-16: Highest Volume — 2,387 contracts
  • 2013-04-11: Largest IV drop — 21.7% change
  • 2013-04-08: Highest IV Rank — 60.3%
  • 2013-04-04: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$233.88$216.98$246.47$219.81$246.47
Max Pain$225.00$210.00$230.00$220.00$230.00
ATM IV22.4%17.2%29.8%24.1%17.2%
Expected Move6.1%4.9%7.7%6.9%4.9%
HV 20d26.4%17.5%33.6%18.4%29.2%
HV 60d20.1%16.5%23.0%16.5%22.5%
IV Rank31.9%12.1%60.3%38.6%12.1%
IV Percentile42.4%11.1%88.1%57.9%11.1%
Term Structure-1.1%-5.2%1.5%-3.5%0.5%
VWIV21.9%17.7%26.5%24.1%17.7%
Skew 25d3.4%1.8%4.2%2.5%3.4%
Skew 10d6.8%4.2%8.3%4.7%6.1%
Call IV 25d20.0%16.7%24.2%23.0%16.7%
Put IV 25d23.4%20.0%28.3%25.5%20.1%
Bid-Ask Spread %76.1860.1491.4387.0882.38
Gamma HHI0.260.150.410.150.27
Net GEX1.2M53.5K3.4M75.6K805.6K
Net DEX-26.7M-68.1M-797.4K-4.6M-30.0M
Net VEX-149.0K-158.6K-129.6K-131.5K-155.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.169.661.800.34
Total Volume522.1361122,387308267
Total OI7,917.5455,59310,7397,3616,330

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$219.81$220.0024.1%6.9%18.4%38.6%24.1%2.5%-3.5%75.6K-4.6M-131.5K1.8087.08N/AN/A1101982,4914,870
2013-04-02$218.70$210.0024.3%7.0%18.0%39.3%23.9%1.8%-3.9%108.3K-4.4M-132.7K0.4887.92N/AN/A4592192,5544,822
2013-04-03$216.98$220.0024.4%7.0%17.5%39.9%24.4%2.4%-4.2%53.5K-797.4K-136.6K0.2989.90N/AN/A162472,8574,975
2013-04-04$224.65$220.0026.7%7.7%22.0%48.6%26.5%4.2%-5.2%844.3K-14.6M-138.8K0.3591.43N/AN/A3921362,9145,018
2013-04-05$222.01$220.0026.2%6.1%22.4%46.6%22.9%4.1%-1.2%669.7K-9.8M-144.9K2.4360.94N/AN/A761853,0675,043
2013-04-08$224.62$220.0029.8%6.3%22.8%60.3%21.6%4.2%-1.5%834.6K-14.5M-143.3K0.9760.14N/AN/A2242183,0705,162
2013-04-09$226.23$220.0028.2%6.0%23.0%54.2%21.0%4.0%-0.9%1.0M-18.5M-146.0K0.3264.29N/AN/A3741203,1865,266
2013-04-10$227.33$220.0028.9%6.3%21.8%57.0%23.6%4.0%-1.3%1.3M-21.7M-157.8K2.1066.77N/AN/A771623,3965,374
2013-04-11$228.87$220.0022.6%6.5%21.9%33.0%22.6%3.8%-1.3%1.3M-24.2M-158.6K0.4166.42N/AN/A200833,3725,474
2013-04-12$228.00$230.0022.8%6.5%22.0%33.4%23.4%3.8%-1.9%1.3M-21.8M-157.5K0.8765.16N/AN/A2972583,4425,494
2013-04-15$225.70$230.0025.4%7.3%22.3%43.4%25.3%3.8%-2.7%767.5K-15.8M-154.0K0.4476.48N/AN/A1,1424993,4835,647
2013-04-16$241.88$220.0020.5%5.9%32.9%24.6%20.5%3.4%0.3%3.4M-60.8M-129.6K0.5373.38N/AN/A1,5628253,9445,690
2013-04-17$238.16$230.0020.3%5.8%33.6%23.9%21.5%3.3%0.3%2.4M-45.7M-155.6K1.2370.23N/AN/A3073784,2336,196
2013-04-18$240.60$230.0020.7%5.9%33.6%25.5%22.5%4.0%0.4%2.5M-53.0M-149.7K0.2875.30N/AN/A5061434,1956,274
2013-04-19$243.05$230.0019.7%5.6%33.0%21.7%19.1%3.5%1.5%2.0M-68.1M-157.5K0.1675.01N/AN/A286464,4986,241
2013-04-22$243.73$230.0020.0%5.7%33.0%22.9%21.2%3.5%-1.0%1.1M-28.5M-152.1K2.2277.57N/AN/A1112462,5853,008
2013-04-23$245.86$230.0018.4%5.3%31.1%16.8%19.1%3.4%-0.1%1.1M-31.2M-154.0K0.6578.73N/AN/A1641062,6503,169
2013-04-24$246.30$230.0018.4%5.3%31.1%16.6%19.9%3.0%0.1%1.1M-31.9M-153.5K1.7281.71N/AN/A931602,6693,233
2013-04-25$245.54$230.0017.8%5.1%31.2%14.3%19.8%3.5%0.5%959.2K-30.0M-156.5K3.8780.67N/AN/A23892,6653,340
2013-04-26$245.24$230.0017.2%4.9%31.1%12.2%20.1%3.1%0.9%933.1K-29.5M-154.2K9.6681.99N/AN/A323092,6723,394
2013-04-29$245.58$230.0018.4%5.3%29.4%16.5%20.0%2.5%0.3%763.4K-28.8M-157.0K1.8882.42N/AN/A681282,6703,553
2013-04-30$246.47$230.0017.2%4.9%29.2%12.1%17.7%3.4%0.5%805.6K-30.0M-155.8K0.3482.38N/AN/A199682,7183,612