GWW Options History — May 2013

In May 2013, GWW traded between $240.90 and $267.34. ATM implied volatility averaged 18.7%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 5.4% (HV 20d: 24.1%). Max pain ranged from $230.00 to $260.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 4.11.

Notable Days

  • 2013-05-08: Highest Volume — 1,570 contracts
  • 2013-05-13: Largest IV spike — 15.8% change
  • 2013-05-29: Highest IV Rank — 26.3%
  • 2013-05-29: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$255.89$240.90$267.34$240.90$257.44
Max Pain$251.36$230.00$260.00$230.00$260.00
ATM IV18.7%16.5%20.9%19.2%20.4%
Expected Move5.3%4.9%6.0%5.5%5.9%
HV 20d24.1%16.8%30.6%30.6%22.6%
HV 60d23.6%22.9%24.4%22.9%24.4%
IV Rank17.7%9.6%26.3%19.7%24.6%
IV Percentile21.4%7.1%41.3%20.2%37.3%
Term Structure2.2%0.2%3.1%0.2%2.8%
VWIV19.3%16.8%21.9%19.2%20.7%
Skew 25d2.8%2.0%3.5%2.2%2.3%
Skew 10d6.2%4.1%7.8%7.2%5.0%
Call IV 25d17.8%16.5%20.2%18.5%20.2%
Put IV 25d20.5%19.7%22.5%20.7%22.5%
Bid-Ask Spread %71.4821.2885.6485.6421.28
Gamma HHI0.270.150.410.280.22
Net GEX982.5K-65.3K1.8M769.7K215.7K
Net DEX-33.0M-46.0M-15.5M-21.9M-23.4M
Net VEX-163.1K-217.3K-123.6K-163.5K-217.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.110.2740.561.291.16
Total Volume409.182691,570110367
Total OI7,4706,4978,6696,5128,669

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$240.90$230.0019.2%5.5%30.6%19.7%19.2%2.2%0.2%769.7K-21.9M-163.5K1.2985.64N/AN/A48622,8943,618
2013-05-02$242.44$230.0018.9%5.4%28.5%18.7%20.8%2.2%0.4%921.6K-25.1M-160.4K5.2783.72N/AN/A11582,8913,606
2013-05-03$248.68$230.0017.7%5.1%28.9%14.1%20.8%2.1%0.8%1.4M-35.9M-150.1K0.7483.67N/AN/A110812,8923,647
2013-05-06$248.53$250.0018.1%5.2%28.9%15.7%16.8%3.5%2.1%1.4M-35.4M-146.0K0.9768.92N/AN/A60582,8903,676
2013-05-07$253.16$250.0018.6%5.2%29.3%17.5%18.6%3.4%2.3%1.7M-43.2M-135.9K4.2669.81N/AN/A944002,9203,690
2013-05-08$252.55$250.0018.8%5.2%29.4%18.1%21.9%3.5%2.5%1.5M-40.7M-142.5K1.3172.61N/AN/A6808902,9363,910
2013-05-09$251.59$250.0018.2%5.2%29.6%16.0%19.1%2.9%2.2%1.2M-29.2M-144.4K0.2768.88N/AN/A264712,4664,574
2013-05-10$256.55$250.0016.5%4.9%29.8%9.6%20.4%3.3%2.4%1.8M-38.3M-136.8K6.5170.23N/AN/A412672,6364,604
2013-05-13$257.48$250.0019.2%5.0%29.2%19.6%18.9%3.4%2.5%1.8M-39.3M-138.3K1.8673.92N/AN/A1683132,6404,700
2013-05-14$261.95$250.0017.4%5.1%18.2%12.8%16.8%3.1%2.3%1.6M-45.3M-123.6K0.5170.57N/AN/A3761912,6204,836
2013-05-15$261.80$250.0017.4%5.3%16.8%12.8%18.6%2.8%2.1%1.8M-45.7M-134.1K2.5471.61N/AN/A2767002,8224,929
2013-05-16$258.46$250.0018.0%5.2%17.8%15.3%19.3%3.1%2.5%1.8M-38.3M-163.4K1.0467.75N/AN/A1071112,8455,379
2013-05-17$263.35$250.0018.1%5.2%18.5%15.8%18.1%3.1%2.3%1.0M-46.0M-159.8K3.5672.36N/AN/A682422,8605,458
2013-05-20$263.29$260.0018.2%5.2%18.5%16.0%19.4%2.4%3.0%655.2K-35.0M-158.3K4.3571.29N/AN/A542352,4324,740
2013-05-21$267.34$260.0017.8%5.1%18.9%14.5%18.3%2.7%3.1%621.0K-39.6M-156.1K6.8072.24N/AN/A845712,4714,895
2013-05-22$259.92$260.0018.9%5.4%22.1%18.7%18.6%2.0%2.6%275.3K-28.2M-182.8K0.6673.63N/AN/A1981302,5175,247
2013-05-23$258.55$260.0018.9%5.4%22.2%18.5%19.4%2.6%2.8%231.4K-25.7M-194.6K4.6972.80N/AN/A452112,5885,297
2013-05-24$257.78$260.0018.8%5.4%22.2%18.3%19.3%2.9%2.8%260.5K-24.6M-196.0K0.6673.77N/AN/A117772,5915,324
2013-05-28$259.84$260.0019.8%5.7%22.3%22.1%19.8%2.5%2.3%454.8K-28.3M-190.0K1.1774.49N/AN/A77902,6705,356
2013-05-29$254.99$260.0020.9%6.0%23.6%26.3%21.9%2.4%2.7%313.6K-22.4M-183.3K40.5676.10N/AN/A166492,7025,372
2013-05-30$253.10$260.0020.5%5.9%22.1%24.7%19.0%2.7%2.8%-65.3K-15.5M-211.3K0.3077.23N/AN/A257772,7085,822
2013-05-31$257.44$260.0020.4%5.9%22.6%24.6%20.7%2.3%2.8%215.7K-23.4M-217.3K1.1621.28N/AN/A1701972,8065,863