GWW Options History — June 2013

In June 2013, GWW traded between $249.52 and $260.61. ATM implied volatility averaged 24.9%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.3% (HV 20d: 21.6%). Max pain ranged from $230.00 to $260.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.43.

Notable Days

  • 2013-06-28: Highest Volume — 1,500 contracts
  • 2013-06-13: Largest IV spike — 22.1% change
  • 2013-06-20: Highest IV Rank — 55.5%
  • 2013-06-20: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$254.09$249.52$260.61$258.51$252.18
Max Pain$236.00$230.00$260.00$260.00$230.00
ATM IV24.9%20.8%28.5%21.0%27.9%
Expected Move7.4%6.0%8.2%6.0%8.0%
HV 20d21.6%19.0%23.9%21.0%19.0%
HV 60d24.8%23.5%25.5%24.4%23.5%
IV Rank41.7%26.1%55.5%26.7%53.1%
IV Percentile68.3%41.3%88.9%42.5%87.3%
Term Structure-1.2%-3.3%2.7%2.6%-3.1%
VWIV26.1%21.0%29.5%21.0%28.0%
Skew 25d4.3%2.5%5.9%3.0%4.8%
Skew 10d8.1%4.3%10.3%6.9%9.3%
Call IV 25d23.7%20.3%25.9%20.3%25.4%
Put IV 25d28.0%23.3%31.8%23.3%30.2%
Bid-Ask Spread %76.5162.1381.8577.4680.08
Gamma HHI0.160.120.210.210.15
Net GEX418.5K-629.8K1.0M261.2K695.0K
Net DEX-20.2M-29.6M-10.9M-23.8M-21.2M
Net VEX-248.0K-275.6K-218.3K-223.3K-275.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.0511.711.4011.71
Total Volume4051031,5002021,500
Total OI10,151.48,77011,2398,77010,732

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$258.51$260.0021.0%6.0%21.0%26.7%21.0%3.0%2.6%261.2K-23.8M-223.3K1.4077.46N/AN/A841182,8645,906
2013-06-04$256.73$260.0020.9%6.0%21.3%26.2%22.5%2.8%2.7%254.9K-22.3M-218.3K1.1976.77N/AN/A58692,9235,931
2013-06-05$251.65$260.0022.7%6.5%21.6%33.4%21.6%2.5%2.5%-34.1K-14.4M-225.1K0.1580.37N/AN/A256392,9725,969
2013-06-06$253.22$260.0022.8%6.5%21.7%33.5%22.1%3.3%2.7%99.5K-16.5M-228.8K1.6879.31N/AN/A40673,1155,973
2013-06-07$260.61$230.0020.8%7.1%23.9%26.1%25.6%4.3%-1.2%598.8K-29.6M-223.8K0.6276.46N/AN/A4502783,1335,981
2013-06-10$256.08$230.0022.2%7.3%23.8%31.4%23.5%4.0%-2.1%520.5K-21.1M-233.5K0.0574.95N/AN/A948483,3966,131
2013-06-11$255.00$230.0023.0%7.7%23.9%34.5%28.3%4.2%-2.0%586.2K-18.6M-250.5K0.1374.85N/AN/A265344,2566,150
2013-06-12$252.06$230.0022.1%7.8%23.2%30.8%27.3%4.3%-2.7%280.2K-14.2M-238.6K0.2474.29N/AN/A123304,2156,132
2013-06-13$253.75$230.0027.0%7.7%23.4%49.6%25.2%5.2%-2.1%311.5K-16.4M-243.0K0.2074.54N/AN/A345704,1466,131
2013-06-14$254.38$230.0026.8%7.7%23.0%48.8%26.8%4.6%-2.2%519.2K-18.6M-243.8K0.6674.69N/AN/A91604,2806,145
2013-06-17$254.36$230.0027.3%7.8%21.9%50.9%29.5%4.7%-2.5%566.8K-18.9M-239.2K0.2178.40N/AN/A4851004,3206,190
2013-06-18$255.87$230.0025.4%7.3%22.0%43.4%27.8%5.3%-1.6%1.0M-25.7M-253.4K2.6875.47N/AN/A28754,7446,197
2013-06-19$251.70$230.0026.7%7.7%21.7%48.6%27.5%4.4%-2.2%331.5K-17.8M-251.2K1.2069.10N/AN/A921104,7596,217
2013-06-20$249.52$230.0028.5%8.2%19.7%55.5%29.4%5.9%-3.3%-341.2K-10.9M-265.8K1.2462.13N/AN/A2222764,7126,250
2013-06-21$251.23$230.0027.3%7.8%19.9%51.0%28.1%5.0%-2.1%-629.8K-17.1M-275.6K1.6978.36N/AN/A2103544,8606,379
2013-06-24$250.94$230.0027.3%7.8%19.9%50.8%26.8%4.8%-2.5%626.1K-18.8M-273.3K0.4980.02N/AN/A163804,3095,953
2013-06-25$255.45$230.0025.2%7.2%20.8%42.8%27.0%4.7%-1.7%973.2K-27.3M-269.6K2.3379.48N/AN/A1563634,4335,970
2013-06-26$253.91$230.0026.9%7.7%19.8%49.5%26.9%3.3%-1.7%848.4K-25.4M-262.9K0.2981.68N/AN/A154454,4806,099
2013-06-27$254.67$230.0026.2%7.5%19.7%46.6%27.6%4.7%-1.5%898.4K-26.0M-264.5K0.3981.85N/AN/A154604,5626,113
2013-06-28$252.18$230.0027.9%8.0%19.0%53.1%28.0%4.8%-3.1%695.0K-21.2M-275.4K11.7180.08N/AN/A1181,3824,6146,118