GWW Options History — July 2013

In July 2013, GWW traded between $253.86 and $265.25. ATM implied volatility averaged 23.0%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 8.5% (HV 20d: 14.6%). Max pain ranged from $250.00 to $260.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.54.

Notable Days

  • 2013-07-25: Highest Volume — 3,112 contracts
  • 2013-07-11: Largest IV drop — 27.2% change
  • 2013-07-09: Highest IV Rank — 75.4%
  • 2013-07-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$259.58$253.86$265.25$254.52$262.14
Max Pain$258.64$250.00$260.00$250.00$260.00
ATM IV23.0%16.5%33.7%28.8%17.1%
Expected Move6.2%4.7%8.4%8.3%4.9%
HV 20d14.6%12.5%19.2%19.2%12.8%
HV 60d20.1%17.8%23.7%23.4%17.8%
IV Rank37.0%12.0%75.4%56.8%15.0%
IV Percentile50.6%6.7%98.4%91.7%11.9%
Term Structure-0.1%-4.4%3.5%-4.2%0.3%
VWIV22.3%16.7%32.9%32.9%17.7%
Skew 25d3.3%1.4%5.4%5.0%1.9%
Skew 10d6.5%3.5%10.2%9.9%6.8%
Call IV 25d20.4%16.2%26.9%25.8%16.2%
Put IV 25d23.7%18.0%32.2%30.7%18.0%
Bid-Ask Spread %69.8449.3383.8681.4976.31
Gamma HHI0.180.130.230.210.19
Net GEX-351.2K-3.0M1.3M-326.9K-1.3M
Net DEX-23.7M-54.6M14.0M-19.2M-7.1M
Net VEX-265.1K-333.2K-211.4K-282.8K-326.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.540.3014.110.324.15
Total Volume691.3641063,112397350
Total OI12,228.3648,32214,82211,83113,073

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$254.52$250.0028.8%8.3%19.2%56.8%32.9%5.0%-4.2%-326.9K-19.2M-282.8K0.3281.49N/AN/A301964,7137,118
2013-07-02$253.86$250.0029.3%8.4%19.1%58.7%27.2%5.4%-4.4%-305.6K-18.7M-283.1K3.2881.56N/AN/A471544,8287,155
2013-07-03$255.16$250.0027.5%7.9%17.7%51.6%29.7%5.3%-4.0%-393.1K-20.0M-283.5K0.4981.37N/AN/A96474,8277,258
2013-07-05$256.10$260.0029.2%6.8%17.7%58.2%0.0%4.5%0.0%-290.5K-22.3M-293.2K1.3254.19N/AN/A68904,9057,295
2013-07-08$255.96$260.0031.4%6.9%14.2%66.5%25.7%4.7%-0.4%-301.0K-24.1M-267.2K2.7957.16N/AN/A892484,9247,355
2013-07-09$261.75$260.0033.7%7.1%15.0%75.4%24.9%4.0%-0.7%276.8K-40.5M-261.3K1.7057.93N/AN/A4748084,9687,525
2013-07-10$261.65$260.0033.6%7.0%14.9%75.1%25.9%4.4%-0.4%79.4K-39.1M-259.8K2.0357.27N/AN/A35715,0208,025
2013-07-11$264.39$260.0024.4%7.0%14.4%39.9%26.0%4.0%-0.5%567.4K-48.2M-248.4K5.4558.27N/AN/A844585,0397,972
2013-07-12$265.25$260.0023.0%6.6%14.3%34.4%23.7%4.2%0.0%504.4K-48.3M-245.6K2.0558.37N/AN/A1984055,0108,215
2013-07-15$264.80$260.0026.1%7.5%14.4%46.2%25.6%4.6%-1.8%328.6K-45.8M-256.6K1.2449.33N/AN/A2673305,0338,429
2013-07-16$262.68$260.0025.7%7.4%14.8%57.9%25.7%3.4%-1.7%68.8K-43.0M-240.6K2.5063.17N/AN/A3388465,1428,592
2013-07-17$262.65$260.0019.8%5.7%14.7%28.5%20.1%2.7%2.8%601.0K-47.2M-243.5K1.2565.53N/AN/A5206525,2598,999
2013-07-18$263.20$260.0019.3%5.5%13.2%25.9%22.0%1.9%3.0%1.3M-53.4M-219.6K1.6766.44N/AN/A3425705,2929,057
2013-07-19$262.52$260.0018.7%5.3%12.7%22.9%18.4%2.2%3.5%1.1M-54.6M-219.4K0.3070.56N/AN/A4461335,3349,488
2013-07-22$261.60$260.0017.6%5.0%12.7%17.5%17.9%2.4%1.2%170.2K-12.6M-211.4K2.1772.32N/AN/A2675802,6185,704
2013-07-23$257.73$260.0017.0%4.9%14.0%14.5%18.1%2.1%1.2%-419.3K-4.9M-227.2K2.2078.11N/AN/A1052312,8126,060
2013-07-24$255.15$260.0016.8%4.8%13.2%13.9%17.7%2.3%1.2%-660.8K131.9K-230.7K2.5578.26N/AN/A1774522,8416,212
2013-07-25$255.46$260.0016.6%4.8%13.0%12.6%18.2%2.6%1.3%-818.6K1.5M-241.2K14.1182.87N/AN/A2062,9062,8856,523
2013-07-26$256.65$260.0016.5%4.7%13.0%12.0%16.7%2.1%1.1%-3.0M14.0M-325.4K1.8582.20N/AN/A2394433,0288,984
2013-07-29$257.31$260.0017.2%4.9%12.5%15.6%17.5%1.4%0.3%-3.0M13.0M-333.2K0.5683.86N/AN/A5012793,1629,322
2013-07-30$260.15$260.0017.3%5.0%12.7%16.0%17.2%2.0%0.3%-1.9M83.4K-332.9K1.9779.85N/AN/A881733,5869,437
2013-07-31$262.14$260.0017.1%4.9%12.8%15.0%17.7%1.9%0.3%-1.3M-7.1M-326.6K4.1576.31N/AN/A682823,6529,421