GWW Options History — August 2013

In August 2013, GWW traded between $247.20 and $269.53. ATM implied volatility averaged 17.7%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.6% (HV 20d: 15.0%). Max pain ranged from $250.00 to $260.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.88.

Notable Days

  • 2013-08-01: Highest Volume — 1,489 contracts
  • 2013-08-15: Largest IV spike — 26.8% change
  • 2013-08-15: Highest IV Rank — 24.5%
  • 2013-08-15: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$255.67$247.20$269.53$269.53$247.35
Max Pain$256.36$250.00$260.00$260.00$250.00
ATM IV17.7%15.0%19.0%16.1%18.1%
Expected Move5.1%4.6%5.4%4.6%5.2%
HV 20d15.0%11.2%16.4%15.8%11.3%
HV 60d17.0%15.6%18.4%18.3%15.6%
IV Rank17.9%4.6%24.5%10.2%20.2%
IV Percentile21.2%2.0%33.3%6.3%25.0%
Term Structure3.3%0.8%4.1%0.8%4.0%
VWIV18.5%16.8%20.1%17.8%19.0%
Skew 25d2.2%1.4%2.9%1.9%2.0%
Skew 10d4.4%2.4%6.0%3.6%3.7%
Call IV 25d17.4%15.7%18.4%15.9%18.4%
Put IV 25d19.6%17.1%20.8%17.8%20.4%
Bid-Ask Spread %68.1818.8282.7018.8282.70
Gamma HHI0.220.190.320.200.22
Net GEX-3.0M-5.0M167.3K96.1K-4.9M
Net DEX12.4M-27.1M37.7M-27.1M37.6M
Net VEX-323.9K-353.4K-299.4K-299.4K-346.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.359.812.610.92
Total Volume406.091651,4891,489100
Total OI14,430.81813,18215,49213,22615,492

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$269.53$260.0016.1%4.6%15.8%10.2%17.8%1.9%0.8%96.1K-27.1M-299.4K2.6118.82N/AN/A4121,0773,6359,591
2013-08-02$267.95$260.0015.9%4.6%16.1%9.1%16.8%1.4%0.9%167.3K-25.5M-318.3K0.3582.63N/AN/A100353,90610,187
2013-08-05$266.09$260.0016.3%4.8%16.4%10.9%17.2%2.5%3.1%-116.0K-19.8M-319.6K1.4849.75N/AN/A1642423,94610,202
2013-08-06$263.55$260.0018.4%5.2%15.0%21.7%18.6%2.7%2.7%-969.2K-11.9M-316.8K1.4845.40N/AN/A42624,01610,289
2013-08-07$261.16$260.0018.1%5.1%15.3%20.2%19.7%2.9%3.1%-1.6M-4.0M-326.7K2.2363.74N/AN/A521164,03510,307
2013-08-08$261.00$260.0017.6%5.1%14.8%17.5%17.1%2.3%3.2%-1.8M-3.2M-319.4K0.9766.06N/AN/A33323,93610,347
2013-08-09$259.83$260.0017.2%5.1%14.8%15.8%18.4%2.2%3.2%-2.2M80.5K-317.4K0.7539.30N/AN/A88663,91510,367
2013-08-12$258.03$260.0018.2%5.1%15.0%20.5%18.5%2.3%3.4%-2.7M6.0M-309.5K1.3872.16N/AN/A2944053,96010,394
2013-08-13$257.15$260.0016.2%5.1%14.8%10.6%17.4%2.0%3.3%-3.3M10.5M-319.4K0.4664.20N/AN/A123574,11610,589
2013-08-14$253.88$260.0015.0%5.3%15.3%4.6%18.6%2.3%3.3%-4.3M25.1M-315.5K0.4469.46N/AN/A215954,07110,608
2013-08-15$251.94$260.0019.0%5.4%15.4%24.5%18.7%2.8%3.3%-5.0M30.0M-309.6K0.4570.17N/AN/A3441564,16510,569
2013-08-16$253.41$260.0018.8%5.4%15.7%23.3%18.8%2.8%3.3%-3.4M23.2M-310.3K9.8172.11N/AN/A262554,38010,662
2013-08-19$251.63$260.0018.4%5.3%15.8%21.7%20.1%2.2%4.0%-3.5M20.5M-304.3K2.9272.77N/AN/A792313,6449,538
2013-08-20$251.31$260.0018.0%5.1%15.0%19.4%18.5%2.2%4.0%-3.6M21.8M-302.9K1.4777.00N/AN/A2824153,6809,662
2013-08-21$249.50$250.0018.3%5.2%14.8%21.1%18.3%2.5%3.5%-4.0M29.1M-316.2K0.8076.63N/AN/A5454363,9209,871
2013-08-22$251.36$250.0017.8%5.1%15.1%18.4%18.8%1.9%3.8%-3.5M22.1M-344.8K2.1076.50N/AN/A591244,30410,181
2013-08-23$254.03$250.0017.5%5.0%15.5%17.3%19.1%1.5%4.1%-2.8M11.6M-339.7K7.8482.02N/AN/A564394,33210,269
2013-08-26$252.25$250.0018.4%5.3%15.7%21.7%19.5%1.8%3.5%-3.7M19.5M-347.5K1.3081.76N/AN/A1201564,35910,530
2013-08-27$247.69$250.0018.5%5.3%16.1%21.8%19.0%1.7%3.7%-4.9M37.1M-349.0K0.6280.12N/AN/A115714,37410,629
2013-08-28$248.83$250.0018.5%5.3%15.9%22.2%19.2%2.0%4.0%-4.8M32.6M-339.5K0.5577.90N/AN/A6783744,36210,682
2013-08-29$247.20$250.0018.3%5.2%11.2%20.9%18.9%1.8%4.1%-5.0M37.7M-353.4K0.5278.84N/AN/A107564,74610,710
2013-08-30$247.35$250.0018.1%5.2%11.3%20.2%19.0%2.0%4.0%-4.9M37.6M-346.2K0.9282.70N/AN/A52484,77910,713