GWW Options History — September 2013

In September 2013, GWW traded between $251.27 and $274.01. ATM implied volatility averaged 21.9%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.6% (HV 20d: 17.3%). Max pain ranged from $250.00 to $250.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2013-09-18: Highest Volume — 1,777 contracts
  • 2013-09-12: Largest IV spike — 25.4% change
  • 2013-09-30: Highest IV Rank — 68.5%
  • 2013-09-30: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$265.93$251.27$274.01$251.27$261.71
Max Pain$250.00$250.00$250.00$250.00$250.00
ATM IV21.9%17.3%27.9%19.4%27.9%
Expected Move6.5%5.2%8.0%5.6%8.0%
HV 20d17.3%13.2%18.9%13.2%18.9%
HV 60d15.6%14.7%16.2%14.7%16.2%
IV Rank38.8%16.3%68.5%26.4%68.5%
IV Percentile59.6%17.9%91.7%42.1%91.7%
Term Structure-1.5%-4.6%4.3%3.9%-4.6%
VWIV23.2%19.2%28.0%19.5%28.0%
Skew 25d2.7%0.4%4.3%1.6%2.5%
Skew 10d6.2%1.7%11.7%3.1%5.1%
Call IV 25d22.0%18.8%27.1%19.3%27.1%
Put IV 25d24.6%19.2%29.5%20.9%29.5%
Bid-Ask Spread %73.2145.8183.4045.8177.63
Gamma HHI0.220.150.420.200.15
Net GEX2.4M-3.8M8.7M-3.8M1.1M
Net DEX-38.3M-77.3M19.0M19.0M-15.6M
Net VEX-292.2K-338.0K-257.2K-335.6K-280.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.193.490.451.38
Total Volume382.5751,777598209
Total OI15,408.113,28017,45815,52513,841

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$251.27$250.0019.4%5.6%13.2%26.4%19.5%1.6%3.9%-3.8M19.0M-335.6K0.4545.81N/AN/A4131854,81010,715
2013-09-04$255.82$250.0019.1%5.5%14.8%24.9%20.1%0.9%3.6%-1.9M-1.9M-329.9K0.6483.40N/AN/A2561644,94610,784
2013-09-05$259.55$250.0018.3%5.2%15.6%21.0%19.2%0.4%4.3%219.4K-22.7M-315.0K0.2483.36N/AN/A170405,08910,819
2013-09-06$258.28$250.0018.2%6.6%15.7%20.7%24.0%3.7%-1.8%-572.8K-12.9M-338.0K1.8563.69N/AN/A851575,07710,794
2013-09-09$263.96$250.0019.6%6.7%17.5%27.3%22.9%2.9%-2.3%1.9M-34.8M-309.8K0.8065.18N/AN/A3002395,12210,799
2013-09-10$269.36$250.0017.6%6.5%18.5%17.6%23.3%4.3%-2.2%3.1M-53.2M-295.0K2.4266.63N/AN/A1533705,02510,796
2013-09-11$269.69$250.0017.3%6.3%18.4%16.3%22.3%3.5%-1.7%3.6M-57.2M-288.6K0.9674.03N/AN/A1281235,10210,970
2013-09-12$268.08$250.0021.8%6.2%17.8%38.2%22.9%3.0%-1.5%3.7M-52.4M-292.7K0.4578.82N/AN/A4061835,11210,928
2013-09-13$267.29$250.0022.1%6.3%17.5%39.8%23.9%3.4%-1.5%3.9M-50.2M-285.2K2.0073.27N/AN/A34685,11010,913
2013-09-16$270.04$250.0023.1%6.6%17.7%44.7%22.8%3.2%-2.6%4.8M-61.2M-270.9K0.5974.50N/AN/A106635,13310,953
2013-09-17$269.37$250.0022.8%6.5%17.4%43.3%23.6%3.8%-2.4%5.1M-57.2M-277.7K3.1175.41N/AN/A441375,15310,973
2013-09-18$274.01$250.0022.9%6.6%17.9%44.1%21.2%3.3%-2.6%4.4M-74.0M-257.2K0.3177.25N/AN/A1,3594185,16711,069
2013-09-19$273.51$250.0023.1%6.6%17.6%45.0%23.0%3.0%-2.9%4.8M-77.3M-282.1K0.9376.12N/AN/A76716,21011,248
2013-09-20$270.15$250.0022.3%6.4%18.5%41.1%23.7%2.4%-2.0%8.7M-62.4M-278.5K2.4677.71N/AN/A1864576,16711,274
2013-09-23$268.05$250.0023.7%6.8%18.8%47.7%24.1%3.1%-1.8%1.8M-31.1M-275.5K3.4972.27N/AN/A893114,9508,330
2013-09-24$268.26$250.0023.7%6.8%18.4%47.9%25.7%2.5%-2.1%2.0M-32.5M-275.8K0.1965.76N/AN/A143275,0148,541
2013-09-25$267.16$250.0023.9%6.9%16.9%49.1%23.8%2.3%-2.4%1.9M-31.9M-283.9K0.8378.46N/AN/A81675,1578,553
2013-09-26$269.05$250.0024.5%7.0%16.9%51.6%24.5%2.3%-2.9%2.0M-34.2M-287.6K0.6078.79N/AN/A47285,1568,593
2013-09-27$263.92$250.0026.4%7.6%18.5%61.4%26.0%1.8%-3.5%1.4M-22.2M-284.2K0.6776.19N/AN/A1541035,1678,602
2013-09-30$261.71$250.0027.9%8.0%18.9%68.5%28.0%2.5%-4.6%1.1M-15.6M-280.7K1.3877.63N/AN/A881215,1678,674