GWW Options History — November 2013

In November 2013, GWW traded between $253.24 and $272.13. ATM implied volatility averaged 19.2%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.4% (HV 20d: 18.8%). Max pain ranged from $260.00 to $270.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 3.12.

Notable Days

  • 2013-11-18: Highest Volume — 1,661 contracts
  • 2013-11-11: Largest IV spike — 32.0% change
  • 2013-11-11: Highest IV Rank — 66.4%
  • 2013-11-07: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$262.74$253.24$272.13$270.06$257.92
Max Pain$265.00$260.00$270.00$270.00$260.00
ATM IV19.2%16.3%27.1%17.8%16.7%
Expected Move5.2%4.7%5.8%5.1%4.8%
HV 20d18.8%14.7%20.4%18.0%18.2%
HV 60d18.0%16.7%18.7%16.7%17.6%
IV Rank26.3%11.2%66.4%19.1%13.3%
IV Percentile37.9%7.9%90.5%23.4%12.7%
Term Structure0.7%-0.1%1.5%0.7%1.3%
VWIV18.9%17.1%21.7%18.2%17.6%
Skew 25d2.5%1.7%3.2%2.8%2.2%
Skew 10d5.4%2.2%11.9%8.0%2.5%
Call IV 25d17.4%16.2%19.4%17.2%16.6%
Put IV 25d19.9%17.9%21.6%20.0%18.8%
Bid-Ask Spread %64.1616.7186.2286.2230.67
Gamma HHI0.250.200.600.200.26
Net GEX-4.9M-16.4M-1.2M-1.9M-6.8M
Net DEX23.7M-5.2M54.0M-125.3K36.0M
Net VEX-302.0K-332.5K-278.1K-313.1K-289.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.120.4315.396.3915.39
Total Volume552.15691,661377459
Total OI12,313.710,67413,53011,03412,787

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$270.06$270.0017.8%5.1%18.0%19.1%18.2%2.8%0.7%-1.9M-125.3K-313.1K6.3986.22N/AN/A513263,3677,667
2013-11-04$271.88$270.0019.3%5.3%17.1%26.5%19.7%2.7%0.4%-1.6M-3.5M-306.6K1.2459.50N/AN/A49613,3587,961
2013-11-05$268.96$270.0018.3%5.2%17.0%21.6%19.9%2.6%0.2%-2.5M4.3M-298.9K3.0162.66N/AN/A732203,3647,957
2013-11-06$272.13$270.0020.5%5.4%14.7%32.9%19.3%2.7%0.3%-1.4M-5.2M-301.8K0.5360.76N/AN/A9024743,3628,073
2013-11-07$263.68$270.0023.9%5.8%18.8%50.1%21.7%2.3%-0.1%-3.1M22.4M-332.5K1.7160.83N/AN/A1172003,9838,424
2013-11-08$268.11$270.0020.5%5.4%19.4%32.9%19.7%2.5%0.1%-1.9M3.9M-325.6K1.0661.44N/AN/A48514,0128,468
2013-11-11$270.02$270.0027.1%5.5%19.5%66.4%20.1%1.8%0.1%-1.2M-3.7M-298.6K9.4866.92N/AN/A524934,0418,507
2013-11-12$268.24$270.0023.9%5.3%19.1%50.2%19.2%3.2%0.6%-2.5M5.3M-302.2K0.8164.79N/AN/A8146624,0648,836
2013-11-13$265.00$270.0022.7%5.6%19.6%44.0%19.9%3.0%0.2%-4.2M24.7M-310.4K3.6181.06N/AN/A1595744,3809,150
2013-11-14$265.60$270.0018.2%5.2%18.8%21.2%19.7%3.0%0.4%-3.9M22.7M-304.6K1.9067.45N/AN/A2424604,3429,129
2013-11-15$260.75$260.0018.1%5.2%19.7%20.7%18.9%2.8%1.0%-16.4M39.0M-293.0K2.3669.64N/AN/A1954604,5188,997
2013-11-18$258.06$260.0017.8%5.1%20.0%19.0%19.4%2.6%1.0%-4.4M31.2M-278.1K5.9268.64N/AN/A2401,4213,3577,317
2013-11-19$256.15$260.0017.5%5.0%19.8%17.8%18.0%2.5%0.9%-5.8M41.3M-296.1K1.3769.38N/AN/A2633613,4948,356
2013-11-20$253.24$260.0018.8%5.4%20.1%24.2%18.6%2.3%0.4%-6.5M54.0M-300.5K0.9868.12N/AN/A3042993,6338,566
2013-11-21$255.22$260.0016.8%4.8%20.4%14.2%17.5%2.3%1.2%-6.5M47.6M-311.8K1.4470.30N/AN/A68983,6558,736
2013-11-22$256.39$260.0016.3%4.7%19.4%11.2%17.1%1.7%1.5%-6.8M44.3M-299.9K3.3173.73N/AN/A862853,5778,770
2013-11-25$256.86$260.0017.1%4.9%19.2%15.7%18.7%2.4%0.4%-7.0M43.0M-294.3K0.4374.43N/AN/A143623,5958,968
2013-11-26$258.13$260.0016.6%4.8%18.4%12.9%17.2%1.8%1.2%-6.6M34.5M-292.2K0.4369.95N/AN/A141613,6959,024
2013-11-27$258.47$260.0016.6%4.8%18.2%13.1%18.2%1.9%1.4%-6.6M33.1M-290.8K1.0316.71N/AN/A34353,7289,056
2013-11-29$257.92$260.0016.7%4.8%18.2%13.3%17.6%2.2%1.3%-6.8M36.0M-289.4K15.3930.67N/AN/A284313,7189,069