GWW Options History — December 2013

In December 2013, GWW traded between $248.34 and $258.32. ATM implied volatility averaged 17.6%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.0% (HV 20d: 14.6%). Max pain ranged from $260.00 to $260.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 6.70.

Notable Days

  • 2013-12-12: Highest Volume — 2,190 contracts
  • 2013-12-03: Largest IV spike — 16.8% change
  • 2013-12-03: Highest IV Rank — 30.8%
  • 2013-12-03: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$254.37$248.34$258.32$258.32$255.42
Max Pain$260.00$260.00$260.00$260.00$260.00
ATM IV17.6%15.4%20.1%17.2%15.9%
Expected Move5.0%4.4%5.8%4.9%4.6%
HV 20d14.6%11.1%18.2%18.1%15.9%
HV 60d16.9%16.3%17.6%17.6%17.2%
IV Rank18.1%6.7%30.8%16.1%9.4%
IV Percentile27.2%4.4%59.1%18.7%7.1%
Term Structure3.0%-1.7%4.6%0.5%4.6%
VWIV17.9%15.9%19.7%17.8%17.0%
Skew 25d2.2%1.1%3.4%2.4%1.3%
Skew 10d4.2%1.6%7.0%5.0%2.7%
Call IV 25d17.0%15.7%18.5%16.7%16.3%
Put IV 25d19.2%17.6%20.3%19.1%17.7%
Bid-Ask Spread %75.5331.5284.8731.5283.43
Gamma HHI0.280.190.460.270.19
Net GEX-6.3M-9.5M-1.6M-7.9M-1.7M
Net DEX37.6M14.4M64.5M37.9M15.2M
Net VEX-308.4K-344.9K-278.1K-278.1K-311.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.700.2279.811.040.55
Total Volume600.524562,190106171
Total OI13,335.71411,58515,11513,12611,912

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$258.32$260.0017.2%4.9%18.1%16.1%17.8%2.4%0.5%-7.9M37.9M-278.1K1.0431.52N/AN/A52543,7319,395
2013-12-03$254.89$260.0020.1%5.8%18.2%30.8%19.7%2.5%-1.7%-8.9M55.2M-278.5K4.9731.70N/AN/A401993,7509,431
2013-12-04$255.05$260.0018.0%5.2%18.0%20.1%18.3%2.2%0.2%-9.0M55.5M-281.3K0.5082.66N/AN/A4182073,7579,465
2013-12-05$255.17$260.0018.2%5.2%17.2%21.1%19.1%1.5%0.0%-9.1M54.6M-282.3K2.8282.92N/AN/A3611,0183,8869,529
2013-12-06$257.78$260.0017.8%5.2%14.3%18.9%18.8%2.5%2.9%-7.5M32.6M-287.1K0.2776.73N/AN/A5351464,1669,151
2013-12-09$257.18$260.0018.1%5.2%12.6%20.5%17.9%2.2%2.9%-7.8M29.2M-301.7K0.2679.42N/AN/A339894,6229,165
2013-12-10$256.71$260.0017.9%5.1%12.1%19.8%18.8%2.1%3.3%-8.0M29.7M-301.8K0.2279.99N/AN/A255574,7739,170
2013-12-11$254.05$260.0019.4%5.2%12.4%27.5%18.1%1.1%3.7%-8.7M44.1M-295.1K14.1081.85N/AN/A101414,8119,154
2013-12-12$252.03$260.0018.3%5.2%12.0%21.4%19.7%2.3%3.4%-9.2M56.4M-282.9K6.9979.51N/AN/A2741,9164,8139,169
2013-12-13$251.55$260.0018.1%5.2%11.9%20.8%18.8%2.5%3.5%-9.2M57.3M-303.4K79.8177.25N/AN/A262,0754,8929,489
2013-12-16$253.92$260.0018.4%5.3%11.1%21.9%17.6%2.7%3.6%-8.2M44.1M-325.9K10.3178.24N/AN/A1401,4434,9029,808
2013-12-17$250.06$260.0018.5%5.3%11.8%22.7%18.2%1.5%3.3%-9.5M64.5M-344.9K1.4179.37N/AN/A70994,93410,179
2013-12-18$254.82$260.0017.5%5.0%13.6%17.9%16.8%2.9%4.2%-7.4M41.7M-339.8K3.6382.66N/AN/A1866754,97010,145
2013-12-19$253.39$260.0017.3%5.0%13.1%16.8%17.0%2.4%3.9%-4.4M36.8M-334.2K4.0779.52N/AN/A712895,0739,224
2013-12-20$248.34$260.0017.1%4.9%14.6%15.7%17.9%2.3%4.2%-6.8M48.2M-323.9K4.5772.25N/AN/A1125125,0398,740
2013-12-23$252.41$260.0017.3%5.0%15.8%16.8%18.5%2.3%3.5%-2.1M23.7M-329.0K1.4578.27N/AN/A1201744,2537,332
2013-12-24$254.33$260.0017.7%5.1%16.0%18.4%16.9%3.4%3.3%-1.8M19.0M-327.3K0.6284.19N/AN/A39244,3237,443
2013-12-26$255.42$260.0015.6%4.5%16.0%7.8%15.9%2.0%4.6%-1.7M14.5M-320.4K2.1178.44N/AN/A18384,3397,457
2013-12-27$255.45$260.0015.4%4.4%16.0%6.7%16.6%1.9%4.2%-1.6M14.5M-318.0K0.2484.87N/AN/A87214,3327,459
2013-12-30$255.38$260.0015.9%4.6%16.0%9.4%16.2%1.7%4.3%-1.6M14.4M-309.4K0.6981.43N/AN/A65454,3987,469
2013-12-31$255.42$260.0015.9%4.6%15.9%9.4%17.0%1.3%4.6%-1.7M15.2M-311.3K0.5583.43N/AN/A110614,4257,487