GWW Options History — January 2014

In January 2014, GWW traded between $234.48 and $265.94. ATM implied volatility averaged 18.4%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 1.9% (HV 20d: 20.3%). Max pain ranged from $250.00 to $260.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.72.

Notable Days

  • 2014-01-24: Highest Volume — 2,441 contracts
  • 2014-01-15: Largest IV spike — 23.6% change
  • 2014-01-23: Highest IV Rank — 45.1%
  • 2014-01-23: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$252.97$234.48$265.94$253.06$234.48
Max Pain$259.52$250.00$260.00$260.00$260.00
ATM IV18.4%14.5%22.9%17.5%20.3%
Expected Move5.8%4.9%6.6%5.0%5.8%
HV 20d20.3%15.6%27.6%15.6%27.6%
HV 60d18.1%16.1%21.1%17.1%20.9%
IV Rank22.3%2.4%45.1%17.8%32.0%
IV Percentile38.1%0.8%77.8%26.6%63.9%
Term Structure0.1%-2.5%4.2%3.8%0.4%
VWIV20.3%17.4%23.6%17.7%19.1%
Skew 25d2.4%0.4%3.7%1.9%2.5%
Skew 10d4.8%0.4%8.1%2.8%3.7%
Call IV 25d19.5%16.3%22.6%17.1%18.9%
Put IV 25d21.9%18.4%25.2%19.0%21.3%
Bid-Ask Spread %70.4650.2886.6785.1881.98
Gamma HHI0.210.170.270.200.25
Net GEX-1.8M-4.6M1.4M-2.0M-4.5M
Net DEX19.8M-20.2M73.6M20.3M73.6M
Net VEX-297.4K-325.2K-278.5K-302.4K-304.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.205.702.685.70
Total Volume537.143982,441221355
Total OI11,441.198,04313,41111,97511,173

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$253.06$260.0017.5%5.0%15.6%17.8%17.7%1.9%3.8%-2.0M20.3M-302.4K2.6885.18N/AN/A601614,4957,480
2014-01-03$252.84$260.0017.0%4.9%15.6%14.9%17.5%2.1%4.2%-2.1M22.6M-307.0K2.8686.67N/AN/A421204,5227,619
2014-01-06$250.97$260.0017.3%6.1%15.8%16.3%22.4%3.3%0.5%-2.5M26.4M-296.7K3.0756.15N/AN/A1003074,5347,632
2014-01-07$252.92$260.0016.7%6.1%15.6%13.4%21.0%3.4%0.2%-2.2M21.3M-292.5K1.5460.14N/AN/A831284,5377,624
2014-01-08$253.44$260.0016.1%6.1%15.6%10.3%20.7%3.7%-0.1%-2.0M20.8M-290.1K0.7859.29N/AN/A125974,5807,674
2014-01-09$254.50$260.0015.4%6.1%15.7%7.1%21.3%3.4%-0.0%-1.9M17.5M-292.5K2.3250.28N/AN/A942184,5987,687
2014-01-10$263.71$250.0016.1%6.1%19.7%10.4%20.8%2.8%-0.1%177.7K-12.4M-291.0K0.7265.00N/AN/A8816354,6357,789
2014-01-13$261.66$260.0017.1%6.1%19.7%15.6%20.9%2.3%-0.2%-351.9K-8.3M-301.4K0.9862.44N/AN/A1221205,2198,057
2014-01-14$264.26$260.0014.5%6.1%19.9%2.4%21.5%3.1%-0.5%359.5K-14.0M-310.5K1.1966.26N/AN/A911085,2748,137
2014-01-15$263.78$260.0018.0%6.2%19.8%19.9%21.0%2.8%-0.6%74.1K-14.8M-291.6K0.2068.05N/AN/A82165,1507,968
2014-01-16$265.94$260.0020.6%5.9%18.8%33.2%21.3%3.1%-0.4%1.4M-20.2M-288.4K1.2668.56N/AN/A971225,1527,963
2014-01-17$264.10$260.0021.2%6.1%18.1%36.6%21.2%2.6%-0.6%-452.7K-18.0M-278.5K1.6070.29N/AN/A1642635,1818,002
2014-01-21$264.06$260.0022.0%6.3%17.9%40.5%22.0%2.6%-1.7%-268.8K-7.4M-280.3K1.2070.67N/AN/A4074903,1154,928
2014-01-22$262.03$260.0022.4%6.4%16.4%42.6%22.5%2.5%-2.4%-430.4K-3.3M-301.3K2.0269.70N/AN/A1452933,3915,356
2014-01-23$256.66$260.0022.9%6.6%17.5%45.1%23.6%2.6%-2.5%-1.2M10.9M-325.2K1.3768.36N/AN/A3564893,4825,605
2014-01-24$241.85$260.0018.7%5.4%27.4%23.7%19.5%0.9%0.2%-2.9M46.7M-300.0K0.7082.87N/AN/A1,4351,0063,6035,818
2014-01-27$238.93$260.0018.6%5.3%27.5%23.1%19.0%0.4%0.1%-3.8M57.6M-286.3K4.3281.72N/AN/A1928293,5186,323
2014-01-28$237.86$260.0018.0%5.2%27.5%20.3%17.4%0.5%0.6%-4.5M64.5M-302.5K0.9766.33N/AN/A1801753,6276,985
2014-01-29$238.16$260.0018.2%5.2%27.5%21.1%18.3%1.8%0.2%-4.5M65.4M-300.2K0.4376.43N/AN/A3381473,6837,085
2014-01-30$237.17$260.0018.3%5.2%27.5%21.4%18.4%1.2%0.2%-4.6M67.3M-301.7K0.2283.29N/AN/A169383,8667,198
2014-01-31$234.48$260.0020.3%5.8%27.6%32.0%19.1%2.5%0.4%-4.5M73.6M-304.7K5.7081.98N/AN/A533023,9747,199