GWW Options History — March 2014

In March 2014, GWW traded between $245.84 and $257.48. ATM implied volatility averaged 21.6%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 7.4% (HV 20d: 14.1%). Max pain ranged from $240.00 to $250.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2014-03-14: Highest Volume — 932 contracts
  • 2014-03-11: Largest IV spike — 18.4% change
  • 2014-03-31: Highest IV Rank — 51.8%
  • 2014-03-31: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$252.42$245.84$257.48$253.29$252.66
Max Pain$248.10$240.00$250.00$240.00$250.00
ATM IV21.6%17.7%24.4%19.7%24.4%
Expected Move6.3%5.1%7.0%5.6%7.0%
HV 20d14.1%11.3%16.3%15.2%16.3%
HV 60d20.7%20.2%21.2%20.6%20.7%
IV Rank36.7%16.6%51.8%26.9%51.8%
IV Percentile64.6%22.2%83.7%59.1%83.7%
Term Structure-1.0%-3.4%3.1%2.3%-3.4%
VWIV22.1%18.2%25.1%19.7%25.1%
Skew 25d3.3%1.6%5.5%3.3%4.2%
Skew 10d5.6%-2.4%10.8%9.0%10.8%
Call IV 25d20.6%15.7%22.5%18.1%22.5%
Put IV 25d23.9%19.7%26.7%21.4%26.7%
Bid-Ask Spread %83.7577.0791.6688.1281.63
Gamma HHI0.190.170.210.170.21
Net GEX-1.4M-2.6M-351.5K-956.5K-1.6M
Net DEX5.9M-10.7M25.9M4.2M8.5M
Net VEX-217.4K-250.8K-186.8K-250.8K-187.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.106.251.512.67
Total Volume177.5245493218888
Total OI10,475.3339,50111,48710,1059,870

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$253.29$240.0019.7%5.6%15.2%26.9%19.7%3.3%2.3%-956.5K4.2M-250.8K1.5188.12N/AN/A751133,8826,223
2014-03-04$254.90$240.0019.5%5.6%11.6%25.8%19.5%4.5%1.6%-723.0K-1.4M-248.5K0.7390.68N/AN/A94693,9486,318
2014-03-05$256.97$240.0017.8%5.1%11.6%17.2%19.2%2.0%2.6%-352.3K-7.8M-242.5K2.8791.66N/AN/A631813,9716,345
2014-03-06$257.48$240.0017.7%5.1%11.4%16.6%18.2%1.6%3.1%-351.5K-8.9M-241.9K2.4788.82N/AN/A36894,0006,391
2014-03-07$256.95$250.0018.1%5.9%11.3%18.4%20.9%2.0%-0.3%-387.5K-10.7M-232.9K0.6279.14N/AN/A52324,0116,444
2014-03-10$255.77$250.0018.0%6.1%11.7%18.3%20.6%3.2%-0.8%-552.9K-5.5M-228.6K0.1781.32N/AN/A4684,0226,453
2014-03-11$253.84$250.0021.3%6.3%12.4%35.6%22.4%2.2%-1.7%-887.4K-1.2M-223.8K3.4581.33N/AN/A22764,0526,457
2014-03-12$251.83$250.0019.1%6.4%12.4%24.0%21.7%3.7%-1.4%-1.4M8.1M-227.7K2.3885.24N/AN/A531264,0666,512
2014-03-13$245.84$250.0022.5%6.5%15.6%41.7%23.1%2.7%-1.1%-2.6M25.9M-221.7K0.5683.30N/AN/A134754,1016,582
2014-03-14$247.03$250.0023.0%6.6%15.6%44.1%22.6%3.3%-1.3%-2.6M24.6M-223.1K1.0385.86N/AN/A4594734,1366,611
2014-03-17$251.68$250.0022.3%6.4%14.4%40.8%21.2%4.6%-1.1%-1.6M6.4M-218.3K0.6986.11N/AN/A137944,5156,883
2014-03-18$253.12$250.0022.6%6.5%14.3%42.2%21.9%4.8%-1.8%-1.2M1.7M-221.3K0.8184.61N/AN/A63514,5386,949
2014-03-19$249.96$250.0022.9%6.6%15.1%43.5%22.4%3.7%-1.6%-2.3M12.7M-216.1K0.3387.03N/AN/A49164,5126,953
2014-03-20$251.04$250.0022.8%6.5%15.2%43.2%24.8%5.5%-2.1%-2.2M9.0M-212.0K1.8483.91N/AN/A38704,4806,908
2014-03-21$251.97$250.0022.6%6.5%15.1%42.1%24.0%3.0%-2.0%-1.9M2.2M-203.8K6.2581.60N/AN/A12754,4916,946
2014-03-24$251.46$250.0023.3%6.7%14.8%45.6%23.5%3.1%-1.9%-1.8M11.3M-197.1K0.6977.07N/AN/A133923,7135,788
2014-03-25$254.61$250.0024.0%6.9%15.2%49.7%22.1%3.8%-2.6%-1.1M2.6M-197.0K0.1079.97N/AN/A96103,7965,842
2014-03-26$250.72$250.0024.0%6.9%16.2%49.5%24.1%2.3%-3.0%-1.8M11.1M-192.3K1.8778.50N/AN/A38713,8555,835
2014-03-27$250.24$250.0023.4%6.7%16.0%46.5%23.7%2.8%-2.3%-2.0M14.5M-191.4K0.8179.66N/AN/A53433,8825,877
2014-03-28$249.45$250.0023.6%6.8%15.7%47.2%24.1%3.1%-2.6%-2.2M17.1M-186.8K1.4583.11N/AN/A911323,9135,911
2014-03-31$252.66$250.0024.4%7.0%16.3%51.8%25.1%4.2%-3.4%-1.6M8.5M-187.2K2.6781.63N/AN/A24643,9595,911