GWW Options History — May 2014

In May 2014, GWW traded between $249.83 and $258.37. ATM implied volatility averaged 16.1%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.4% (HV 20d: 16.5%). Max pain ranged from $250.00 to $250.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.80.

Notable Days

  • 2014-05-21: Highest Volume — 905 contracts
  • 2014-05-15: Largest IV spike — 15.8% change
  • 2014-05-07: Highest IV Rank — 14.6%
  • 2014-05-12: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$253.22$249.83$258.37$252.75$258.37
Max Pain$250.00$250.00$250.00$250.00$250.00
ATM IV16.1%14.6%17.3%17.1%14.6%
Expected Move4.7%4.2%5.1%4.9%4.2%
HV 20d16.5%13.3%23.6%23.6%13.3%
HV 60d17.7%17.1%18.0%18.0%17.9%
IV Rank8.1%0.6%14.6%13.5%0.6%
IV Percentile6.5%0.4%16.3%10.7%0.4%
Term Structure2.3%0.7%3.4%0.7%3.1%
VWIV16.8%15.2%19.9%15.8%16.8%
Skew 25d2.5%0.7%3.8%1.7%1.9%
Skew 10d6.0%1.7%10.7%6.2%5.5%
Call IV 25d15.4%13.4%16.6%16.5%14.4%
Put IV 25d17.9%16.3%19.5%18.2%16.3%
Bid-Ask Spread %82.8773.7692.5589.4987.45
Gamma HHI0.220.200.320.210.22
Net GEX-1.2M-2.6M302.7K-1.4M302.7K
Net DEX7.3M-12.3M17.0M11.7M-12.3M
Net VEX-178.3K-202.8K-152.0K-192.1K-192.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.007.490.484.72
Total Volume167.0955905147183
Total OI6,529.0955,5906,9456,4476,857

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$252.75$250.0017.1%4.9%23.6%13.5%15.8%1.7%0.7%-1.4M11.7M-192.1K0.4889.49N/AN/A99482,2464,201
2014-05-02$252.25$250.0016.6%4.8%23.4%11.0%16.7%0.7%0.8%-1.5M12.6M-188.3K3.4592.55N/AN/A11382,3194,204
2014-05-05$251.70$250.0017.2%5.0%23.3%13.7%19.7%2.9%1.9%-1.7M15.1M-184.2K1.4275.99N/AN/A19272,3224,219
2014-05-06$250.87$250.0017.2%5.0%20.2%14.1%0.0%3.0%2.1%-1.9M17.0M-181.8K0.0073.76N/AN/A702,3234,234
2014-05-07$252.30$250.0017.3%5.1%17.7%14.6%17.7%3.3%2.0%-1.7M14.9M-182.3K0.6777.49N/AN/A322,3224,234
2014-05-08$252.29$250.0016.6%5.0%16.0%11.0%18.3%3.1%2.0%-1.5M13.0M-179.1K0.5377.67N/AN/A38202,3044,234
2014-05-09$250.89$250.0015.8%5.0%13.5%6.8%18.6%2.9%2.2%-1.9M14.8M-175.2K1.1178.57N/AN/A61682,3394,237
2014-05-12$254.62$250.0014.9%5.1%14.2%2.0%17.3%3.4%1.5%-897.6K6.9M-170.4K0.0978.10N/AN/A353302,3664,290
2014-05-13$253.97$250.0016.7%5.0%14.1%11.4%17.0%2.9%2.0%-757.4K7.9M-170.1K7.4980.07N/AN/A453372,6454,300
2014-05-14$253.57$250.0014.7%4.9%13.9%1.1%19.9%2.4%2.1%-1.3M8.4M-165.0K4.9280.16N/AN/A12592,6604,240
2014-05-15$252.23$250.0017.1%4.9%14.0%13.3%16.5%2.4%2.3%-2.6M11.2M-160.4K6.8278.84N/AN/A11752,6374,162
2014-05-16$254.18$250.0016.9%4.8%14.0%12.3%16.1%2.6%2.3%-1.6M8.1M-158.1K0.2982.06N/AN/A120352,6354,220
2014-05-19$256.11$250.0015.1%4.3%14.2%3.0%15.6%2.6%3.0%-981.0K4.7M-152.0K0.5281.69N/AN/A46241,9443,646
2014-05-20$249.83$250.0016.1%4.6%16.3%8.0%16.4%2.5%3.1%-1.6M14.1M-154.4K2.1781.47N/AN/A591281,9903,658
2014-05-21$252.36$250.0016.0%4.6%16.8%7.6%15.3%3.0%3.4%-1.5M11.1M-154.2K0.1086.53N/AN/A821842,0063,722
2014-05-22$252.15$250.0015.6%4.5%16.5%5.7%15.3%2.3%3.1%-908.6K3.1M-193.9K0.2388.37N/AN/A136312,7693,752
2014-05-23$253.23$250.0015.3%4.4%15.8%3.9%15.2%2.4%3.0%-762.8K304.0K-202.8K2.1686.12N/AN/A37802,8673,772
2014-05-27$252.81$250.0015.9%4.5%15.8%7.0%16.2%1.9%2.9%-827.0K383.7K-191.5K0.2687.58N/AN/A121322,8653,796
2014-05-28$254.51$250.0016.3%4.7%15.7%9.0%16.1%3.8%2.2%-425.8K-2.4M-198.1K0.1289.36N/AN/A4252,9693,801
2014-05-29$256.64$250.0014.7%4.2%13.4%1.0%15.2%1.7%3.0%-135.6K-6.7M-198.4K0.2586.90N/AN/A130322,9973,807
2014-05-30$258.37$250.0014.6%4.2%13.3%0.6%16.8%1.9%3.1%302.7K-12.3M-192.8K4.7287.45N/AN/A321513,0493,808