GWW Options History — August 2014

In August 2014, GWW traded between $233.07 and $249.57. ATM implied volatility averaged 15.6%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.0% (HV 20d: 13.5%). Max pain ranged from $210.00 to $250.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.14.

Notable Days

  • 2014-08-15: Highest Volume — 828 contracts
  • 2014-08-07: Largest IV spike — 21.9% change
  • 2014-08-05: Highest IV Rank — 36.6%
  • 2014-08-18: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$241.27$233.07$249.57$235.21$246.20
Max Pain$224.50$210.00$250.00$250.00$210.00
ATM IV15.6%13.2%20.8%17.9%13.2%
Expected Move5.0%4.4%5.4%5.1%4.9%
HV 20d13.5%11.4%15.9%12.9%13.7%
HV 60d14.9%14.0%15.2%15.0%14.7%
IV Rank10.2%0.0%36.6%21.9%0.0%
IV Percentile14.8%0.0%71.4%36.1%0.0%
Term Structure3.0%-0.5%4.4%-0.5%4.0%
VWIV19.2%15.9%24.9%21.6%24.9%
Skew 25d3.1%1.7%5.8%2.5%3.9%
Skew 10d7.1%3.3%11.0%8.8%9.0%
Call IV 25d14.5%9.9%18.3%18.3%11.6%
Put IV 25d17.6%15.1%21.0%20.8%15.5%
Bid-Ask Spread %77.0162.3195.4295.4271.39
Gamma HHI0.240.200.270.230.26
Net GEX504.5K-1.2M2.9M-929.1K2.0M
Net DEX7.3M-25.1M31.8M30.3M-10.0M
Net VEX-260.5K-276.8K-240.7K-252.1K-254.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.1213.682.2710.00
Total Volume303.3331482830414
Total OI9,182.9528,7249,4758,7249,256

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$235.21$250.0017.9%5.1%12.9%21.9%21.6%2.5%-0.5%-929.1K30.3M-252.1K2.2795.42N/AN/A932114,6964,028
2014-08-04$235.01$230.0018.8%5.0%11.5%26.2%18.4%3.3%2.9%-1.0M31.8M-240.7K1.8577.84N/AN/A2143964,7824,181
2014-08-05$234.87$240.0020.8%5.4%11.4%36.6%17.8%3.0%1.4%-1.1M31.4M-246.1K0.1579.90N/AN/A387584,8174,315
2014-08-06$235.63$230.0016.7%4.8%11.6%15.5%17.8%4.8%2.6%-859.1K27.9M-256.9K2.3678.13N/AN/A982314,9514,294
2014-08-07$233.07$230.0020.3%5.4%11.7%34.2%19.6%2.2%2.2%-1.2M30.7M-245.4K13.6883.16N/AN/A192604,8794,350
2014-08-08$236.59$230.0016.4%4.8%12.9%13.8%17.5%4.5%2.5%-983.1K25.2M-264.2K0.1485.26N/AN/A312434,8984,501
2014-08-11$237.61$230.0017.3%4.8%13.1%18.5%17.2%2.4%2.7%-635.6K18.9M-262.3K0.9481.57N/AN/A1711614,9504,516
2014-08-12$238.76$240.0015.7%4.8%13.1%10.7%17.1%3.0%2.7%-455.3K16.7M-262.7K1.6885.42N/AN/A991664,9474,482
2014-08-13$239.58$240.0014.1%4.7%13.2%2.0%16.3%2.4%2.9%-551.9K15.7M-263.8K0.4687.70N/AN/A63294,8764,599
2014-08-14$238.45$240.0015.3%4.4%12.3%8.6%16.0%2.1%3.3%-678.9K18.7M-250.1K2.6788.45N/AN/A401074,8184,572
2014-08-15$237.23$240.0015.2%4.4%12.2%7.8%15.9%3.0%3.4%-831.2K24.6M-244.3K0.2988.42N/AN/A6421864,8434,578
2014-08-18$242.83$0.0015.2%5.4%14.4%7.6%21.3%2.4%3.1%876.0K4.0M-267.3K1.6372.34N/AN/A2103424,9034,085
2014-08-19$245.67$210.0013.9%5.2%14.8%1.1%20.3%4.7%3.4%1.6M-7.8M-275.5K0.1262.31N/AN/A173204,9313,939
2014-08-20$245.21$210.0014.0%5.2%14.8%1.6%0.0%2.3%3.2%1.8M-8.2M-272.2K0.7171.17N/AN/A124885,0253,950
2014-08-21$247.86$210.0014.1%5.2%15.1%2.3%0.0%5.8%3.1%2.2M-16.4M-276.8K0.2668.06N/AN/A229595,0633,951
2014-08-22$247.02$210.0014.0%5.2%15.2%1.8%18.1%2.1%3.3%2.3M-16.6M-275.2K1.2471.10N/AN/A50625,1363,953
2014-08-25$249.57$210.0013.4%5.1%15.3%0.0%23.1%2.9%4.4%2.9M-25.1M-273.0K0.5668.66N/AN/A2001115,1693,954
2014-08-26$248.79$210.0013.2%5.1%15.2%0.0%0.0%2.1%3.9%2.5M-21.2M-266.6K0.9865.89N/AN/A2011975,1764,015
2014-08-27$246.00$210.0013.8%5.0%15.9%3.0%24.2%1.7%4.1%1.8M-9.9M-260.2K0.8667.28N/AN/A1401205,1004,091
2014-08-28$245.56$210.0013.4%5.1%13.7%1.0%24.9%3.2%4.0%1.8M-8.4M-259.8K10.0067.67N/AN/A4405,2104,062
2014-08-29$246.20$210.0013.2%4.9%13.7%0.0%0.0%3.9%4.0%2.0M-10.0M-254.4K0.0071.39N/AN/A0145,1824,074