GWW Options History — September 2014

In September 2014, GWW traded between $246.54 and $253.42. ATM implied volatility averaged 18.0%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 6.2% (HV 20d: 11.8%). Max pain ranged from $210.00 to $220.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 11.27.

Notable Days

  • 2014-09-19: Highest Volume — 463 contracts
  • 2014-09-11: Largest IV spike — 30.8% change
  • 2014-09-30: Highest IV Rank — 49.7%
  • 2014-09-30: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$250.05$246.54$253.42$247.43$251.65
Max Pain$219.05$210.00$220.00$210.00$220.00
ATM IV18.0%13.5%23.2%13.9%23.2%
Expected Move5.1%5.0%5.2%5.1%5.2%
HV 20d11.8%9.8%13.9%13.7%10.0%
HV 60d13.4%12.2%14.8%14.6%12.2%
IV Rank24.2%1.5%49.7%3.2%49.7%
IV Percentile45.4%1.6%87.3%2.4%87.3%
Term Structure-1.2%-3.7%4.9%3.5%-3.7%
VWIV19.4%17.3%23.2%23.2%17.3%
Skew 25d3.4%1.8%5.6%2.6%3.9%
Skew 10d7.6%3.5%11.1%8.4%8.3%
Call IV 25d17.6%9.7%20.9%12.0%20.9%
Put IV 25d21.0%14.6%24.9%14.6%24.9%
Bid-Ask Spread %67.8847.5181.7674.5877.34
Gamma HHI0.270.250.290.270.26
Net GEX3.2M2.2M4.1M2.2M3.7M
Net DEX-26.2M-43.8M-12.2M-14.1M-31.1M
Net VEX-217.7K-249.9K-179.4K-245.1K-179.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.270.15196.002.920.15
Total Volume151.6672546347159
Total OI9,365.4298,8969,7779,2709,140

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$247.43$210.0013.9%5.1%13.7%3.2%23.2%2.6%3.5%2.2M-14.1M-245.1K2.9274.58N/AN/A12355,1824,088
2014-09-03$249.85$210.0013.5%5.1%13.9%1.5%17.9%5.6%4.9%2.7M-24.2M-244.6K0.3562.64N/AN/A282995,1854,081
2014-09-04$251.64$220.0014.1%5.1%13.9%4.3%0.0%2.2%4.0%3.4M-32.7M-249.9K3.1166.17N/AN/A381185,3784,110
2014-09-05$249.48$220.0013.9%5.2%13.6%3.5%0.0%1.8%-1.0%3.0M-26.3M-245.4K1.8770.73N/AN/A15285,3914,056
2014-09-08$248.84$220.0014.5%5.1%13.1%6.5%0.0%3.7%-1.6%3.0M-20.4M-238.7K4.2056.50N/AN/A5215,4004,073
2014-09-09$246.88$220.0014.3%5.0%13.6%5.2%19.8%3.0%-2.0%2.6M-16.3M-229.3K10.6064.22N/AN/A5535,4044,067
2014-09-10$246.58$220.0013.9%5.0%13.6%3.6%0.0%3.6%-1.6%2.5M-12.2M-220.4K0.5475.53N/AN/A26145,4054,043
2014-09-11$246.54$220.0018.2%5.1%13.6%25.1%0.0%3.5%-1.4%2.5M-12.2M-217.2K7.0081.76N/AN/A6425,4254,049
2014-09-12$248.45$220.0018.3%5.1%13.5%25.5%17.6%3.7%-1.8%3.0M-19.2M-217.0K0.2866.26N/AN/A155435,4284,039
2014-09-15$248.42$220.0018.9%5.1%13.3%28.3%0.0%3.7%-1.5%3.2M-21.8M-218.2K0.4079.51N/AN/A2531005,5604,026
2014-09-16$248.67$220.0019.2%5.1%10.7%29.8%0.0%4.1%-2.4%3.4M-21.8M-225.0K0.1976.35N/AN/A133255,6734,104
2014-09-17$250.30$220.0018.1%5.1%10.2%24.5%0.0%2.5%-1.3%3.7M-29.9M-221.8K0.6173.73N/AN/A89545,6394,113
2014-09-18$253.08$220.0019.2%5.1%10.7%30.1%0.0%3.5%-2.6%3.8M-40.7M-215.3K0.4071.39N/AN/A205815,5554,104
2014-09-19$253.42$220.0019.3%5.1%10.2%30.4%21.4%3.4%-3.1%4.1M-43.8M-213.7K1.4848.16N/AN/A1872765,5964,090
2014-09-22$251.32$220.0019.5%5.1%10.6%31.3%0.0%1.9%-0.9%3.4M-30.1M-206.1K196.0068.71N/AN/A11965,2783,618
2014-09-23$251.62$220.0020.6%5.1%10.0%36.8%0.0%3.4%-2.1%3.4M-29.6M-206.5K1.7647.51N/AN/A29515,2793,734
2014-09-24$252.65$220.0020.9%5.1%10.0%38.7%0.0%3.7%-2.2%3.6M-34.2M-200.4K2.0755.36N/AN/A45935,3073,746
2014-09-25$250.13$220.0021.3%5.2%9.8%40.6%0.0%3.7%-2.2%3.3M-26.8M-200.8K0.1870.95N/AN/A3875,3243,761
2014-09-26$252.02$220.0021.5%5.1%10.0%41.4%18.3%4.0%-2.7%3.6M-31.6M-195.1K0.9273.65N/AN/A13125,3463,762
2014-09-29$252.02$220.0022.6%5.1%10.0%47.2%0.0%4.0%-3.7%3.7M-31.1M-182.8K1.7664.44N/AN/A51905,3533,762
2014-09-30$251.65$220.0023.2%5.2%10.0%49.7%17.3%3.9%-3.7%3.7M-31.1M-179.4K0.1577.34N/AN/A138215,3763,764