GWW Options History — November 2014

In November 2014, GWW traded between $243.12 and $254.75. ATM implied volatility averaged 16.4%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 3.9% (HV 20d: 20.3%). Max pain ranged from $210.00 to $210.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 7.73.

Notable Days

  • 2014-11-12: Highest Volume — 1,952 contracts
  • 2014-11-13: Largest IV spike — 27.7% change
  • 2014-11-17: Highest IV Rank — 14.7%
  • 2014-11-17: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$247.85$243.12$254.75$247.71$245.68
Max Pain$210.00$210.00$210.00$210.00$210.00
ATM IV16.4%14.0%18.2%16.2%15.6%
Expected Move5.4%5.2%5.8%5.2%5.4%
HV 20d20.3%15.4%28.5%28.5%15.8%
HV 60d19.1%18.8%19.7%18.8%19.2%
IV Rank9.5%2.4%14.7%8.9%7.1%
IV Percentile26.4%4.8%52.4%19.0%15.9%
Term Structure0.2%-0.6%1.2%0.4%0.4%
VWIV22.1%16.4%27.3%22.5%20.5%
Skew 25d2.7%1.5%4.1%2.2%1.5%
Skew 10d6.8%4.1%10.9%5.7%4.1%
Call IV 25d15.5%13.8%17.2%16.0%15.7%
Put IV 25d18.3%16.3%19.8%18.2%17.2%
Bid-Ask Spread %66.3748.9784.5057.0053.06
Gamma HHI0.230.200.270.230.22
Net GEX20.2K-2.0M1.8M305.6K119.2K
Net DEX-3.0M-26.6M16.0M-5.2M-863.0K
Net VEX-206.1K-229.7K-183.6K-229.7K-187.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.730.18122.000.87122.00
Total Volume809.737581,952569123
Total OI8,619.9477,8769,5308,1328,130

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$247.71$210.0016.2%5.2%28.5%8.9%22.5%2.2%0.4%305.6K-5.2M-229.7K0.8757.00N/AN/A3052643,7924,340
2014-11-04$249.49$210.0016.3%5.2%27.4%9.3%22.4%3.6%-0.0%620.4K-9.0M-227.3K0.7873.36N/AN/A3662863,8064,340
2014-11-05$253.15$210.0016.7%5.4%27.7%10.3%22.1%3.4%0.0%1.1M-18.5M-222.9K0.6057.93N/AN/A4042413,8244,384
2014-11-06$254.75$210.0017.3%5.4%26.5%12.2%22.3%3.4%-0.6%1.3M-24.1M-222.0K0.4561.04N/AN/A8023633,7934,388
2014-11-07$254.68$210.0016.8%5.2%25.7%10.8%21.2%3.0%-0.5%1.8M-26.6M-209.3K0.9366.85N/AN/A5575163,7574,352
2014-11-10$248.58$210.0016.7%5.3%23.8%10.2%22.1%2.2%0.3%820.6K-7.4M-207.4K0.6348.97N/AN/A6664203,8394,295
2014-11-11$246.21$210.0017.6%5.3%23.5%13.0%21.9%1.7%0.8%126.5K-355.6K-199.6K0.5774.94N/AN/A8955113,6644,212
2014-11-12$246.52$210.0014.0%5.3%23.4%2.4%22.3%2.6%0.4%195.5K-2.7M-209.5K1.5555.55N/AN/A7661,1863,9954,533
2014-11-13$244.27$210.0017.9%5.6%17.4%13.9%23.3%2.5%-0.2%-1.3M6.9M-223.5K0.7068.61N/AN/A6924874,2505,265
2014-11-14$246.27$210.0016.7%5.4%17.3%10.3%18.9%4.1%0.1%-831.1K5.8M-222.2K1.8284.50N/AN/A22404,1965,289
2014-11-17$244.38$210.0018.2%5.8%17.5%14.7%23.0%2.7%-0.4%-1.5M7.5M-208.4K0.7861.36N/AN/A5914634,2345,296
2014-11-18$243.12$210.0017.3%5.5%17.0%12.0%23.8%2.8%0.1%-2.0M16.0M-199.1K0.7563.57N/AN/A5994494,2325,276
2014-11-19$244.34$210.0017.5%5.7%16.3%12.8%27.3%3.3%-0.2%-1.5M9.7M-201.3K10.4272.30N/AN/A121254,1715,290
2014-11-20$244.65$210.0017.3%5.6%15.6%12.2%23.2%3.0%0.3%-1.3M12.3M-194.5K0.5673.05N/AN/A7244044,1025,185
2014-11-21$248.13$210.0015.8%5.3%15.8%7.6%20.6%2.7%0.6%819.7K121.5K-194.1K0.3373.42N/AN/A1,0553434,1455,213
2014-11-24$250.85$210.0015.3%5.2%16.1%6.2%16.4%3.3%0.8%723.1K-10.5M-187.2K0.1874.84N/AN/A82153,7334,292
2014-11-25$249.20$210.0014.5%5.3%15.4%3.9%24.2%2.2%1.2%685.3K-9.2M-186.4K0.3770.80N/AN/A4041493,7704,302
2014-11-26$247.16$210.0014.3%5.2%15.7%3.1%20.5%1.6%0.9%221.5K-437.8K-183.6K2.6369.85N/AN/A16423,8014,293
2014-11-28$245.68$210.0015.6%5.4%15.8%7.1%0.0%1.5%0.4%119.2K-863.0K-187.8K122.0053.06N/AN/A11223,8174,313