GWW Options History — December 2014

In December 2014, GWW traded between $242.52 and $258.79. ATM implied volatility averaged 17.8%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.4% (HV 20d: 18.2%). Max pain ranged from $210.00 to $250.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2014-12-22: Highest Volume — 1,478 contracts
  • 2014-12-10: Largest IV spike — 14.9% change
  • 2014-12-17: Highest IV Rank — 24.3%
  • 2014-12-16: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$250.75$242.52$258.79$242.55$254.89
Max Pain$230.95$210.00$250.00$210.00$250.00
ATM IV17.8%15.0%21.4%17.6%18.7%
Expected Move5.8%5.4%6.6%5.6%6.2%
HV 20d18.2%14.3%21.4%15.8%20.0%
HV 60d20.8%19.3%21.9%19.3%21.8%
IV Rank13.6%5.3%24.3%12.9%16.4%
IV Percentile43.1%11.1%77.8%43.3%58.3%
Term Structure2.0%-0.2%3.3%0.3%3.0%
VWIV22.6%12.7%27.7%26.2%20.3%
Skew 25d3.4%1.7%8.2%3.3%1.8%
Skew 10d7.4%0.4%14.8%4.8%0.4%
Call IV 25d16.6%10.6%19.7%16.2%17.2%
Put IV 25d20.1%17.8%24.5%19.5%19.0%
Bid-Ask Spread %71.2355.2084.3655.2070.81
Gamma HHI0.220.190.250.250.23
Net GEX1.1M-1.0M3.0M-1.0M2.4M
Net DEX-13.9M-41.3M15.2M15.2M-30.8M
Net VEX-156.7K-179.6K-123.5K-168.0K-123.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.253.830.373.83
Total Volume731.182291,47870529
Total OI8,427.9557,6108,8468,2388,340

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$242.55$210.0017.6%5.6%15.8%12.9%26.2%3.3%0.3%-1.0M15.2M-168.0K0.3755.20N/AN/A5131923,8174,421
2014-12-02$244.21$210.0017.6%5.7%15.9%13.1%23.9%3.6%-0.2%-695.5K8.6M-163.7K0.4776.86N/AN/A4952343,9304,411
2014-12-03$248.16$210.0016.2%5.5%16.8%9.0%22.7%4.8%-0.2%595.3K-339.9K-179.6K0.3275.81N/AN/A5051613,9314,333
2014-12-04$250.57$210.0015.8%5.4%16.3%7.6%12.7%8.2%0.6%935.4K-11.4M-171.9K1.2184.36N/AN/A42513,9354,361
2014-12-05$252.42$220.0015.0%5.5%16.4%5.3%21.6%2.6%3.2%1.4M-17.0M-168.4K0.2961.52N/AN/A5861693,9744,367
2014-12-08$250.03$230.0016.6%5.4%16.7%10.0%21.7%2.1%2.4%1.1M-12.7M-167.2K0.2666.74N/AN/A5511434,0604,407
2014-12-09$249.44$230.0016.6%5.5%14.3%10.1%20.7%3.5%2.5%730.8K-7.3M-165.3K0.2662.33N/AN/A5141354,0604,412
2014-12-10$242.52$230.0019.1%5.8%17.2%17.5%22.1%3.5%1.7%-706.8K12.4M-152.8K0.4870.48N/AN/A4652244,0594,365
2014-12-11$245.95$240.0017.7%5.6%18.0%13.4%23.3%4.1%2.0%118.4K2.9M-161.8K0.4771.32N/AN/A4812254,0924,445
2014-12-12$246.31$240.0018.8%5.9%17.6%16.6%26.5%2.6%1.7%409.4K-2.9M-175.0K0.4478.75N/AN/A5062244,1134,467
2014-12-15$244.80$240.0021.3%6.3%17.5%24.0%24.4%3.3%0.8%-203.5K5.5M-161.6K0.5164.91N/AN/A4752434,1804,480
2014-12-16$244.57$240.0021.1%6.6%17.3%23.4%24.4%5.0%2.3%59.1K6.3M-168.6K0.4168.58N/AN/A5122114,1874,542
2014-12-17$244.65$240.0021.4%6.4%17.2%24.3%25.1%4.6%1.3%-131.8K5.7M-163.7K0.4076.66N/AN/A5042004,2564,545
2014-12-18$251.51$240.0018.4%6.1%19.7%15.3%23.2%4.1%2.7%1.6M-17.4M-154.9K0.3769.41N/AN/A5151914,2354,543
2014-12-19$257.81$240.0017.8%6.0%21.4%13.6%20.8%3.3%3.2%3.0M-39.6M-152.9K0.3379.43N/AN/A6532184,2804,566
2014-12-22$257.90$0.0017.2%5.8%21.0%11.9%27.7%3.3%3.2%2.1M-34.2M-151.7K0.7271.94N/AN/A8596193,7793,831
2014-12-23$258.00$230.0017.1%5.6%20.7%11.6%24.8%2.6%2.6%2.2M-37.0M-148.8K0.3366.27N/AN/A8552834,1274,166
2014-12-24$256.98$230.0016.7%5.7%20.6%10.4%20.3%2.4%3.0%2.2M-34.3M-150.7K0.2569.21N/AN/A1,0102564,1274,177
2014-12-26$257.00$230.0016.4%5.5%20.3%9.3%19.6%2.1%3.3%2.4M-36.4M-143.2K0.3276.54N/AN/A8092624,1734,179
2014-12-29$258.79$230.0017.0%5.7%20.1%11.3%24.6%3.3%2.7%2.7M-41.3M-130.0K0.4272.38N/AN/A6272634,1854,186
2014-12-30$257.49$250.0017.1%5.7%19.5%11.4%21.3%1.7%2.9%2.7M-38.7M-125.3K3.4777.45N/AN/A17594,1844,187
2014-12-31$254.89$250.0018.7%6.2%20.0%16.4%20.3%1.8%3.0%2.4M-30.8M-123.5K3.8370.81N/AN/A6234,1994,141