GWW Options History — January 2015

In January 2015, GWW traded between $231.10 and $255.26. ATM implied volatility averaged 20.6%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.5% (HV 20d: 21.0%). Max pain ranged from $240.00 to $250.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.33.

Notable Days

  • 2015-01-14: Highest Volume — 3,548 contracts
  • 2015-01-14: Largest IV spike — 19.8% change
  • 2015-01-15: Highest IV Rank — 32.1%
  • 2015-01-15: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$242.55$231.10$255.26$255.26$235.79
Max Pain$246.50$240.00$250.00$250.00$250.00
ATM IV20.6%17.4%24.0%18.3%18.9%
Expected Move6.2%5.2%6.9%5.6%5.4%
HV 20d21.0%17.0%24.7%19.3%24.7%
HV 60d19.8%18.1%21.9%21.3%20.5%
IV Rank21.9%12.3%32.1%15.2%16.8%
IV Percentile69.2%39.3%90.9%56.0%56.7%
Term Structure-0.6%-2.6%1.6%1.6%0.4%
VWIV22.9%18.7%30.5%25.1%18.8%
Skew 25d4.4%2.3%5.7%2.3%4.2%
Skew 10d9.5%4.6%16.5%4.6%10.1%
Call IV 25d20.2%17.8%23.1%18.3%18.2%
Put IV 25d24.7%20.6%27.4%20.6%22.4%
Bid-Ask Spread %79.1069.1988.3069.1988.30
Gamma HHI0.260.180.370.240.23
Net GEX-571.1K-3.3M2.6M2.6M-2.3M
Net DEX15.2M-32.7M48.3M-32.7M35.6M
Net VEX-142.3K-206.9K-67.4K-115.5K-204.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.064.140.490.44
Total Volume1,230.95533,5488591,108
Total OI8,056.46,00110,3298,3548,359

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$255.26$250.0018.3%5.6%19.3%15.2%25.1%2.3%1.6%2.6M-32.7M-115.5K0.4969.19N/AN/A5772824,2034,151
2015-01-05$248.98$250.0021.3%6.4%21.1%24.2%22.7%4.1%0.0%1.3M-10.8M-109.9K3.0680.22N/AN/A18554,2174,158
2015-01-06$245.45$250.0021.0%6.4%21.5%23.1%24.4%5.5%-0.4%577.8K372.2K-105.1K1.7981.63N/AN/A24434,2264,179
2015-01-07$245.67$250.0019.9%6.3%21.3%19.7%24.5%4.6%-0.2%552.8K1.2M-94.9K0.7182.34N/AN/A31224,2424,188
2015-01-08$250.83$250.0018.7%6.4%22.6%16.3%24.8%5.1%-0.9%1.9M-16.6M-100.2K0.4169.22N/AN/A6282574,2554,202
2015-01-09$248.45$250.0018.4%6.2%20.4%15.4%22.6%4.8%-0.5%2.2M-9.8M-93.7K0.7477.89N/AN/A1,2869474,2814,184
2015-01-12$245.12$240.0017.4%6.4%20.4%12.3%23.0%3.9%-0.5%1.4M5.9M-83.5K0.6073.49N/AN/A8455044,4174,321
2015-01-13$243.22$240.0019.8%6.7%20.6%19.7%23.0%4.0%-0.6%636.5K11.1M-76.9K0.5071.93N/AN/A7573814,5324,322
2015-01-14$241.98$240.0023.8%6.8%20.5%31.4%24.8%5.3%-0.8%-305.2K17.5M-67.4K2.5179.59N/AN/A1,0112,5374,4624,336
2015-01-15$238.06$240.0024.0%6.9%21.3%32.1%24.2%3.8%-0.9%-2.2M32.0M-104.4K2.8878.00N/AN/A8382,4164,5065,061
2015-01-16$241.29$240.0023.1%6.6%21.9%29.4%25.9%5.7%-0.7%-3.3M33.2M-140.7K2.5076.67N/AN/A9852,4654,5675,762
2015-01-20$242.61$250.0023.5%6.7%19.4%30.6%22.4%4.8%-2.4%-1.3M20.1M-196.2K0.0680.13N/AN/A400232,1513,850
2015-01-21$244.19$240.0023.4%6.7%17.0%30.2%21.1%5.2%-2.1%-998.1K16.0M-206.9K0.4780.41N/AN/A58272,4563,864
2015-01-22$244.87$240.0022.6%6.5%17.1%27.9%30.5%5.1%-2.6%-907.0K14.4M-202.9K4.1482.30N/AN/A2189022,4893,890
2015-01-23$245.98$250.0019.5%5.6%17.3%18.8%21.6%4.5%-0.5%-871.6K13.3M-206.8K2.6378.86N/AN/A2486532,5104,037
2015-01-26$234.81$250.0020.7%5.9%23.3%22.2%21.2%4.5%-0.9%-2.6M41.5M-176.3K1.5682.40N/AN/A1892952,5974,446
2015-01-27$231.68$250.0019.7%5.6%23.4%19.2%19.1%4.0%-0.3%-2.7M46.6M-178.4K0.3682.26N/AN/A7032532,6774,640
2015-01-28$231.10$250.0019.6%5.6%23.0%19.0%19.8%3.3%-0.5%-2.5M48.3M-182.3K0.3583.95N/AN/A1,0153553,3644,755
2015-01-29$235.62$250.0018.1%5.2%24.7%14.6%18.7%4.3%1.0%-2.4M37.4M-198.3K0.3583.15N/AN/A9343293,5064,765
2015-01-30$235.79$250.0018.9%5.4%24.7%16.8%18.8%4.2%0.4%-2.3M35.6M-204.8K0.4488.30N/AN/A7683403,5574,802