GWW Options History — February 2015

In February 2015, GWW traded between $233.26 and $244.51. ATM implied volatility averaged 18.4%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 4.9% (HV 20d: 23.2%). Max pain ranged from $240.00 to $250.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.47.

Notable Days

  • 2015-02-11: Highest Volume — 2,680 contracts
  • 2015-02-05: Largest IV drop — 11.0% change
  • 2015-02-04: Highest IV Rank — 22.8%
  • 2015-02-04: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$237.99$233.26$244.51$240.51$237.23
Max Pain$240.53$240.00$250.00$250.00$240.00
ATM IV18.4%16.9%20.9%19.2%17.0%
Expected Move5.3%4.8%6.0%5.5%4.9%
HV 20d23.2%16.7%26.3%26.0%16.7%
HV 60d20.9%20.7%21.4%20.9%20.8%
IV Rank15.3%10.9%22.8%17.9%11.1%
IV Percentile49.1%28.6%73.8%59.5%31.3%
Term Structure1.7%-1.7%2.7%0.6%2.5%
VWIV20.0%16.4%23.1%19.4%17.1%
Skew 25d3.8%0.9%5.1%4.3%0.9%
Skew 10d8.9%1.6%14.8%12.9%1.6%
Call IV 25d17.6%15.3%20.2%18.1%17.5%
Put IV 25d21.4%18.5%23.0%22.4%18.5%
Bid-Ask Spread %85.0473.9092.0387.9291.00
Gamma HHI0.370.190.730.220.36
Net GEX-2.1M-5.8M-680.9K-1.5M-1.8M
Net DEX28.0M13.8M48.0M25.1M23.5M
Net VEX-190.3K-223.4K-162.1K-217.5K-172.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.255.330.251.19
Total Volume822.895582,680229762
Total OI8,7766,75610,7258,3687,024

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$240.51$250.0019.2%5.5%26.0%17.9%19.4%4.3%0.6%-1.5M25.1M-217.5K0.2587.92N/AN/A183463,5704,798
2015-02-03$244.51$240.0019.2%5.5%25.5%17.9%19.3%3.8%-0.3%-680.9K13.8M-223.4K0.8090.20N/AN/A5094093,7244,818
2015-02-04$239.04$240.0020.9%6.0%26.3%22.8%20.7%2.8%-1.7%-968.7K23.3M-216.9K0.5990.62N/AN/A5223063,9454,885
2015-02-05$239.71$240.0018.6%5.4%26.3%16.0%22.2%4.4%1.2%-932.1K20.5M-214.2K0.6773.90N/AN/A4793194,0934,927
2015-02-06$240.08$240.0018.0%5.3%25.0%14.2%20.8%4.1%1.9%-951.2K18.7M-214.6K0.7279.09N/AN/A4233034,0814,955
2015-02-09$238.53$240.0018.9%5.4%24.9%16.8%22.5%4.9%1.7%-1.3M23.0M-207.1K0.8476.38N/AN/A3623034,1094,958
2015-02-10$238.96$240.0017.9%5.3%24.6%13.8%23.1%5.1%2.0%-1.5M24.8M-199.9K0.8682.15N/AN/A3392924,1054,957
2015-02-11$237.44$240.0018.4%5.3%24.5%15.5%21.8%4.8%2.4%-1.6M27.6M-192.7K3.0178.48N/AN/A6692,0114,1054,948
2015-02-12$234.31$240.0020.0%5.7%24.9%20.1%20.1%3.5%1.8%-5.0M45.1M-202.8K1.3782.61N/AN/A4386014,3156,410
2015-02-13$234.78$240.0019.9%5.7%24.3%20.0%20.5%3.5%2.1%-4.1M41.3M-194.3K1.2278.45N/AN/A4245184,3546,255
2015-02-17$233.26$240.0019.7%5.6%23.8%19.2%20.7%3.9%2.5%-5.8M48.0M-173.6K5.3385.75N/AN/A2541,3534,3576,251
2015-02-18$235.72$240.0018.1%5.2%24.0%14.4%21.6%4.3%2.3%-2.2M34.7M-173.9K1.3488.54N/AN/A2533394,3555,495
2015-02-19$235.55$240.0017.5%5.0%23.9%12.7%18.6%3.6%2.1%-2.4M37.0M-163.7K1.9087.99N/AN/A20384,3065,444
2015-02-20$238.14$240.0017.0%4.9%24.2%11.2%17.3%3.5%2.5%-1.8M33.2M-162.1K0.8087.56N/AN/A5734564,3145,446
2015-02-23$236.20$240.0017.9%5.1%24.2%13.9%19.8%3.2%1.9%-1.7M28.2M-169.8K1.4282.97N/AN/A1772512,7514,005
2015-02-24$237.62$240.0017.2%4.9%17.8%11.9%18.8%3.0%2.1%-1.7M25.4M-169.2K1.6589.34N/AN/A1812992,7644,026
2015-02-25$239.63$240.0016.9%4.8%17.2%10.9%18.4%4.7%2.7%-1.6M19.4M-175.4K1.9292.03N/AN/A2184182,7694,094
2015-02-26$240.55$240.0016.9%4.9%17.1%11.0%16.4%3.4%2.5%-1.8M19.4M-173.1K2.0690.80N/AN/A1923952,7874,244
2015-02-27$237.23$240.0017.0%4.9%16.7%11.1%17.1%0.9%2.5%-1.8M23.5M-172.0K1.1991.00N/AN/A3484142,7784,246