GWW Options History — March 2015

In March 2015, GWW traded between $230.27 and $241.38. ATM implied volatility averaged 21.4%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.1% (HV 20d: 17.3%). Max pain ranged from $240.00 to $250.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 3.28.

Notable Days

  • 2015-03-26: Highest Volume — 2,285 contracts
  • 2015-03-06: Largest IV spike — 18.4% change
  • 2015-03-26: Highest IV Rank — 32.4%
  • 2015-03-26: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$235.25$230.27$241.38$239.25$236.03
Max Pain$248.64$240.00$250.00$240.00$250.00
ATM IV21.4%16.7%24.1%16.9%22.7%
Expected Move6.2%4.8%6.9%4.8%6.5%
HV 20d17.3%14.9%18.5%17.0%17.4%
HV 60d20.5%19.8%21.1%20.8%20.0%
IV Rank24.2%10.2%32.4%11.0%28.1%
IV Percentile72.3%24.6%91.7%29.4%84.1%
Term Structure-1.4%-2.9%2.7%2.6%-1.8%
VWIV21.9%15.7%24.6%17.1%21.4%
Skew 25d4.2%3.0%5.0%3.0%4.4%
Skew 10d9.4%2.8%14.1%12.8%8.0%
Call IV 25d20.0%15.2%22.0%16.3%22.0%
Put IV 25d24.2%19.3%26.5%19.3%26.5%
Bid-Ask Spread %86.5881.4594.3293.3289.88
Gamma HHI0.350.270.450.330.33
Net GEX-2.2M-3.3M-798.4K-1.6M-1.7M
Net DEX29.8M13.9M42.9M21.2M13.9M
Net VEX-150.1K-166.5K-134.4K-163.2K-162.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.280.2838.861.750.66
Total Volume702.909572,2856522,150
Total OI8,567.57,18910,3167,18910,316

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$239.25$240.0016.9%4.8%17.0%11.0%17.1%3.0%2.6%-1.6M21.2M-163.2K1.7593.32N/AN/A2374152,9154,274
2015-03-03$241.38$240.0017.4%5.0%15.7%12.3%15.7%4.1%2.5%-1.5M16.4M-166.5K1.5494.32N/AN/A2523882,9344,291
2015-03-04$235.88$240.0017.2%4.9%16.5%11.7%20.2%3.2%2.7%-1.9M29.4M-161.6K1.3692.94N/AN/A2833862,9384,305
2015-03-05$237.86$250.0016.7%5.6%14.9%10.2%22.2%5.0%-0.1%-1.5M23.7M-161.1K1.9085.40N/AN/A2134052,9974,313
2015-03-06$235.00$250.0019.7%6.2%15.5%19.3%22.1%3.8%-1.4%-1.8M29.7M-157.2K1.3781.79N/AN/A2303152,9954,327
2015-03-09$235.83$250.0018.3%5.7%15.5%15.2%21.0%4.4%-0.6%-1.8M28.7M-156.1K1.0783.54N/AN/A1241333,0154,355
2015-03-10$230.27$250.0021.3%6.5%17.4%24.2%24.6%4.7%-2.4%-2.3M40.6M-143.1K0.8781.61N/AN/A8667573,0924,338
2015-03-11$232.17$250.0022.4%6.4%17.8%27.3%21.4%4.9%-1.9%-2.5M40.9M-150.4K38.8681.45N/AN/A228553,8565,071
2015-03-12$231.71$250.0022.9%6.6%17.7%28.7%23.2%4.8%-2.6%-2.6M40.0M-154.1K2.5284.49N/AN/A29733,8565,126
2015-03-13$230.72$250.0023.5%6.8%17.1%30.8%23.8%4.4%-2.9%-2.8M42.9M-150.9K4.4782.97N/AN/A15673,8655,168
2015-03-16$234.01$250.0022.7%6.5%17.9%28.2%21.6%3.9%-2.1%-2.5M37.5M-141.2K0.2881.67N/AN/A155443,8805,164
2015-03-17$234.48$250.0022.9%6.6%17.8%28.9%23.0%4.0%-2.5%-2.4M34.2M-143.4K0.7882.92N/AN/A32253,9615,181
2015-03-18$238.41$250.0021.6%6.2%18.4%25.1%22.6%4.9%-2.1%-798.4K23.0M-144.3K1.7987.58N/AN/A39703,9885,190
2015-03-19$237.06$250.0021.3%6.1%18.5%24.2%23.2%3.8%-1.7%-1.1M24.9M-144.4K1.7687.52N/AN/A55973,9745,206
2015-03-20$236.15$250.0021.1%6.0%18.1%23.3%23.4%4.9%-1.1%-2.4M29.5M-137.0K5.7687.00N/AN/A1136513,9755,237
2015-03-23$233.57$250.0023.7%6.8%18.3%31.2%22.4%3.9%-2.3%-3.3M40.4M-139.9K0.5983.63N/AN/A3812243,3495,272
2015-03-24$234.21$250.0023.5%6.7%18.2%30.6%23.3%4.1%-2.1%-3.1M34.4M-142.8K0.6885.41N/AN/A76523,4925,315
2015-03-25$234.83$250.0023.6%6.8%17.9%31.0%21.3%3.9%-2.2%-3.1M33.4M-143.1K0.3087.97N/AN/A56173,5545,341
2015-03-26$234.40$250.0024.1%6.9%17.8%32.4%21.4%3.9%-2.9%-3.2M35.1M-134.4K1.2890.39N/AN/A1,0001,2853,5805,334
2015-03-27$234.60$250.0023.7%6.8%17.2%31.1%23.0%3.3%-2.6%-1.8M20.4M-147.4K2.0289.85N/AN/A6361,2844,2614,820
2015-03-30$237.63$250.0022.6%6.5%17.6%28.0%23.3%4.3%-2.3%-1.9M15.5M-157.6K0.5689.05N/AN/A6123454,8185,246
2015-03-31$236.03$250.0022.7%6.5%17.4%28.1%21.4%4.4%-1.8%-1.7M13.9M-162.3K0.6689.88N/AN/A1,2998515,0875,229