GWW Options History — May 2015

In May 2015, GWW traded between $240.58 and $251.42. ATM implied volatility averaged 16.5%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.2% (HV 20d: 13.3%). Max pain ranged from $230.00 to $250.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2015-05-14: Highest Volume — 3,697 contracts
  • 2015-05-13: Largest IV drop — 16.8% change
  • 2015-05-12: Highest IV Rank — 20.3%
  • 2015-05-28: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$246.54$240.58$251.42$248.64$240.58
Max Pain$242.00$230.00$250.00$230.00$240.00
ATM IV16.5%14.6%20.0%16.4%17.2%
Expected Move4.7%4.3%5.0%4.7%4.9%
HV 20d13.3%11.8%15.3%13.9%12.9%
HV 60d15.5%14.8%16.0%15.2%14.8%
IV Rank9.7%4.3%20.3%9.5%11.8%
IV Percentile25.5%8.7%66.3%22.6%37.7%
Term Structure1.6%0.4%2.6%0.4%1.8%
VWIV17.4%15.4%18.9%17.5%17.4%
Skew 25d3.0%2.1%3.7%2.1%3.4%
Skew 10d6.4%3.0%9.3%4.4%3.0%
Call IV 25d15.8%14.8%16.6%16.6%15.7%
Put IV 25d18.8%17.6%19.7%18.6%19.1%
Bid-Ask Spread %89.9785.2295.2595.2591.71
Gamma HHI0.450.280.660.620.35
Net GEX997.9K-2.6M5.1M3.5M-2.6M
Net DEX-10.7M-50.6M25.1M-40.0M25.1M
Net VEX-156.2K-178.4K-126.8K-151.2K-162.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.122.491.251.22
Total Volume895.1483,6971,165946
Total OI6,508.455,7237,9036,6066,240

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$248.64$230.0016.4%4.7%13.9%9.5%17.5%2.1%0.4%3.5M-40.0M-151.2K1.2595.25N/AN/A5176484,0392,567
2015-05-04$248.86$250.0016.8%4.8%12.6%10.8%17.1%2.9%1.0%3.4M-39.1M-151.5K0.1785.22N/AN/A160274,0622,840
2015-05-05$245.91$250.0016.1%4.8%13.1%8.4%17.9%3.1%1.1%3.0M-28.7M-147.9K0.9787.56N/AN/A3513404,0652,842
2015-05-06$245.65$250.0014.6%5.0%13.1%4.3%17.3%2.9%1.2%2.6M-29.0M-146.4K0.1288.01N/AN/A2,6113094,0652,828
2015-05-07$245.83$250.0016.9%4.8%13.1%10.8%17.4%3.2%1.9%3.2M-25.4M-144.1K0.6487.34N/AN/A5183313,8862,823
2015-05-08$249.16$240.0016.1%4.7%13.6%8.6%18.3%2.8%1.4%4.5M-40.4M-144.1K0.9488.42N/AN/A89843,9552,825
2015-05-11$248.81$240.0018.3%4.8%13.7%15.1%16.5%3.0%1.8%5.0M-38.5M-137.0K1.1589.10N/AN/A59683,9322,840
2015-05-12$251.42$240.0020.0%4.9%13.6%20.3%17.4%2.9%1.6%5.1M-50.6M-132.2K1.3288.38N/AN/A3474593,9702,859
2015-05-13$246.07$250.0016.7%4.8%15.3%10.3%18.4%3.5%1.5%3.2M-21.8M-126.8K1.2985.85N/AN/A7399543,9202,898
2015-05-14$246.89$240.0016.4%4.7%15.3%9.5%18.4%2.7%1.6%4.2M-26.4M-136.9K1.2289.39N/AN/A1,6622,0354,0093,133
2015-05-15$245.97$240.0016.7%4.8%14.3%10.3%18.2%3.3%1.3%-1.2M-1.5M-178.1K1.3186.97N/AN/A5697443,3634,540
2015-05-18$246.41$240.0016.0%4.6%14.2%8.1%16.9%2.9%1.9%-1.5M12.0M-176.5K2.0790.59N/AN/A601241,9933,730
2015-05-19$246.16$240.0016.0%4.6%13.0%8.4%18.9%2.8%1.5%-1.6M12.5M-176.3K0.2691.46N/AN/A38102,0213,789
2015-05-20$246.00$240.0015.7%4.5%13.0%7.2%16.6%2.7%1.9%-1.7M12.7M-173.6K1.1693.10N/AN/A3223752,0543,792
2015-05-21$246.65$240.0015.6%4.5%13.0%7.0%17.3%3.7%2.2%-1.6M11.2M-172.9K2.4992.10N/AN/A1483682,0763,890
2015-05-22$246.15$240.0015.2%4.3%12.3%5.8%15.4%2.6%2.1%-1.7M12.2M-178.4K1.9591.20N/AN/A1512942,0933,935
2015-05-26$245.01$240.0016.0%4.6%11.9%8.3%17.3%3.0%1.8%-2.0M15.3M-165.6K2.1192.52N/AN/A1513182,0973,952
2015-05-27$245.75$240.0015.3%4.4%11.9%6.0%16.6%3.4%2.6%-1.9M12.2M-162.3K1.5792.74N/AN/A1923022,0923,976
2015-05-28$244.80$240.0017.4%5.0%11.8%12.5%16.8%3.0%1.4%-2.0M13.8M-160.2K1.3692.37N/AN/A2042782,1853,993
2015-05-29$240.58$240.0017.2%4.9%12.9%11.8%17.4%3.4%1.8%-2.6M25.1M-162.9K1.2291.71N/AN/A4265202,2334,007