GWW Options History — July 2015

In July 2015, GWW traded between $224.65 and $237.93. ATM implied volatility averaged 23.1%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 7.1% (HV 20d: 16.0%). Max pain ranged from $230.00 to $250.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.49.

Notable Days

  • 2015-07-17: Highest Volume — 2,205 contracts
  • 2015-07-15: Largest IV drop — 52.1% change
  • 2015-07-14: Highest IV Rank — 91.6%
  • 2015-07-02: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$231.42$224.65$237.93$236.72$228.72
Max Pain$236.82$230.00$250.00$250.00$230.00
ATM IV23.1%16.5%44.0%23.3%16.8%
Expected Move5.5%4.7%6.7%6.7%4.8%
HV 20d16.0%13.9%18.1%15.9%18.1%
HV 60d14.5%14.0%15.4%14.0%15.4%
IV Rank29.3%9.8%91.6%30.0%10.8%
IV Percentile63.1%19.0%99.2%88.9%24.6%
Term Structure-0.8%-4.3%2.4%-3.5%0.2%
VWIV20.1%16.5%23.7%23.4%19.5%
Skew 25d3.7%2.7%4.4%3.7%3.3%
Skew 10d7.4%5.0%10.3%7.8%9.0%
Call IV 25d18.2%14.6%22.9%22.3%16.2%
Put IV 25d21.9%18.4%26.8%26.0%19.4%
Bid-Ask Spread %86.8579.9991.7991.2091.31
Gamma HHI0.270.200.430.340.30
Net GEX-849.5K-2.2M803.2K-1.7M-1.8M
Net DEX18.4M832.9K34.5M28.9M20.7M
Net VEX-155.1K-174.2K-114.0K-121.3K-173.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.713.060.712.02
Total Volume954.0455422,205907562
Total OI6,490.4555,4487,3316,3876,535

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$236.72$250.0023.3%6.7%15.9%30.0%23.4%3.7%-3.5%-1.7M28.9M-121.3K0.7191.20N/AN/A5303772,3784,009
2015-07-02$235.54$250.0023.4%6.7%14.8%30.3%23.7%4.0%-4.3%-2.2M34.5M-114.0K1.1889.29N/AN/A9611,1372,2174,014
2015-07-06$233.73$240.0028.2%6.2%14.4%44.8%19.7%4.0%-0.6%-1.2M25.8M-128.4K1.0381.98N/AN/A8949182,7533,579
2015-07-07$236.96$240.0027.3%5.8%15.2%41.9%22.3%4.4%-0.2%-34.1K10.6M-147.3K1.2080.86N/AN/A7909453,1483,285
2015-07-08$234.41$240.0031.7%6.5%15.4%54.9%22.0%4.2%-1.2%156.4K7.6M-160.6K0.9879.99N/AN/A3733643,5953,133
2015-07-09$236.04$240.0029.9%5.8%15.5%49.7%22.4%4.0%-0.5%537.2K2.2M-164.7K1.1080.04N/AN/A3503843,6823,160
2015-07-10$236.23$240.0030.2%5.7%15.5%50.5%21.8%3.3%-0.5%570.5K2.4M-161.8K3.0681.42N/AN/A2838653,7113,157
2015-07-13$237.93$240.0037.3%5.6%13.9%71.6%21.4%3.8%-0.3%803.2K832.9K-161.3K1.4385.35N/AN/A2713883,7233,247
2015-07-14$233.70$240.0044.0%6.2%15.2%91.6%21.9%4.2%-0.9%211.5K9.8M-154.6K1.4584.81N/AN/A3034403,7653,248
2015-07-15$230.56$240.0021.1%6.0%15.8%23.3%21.4%4.1%-1.1%-452.4K18.2M-147.5K2.6982.52N/AN/A2225973,7893,318
2015-07-16$231.89$240.0020.6%5.9%15.6%22.1%21.0%3.6%-0.9%-235.6K15.6M-146.2K2.0685.20N/AN/A2946063,7943,327
2015-07-17$233.44$240.0016.6%4.8%14.9%10.1%16.6%3.8%2.4%236.5K13.5M-137.8K2.2588.53N/AN/A6781,5273,9353,396
2015-07-20$234.94$240.0017.3%4.9%15.2%12.0%16.5%3.9%-1.0%-922.5K5.2M-174.2K1.1389.41N/AN/A3173572,4972,951
2015-07-21$229.98$230.0016.9%4.9%16.2%11.0%16.9%3.0%-0.1%-1.3M17.0M-169.2K2.1091.38N/AN/A1753672,6193,048
2015-07-22$224.65$230.0019.0%5.5%17.5%17.3%18.3%3.5%-2.5%-1.5M29.3M-154.5K1.6088.12N/AN/A2774422,6883,100
2015-07-23$226.14$230.0017.4%5.0%17.9%12.4%18.3%2.7%-0.7%-1.6M26.8M-164.8K0.8090.81N/AN/A3803032,7183,294
2015-07-24$225.82$230.0017.6%5.0%17.1%13.0%18.6%2.9%-1.2%-1.6M26.8M-167.7K1.0791.74N/AN/A3824072,8183,383
2015-07-27$225.88$230.0017.8%5.1%16.9%13.7%19.3%4.1%-0.4%-1.8M29.0M-165.9K0.7684.76N/AN/A4043052,8393,488
2015-07-28$225.81$230.0017.5%5.0%16.5%12.8%18.5%3.5%0.1%-1.5M26.0M-167.4K0.8089.22N/AN/A3712973,0083,492
2015-07-29$227.01$230.0017.2%4.9%16.7%11.9%18.0%3.5%-0.5%-1.8M25.5M-167.2K1.0891.79N/AN/A2682902,9823,489
2015-07-30$225.06$230.0016.5%4.7%16.8%9.8%19.7%4.0%-0.0%-1.6M29.4M-161.9K2.2891.06N/AN/A1794092,9873,491
2015-07-31$228.72$230.0016.8%4.8%18.1%10.8%19.5%3.3%0.2%-1.8M20.7M-173.6K2.0291.31N/AN/A1863762,9663,569