GWW Options History — August 2015

In August 2015, GWW traded between $214.33 and $230.66. ATM implied volatility averaged 21.5%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.8% (HV 20d: 18.6%). Max pain ranged from $230.00 to $230.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2015-08-13: Highest Volume — 2,344 contracts
  • 2015-08-24: Largest IV spike — 41.8% change
  • 2015-08-24: Highest IV Rank — 56.1%
  • 2015-08-24: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$224.24$214.33$230.66$224.85$223.71
Max Pain$230.00$230.00$230.00$230.00$230.00
ATM IV21.5%17.2%32.0%19.4%24.8%
Expected Move6.1%4.9%9.2%5.6%7.1%
HV 20d18.6%15.7%22.0%18.8%20.3%
HV 60d16.3%14.8%18.2%15.8%17.7%
IV Rank24.5%11.7%56.1%18.3%34.6%
IV Percentile66.5%31.0%98.0%61.5%90.9%
Term Structure0.5%-3.4%2.2%-1.1%0.2%
VWIV21.4%16.2%33.2%19.6%25.2%
Skew 25d4.0%2.3%10.0%2.3%5.0%
Skew 10d8.7%3.1%18.2%3.1%15.2%
Call IV 25d19.7%16.7%26.4%18.1%22.1%
Put IV 25d23.7%19.6%36.5%20.4%27.1%
Bid-Ask Spread %89.1983.8494.6494.6489.72
Gamma HHI0.270.190.420.270.23
Net GEX-804.6K-2.6M388.2K-1.8M329.8K
Net DEX19.2M10.8M30.9M30.9M11.3M
Net VEX-147.1K-178.8K-115.0K-154.5K-128.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.372.731.182.73
Total Volume974902,344122571
Total OI6,492.8575,1267,4026,5425,388

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$224.85$230.0019.4%5.6%18.8%18.3%19.6%2.3%-1.1%-1.8M30.9M-154.5K1.1894.64N/AN/A56662,9593,583
2015-08-04$226.05$230.0017.2%4.9%18.1%11.7%17.5%3.5%-0.5%-1.8M28.2M-155.2K0.5493.56N/AN/A5242822,9523,603
2015-08-05$227.09$230.0018.1%5.2%17.9%14.5%19.5%2.6%-1.1%-1.7M23.4M-163.4K1.2094.08N/AN/A1,0211,2213,0513,588
2015-08-06$226.06$230.0018.8%4.9%17.7%16.7%16.2%3.4%2.1%-2.2M27.0M-173.7K1.1585.82N/AN/A8971,0323,2083,963
2015-08-07$226.02$230.0018.4%5.1%17.7%15.3%16.2%2.8%2.2%-2.1M27.7M-168.8K0.5885.79N/AN/A7904553,3003,952
2015-08-10$230.66$230.0019.3%5.1%19.1%18.0%17.4%2.9%2.1%-2.3M11.5M-178.8K0.8787.22N/AN/A7346393,2993,965
2015-08-11$228.05$230.0019.8%5.3%18.5%19.7%18.2%3.4%1.2%-2.6M21.6M-173.1K2.6088.83N/AN/A1724483,3514,051
2015-08-12$230.23$230.0018.5%5.3%18.3%15.6%18.9%2.6%1.2%-1.9M10.8M-174.7K0.3786.20N/AN/A8353073,4693,887
2015-08-13$226.05$230.0017.6%5.0%19.3%13.0%19.0%3.6%2.1%-2.0M25.5M-160.6K1.4987.48N/AN/A9431,4013,4743,857
2015-08-14$224.55$230.0019.5%5.6%19.1%18.6%19.6%2.7%2.0%-85316.6M-149.1K0.4188.67N/AN/A9653933,6873,156
2015-08-17$226.50$230.0018.7%5.4%19.3%16.2%19.8%2.9%1.5%309.5K13.6M-142.7K0.4891.41N/AN/A8013873,7333,136
2015-08-18$226.69$230.0018.1%5.2%17.8%14.5%20.4%3.4%1.9%388.2K11.0M-145.1K0.3990.98N/AN/A7592973,7493,148
2015-08-19$225.60$230.0018.2%5.2%15.8%14.7%18.2%4.2%2.2%304.8K15.6M-141.2K0.5891.65N/AN/A57333,7653,148
2015-08-20$224.46$230.0021.2%6.1%15.7%23.9%21.4%3.7%0.4%297.4K19.5M-133.9K0.4692.08N/AN/A7453463,7653,136
2015-08-21$220.00$230.0022.6%6.5%17.2%27.9%22.0%2.7%1.2%-433.0K25.6M-127.2K0.5291.39N/AN/A6473373,7323,123
2015-08-24$214.80$230.0032.0%9.2%19.0%56.1%33.2%10.0%-2.5%-76.5K20.6M-116.5K1.3888.24N/AN/A1602212,7292,397
2015-08-25$214.33$230.0031.4%9.0%18.9%54.1%29.8%5.8%-3.4%-145.9K20.4M-115.0K1.4484.24N/AN/A1812612,7162,422
2015-08-26$217.19$230.0026.6%7.6%19.6%39.9%26.3%5.5%-0.9%-82.3K19.0M-121.5K1.4583.84N/AN/A2223212,7312,470
2015-08-27$223.12$230.0025.2%7.2%22.0%35.8%25.0%5.1%-0.1%245.0K12.3M-132.3K1.3886.49N/AN/A2012782,7892,532
2015-08-28$222.98$230.0025.2%7.2%21.1%35.6%25.5%6.2%0.1%299.2K11.3M-132.7K1.4190.69N/AN/A1862622,8222,564
2015-08-31$223.71$230.0024.8%7.1%20.3%34.6%25.2%5.0%0.2%329.8K11.3M-128.9K2.7389.72N/AN/A1534182,8192,569