GWW Options History — September 2015

In September 2015, GWW traded between $211.00 and $225.27. ATM implied volatility averaged 27.0%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.6% (HV 20d: 23.4%). Max pain ranged from $220.00 to $230.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 4.87.

Notable Days

  • 2015-09-23: Highest Volume — 2,803 contracts
  • 2015-09-28: Largest IV spike — 16.0% change
  • 2015-09-28: Highest IV Rank — 52.5%
  • 2015-09-28: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$217.64$211.00$225.27$218.47$214.69
Max Pain$223.33$220.00$230.00$230.00$220.00
ATM IV27.0%24.9%31.2%27.6%30.7%
Expected Move7.8%7.2%9.0%7.9%8.8%
HV 20d23.4%20.6%25.9%21.8%20.6%
HV 60d19.5%18.3%20.1%18.3%19.9%
IV Rank39.6%33.4%52.5%42.4%51.0%
IV Percentile92.1%88.1%96.4%93.7%95.6%
Term Structure-2.3%-4.2%1.0%-0.5%-2.9%
VWIV27.4%24.8%32.5%26.2%30.5%
Skew 25d5.0%3.1%7.3%5.6%7.3%
Skew 10d10.7%5.3%17.3%14.0%12.7%
Call IV 25d24.8%22.7%28.2%25.6%26.3%
Put IV 25d29.8%27.1%33.9%31.2%33.6%
Bid-Ask Spread %76.6165.5492.5092.5076.59
Gamma HHI0.210.170.250.210.19
Net GEX-130.8K-817.5K530.6K2.7K-366.6K
Net DEX19.2M7.9M28.7M16.7M19.6M
Net VEX-151.6K-175.8K-119.0K-123.7K-168.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.870.9511.362.629.24
Total Volume1,506.238682,8035401,823
Total OI7,189.4295,4158,5605,4158,411

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$218.47$230.0027.6%7.9%21.8%42.4%26.2%5.6%-0.5%2.7K16.7M-123.7K2.6292.50N/AN/A1493912,8272,588
2015-09-02$222.45$230.0025.9%7.4%22.8%37.2%24.8%6.1%1.0%158.6K14.0M-127.4K0.9591.67N/AN/A3152992,8272,653
2015-09-03$220.63$230.0024.9%7.5%22.9%33.4%26.1%6.0%-2.6%31.7K14.9M-128.5K1.0671.94N/AN/A2332482,8632,666
2015-09-04$218.97$230.0025.3%7.8%23.0%34.5%29.2%6.5%-2.5%-87.7K19.0M-119.0K5.7265.54N/AN/A2421,3852,8762,663
2015-09-08$225.27$230.0025.8%7.2%24.2%36.2%25.2%6.3%-1.0%112.7K14.1M-160.4K1.2278.51N/AN/A72882,8933,780
2015-09-09$222.73$230.0025.8%7.4%24.2%36.1%26.1%4.7%-2.0%-49.1K15.2M-155.7K5.0173.73N/AN/A2911,4582,9073,792
2015-09-10$222.22$230.0026.3%7.5%23.8%37.7%26.6%5.9%-2.4%-199.9K18.5M-152.9K1.5372.46N/AN/A1,0411,5962,9333,863
2015-09-11$221.55$220.0026.2%7.5%23.0%37.0%26.5%4.9%-1.7%300.8K11.4M-175.8K4.1971.79N/AN/A3521,4743,6874,016
2015-09-14$218.01$220.0026.7%7.6%23.6%38.6%26.5%5.3%-2.7%-166.8K19.4M-161.7K4.5870.66N/AN/A3151,4433,7653,975
2015-09-15$222.03$220.0025.7%7.4%24.4%35.8%26.8%4.2%-2.7%336.5K10.2M-165.3K1.6273.15N/AN/A26423,7704,000
2015-09-16$222.50$220.0025.6%7.3%24.4%35.2%25.9%4.2%-2.5%530.6K7.9M-164.3K6.7975.98N/AN/A2111,4333,7833,996
2015-09-17$218.57$220.0025.4%7.3%25.1%34.9%26.6%3.1%-2.7%-295.7K16.6M-155.4K6.1681.12N/AN/A2311,4233,7813,982
2015-09-18$214.23$220.0026.5%7.6%25.9%38.2%26.8%3.1%-2.5%81.0K26.0M-146.2K6.2971.98N/AN/A2521,5853,7883,979
2015-09-21$214.13$220.0026.4%7.6%25.0%37.8%26.6%4.3%-2.0%-108.4K21.5M-141.2K2.8576.58N/AN/A5051,4373,2693,515
2015-09-22$211.75$220.0027.5%7.9%23.9%41.1%28.4%4.0%-2.8%-164.0K23.6M-142.6K5.1175.32N/AN/A2801,4313,4273,526
2015-09-23$211.00$220.0027.1%7.8%23.9%40.0%27.7%4.1%-2.3%-328.2K25.4M-137.9K7.8477.07N/AN/A3172,4863,4043,531
2015-09-24$213.38$220.0027.8%8.0%23.8%42.2%28.2%4.3%-2.1%-504.0K26.2M-164.6K5.8477.66N/AN/A2511,4653,4774,618
2015-09-25$213.83$220.0026.9%7.7%21.4%39.3%27.9%4.2%-2.6%-620.3K27.1M-162.9K3.9980.58N/AN/A3661,4593,4994,713
2015-09-28$212.10$220.0031.2%9.0%21.5%52.5%32.5%5.3%-4.2%-593.1K26.2M-163.3K11.3677.22N/AN/A1321,5003,6414,734
2015-09-29$211.95$220.0030.8%8.8%21.4%51.2%30.7%6.4%-3.5%-817.5K28.7M-166.5K8.3776.72N/AN/A1691,4153,6684,892
2015-09-30$214.69$220.0030.7%8.8%20.6%51.0%30.5%7.3%-2.9%-366.6K19.6M-168.5K9.2476.59N/AN/A1781,6453,7224,689