GWW Options History — October 2015

In October 2015, GWW traded between $201.51 and $231.10. ATM implied volatility averaged 27.8%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 3.4% (HV 20d: 31.2%). Max pain ranged from $210.00 to $230.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2015-10-08: Highest Volume — 2,661 contracts
  • 2015-10-12: Largest IV spike — 47.9% change
  • 2015-10-13: Highest IV Rank — 97.7%
  • 2015-10-02: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$214.02$201.51$231.10$207.94$210.12
Max Pain$216.82$210.00$230.00$220.00$210.00
ATM IV27.8%22.4%46.0%31.0%22.6%
Expected Move7.1%6.4%9.0%8.9%6.5%
HV 20d31.2%22.1%38.9%22.1%35.6%
HV 60d24.8%20.8%27.9%20.8%27.9%
IV Rank42.5%26.2%97.7%51.9%26.7%
IV Percentile83.8%67.9%99.6%96.0%68.7%
Term Structure-1.6%-4.8%-0.2%-3.5%-1.0%
VWIV25.4%24.0%31.4%24.3%24.4%
Skew 25d4.7%2.1%5.6%5.2%3.2%
Skew 10d10.2%3.3%13.2%9.3%9.2%
Call IV 25d23.1%21.5%29.6%29.6%21.8%
Put IV 25d27.8%25.0%34.8%34.8%25.0%
Bid-Ask Spread %78.1370.3490.0481.0081.47
Gamma HHI0.270.170.380.200.26
Net GEX-646.0K-1.9M1.5M-882.2K-994.0K
Net DEX14.1M-16.2M54.6M27.2M14.9M
Net VEX-150.4K-168.4K-135.0K-163.1K-138.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.228.318.311.09
Total Volume1,038.6362202,6611,658843
Total OI7,627.2276,0749,4288,2557,237

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$207.94$220.0031.0%8.9%22.1%51.9%24.3%5.2%-3.5%-882.2K27.2M-163.1K8.3181.00N/AN/A1781,4803,7344,521
2015-10-02$214.53$230.0031.3%9.0%25.2%52.7%31.4%5.6%-4.8%-1.3M23.9M-150.8K0.9478.45N/AN/A4494213,1054,566
2015-10-05$219.82$220.0029.7%7.2%26.6%47.7%24.5%5.4%-1.9%-492.5K12.6M-150.1K0.2270.34N/AN/A180403,1984,622
2015-10-06$223.95$220.0031.1%7.2%25.5%52.2%25.8%4.3%-1.7%277.2K2.1M-151.2K0.8473.78N/AN/A4693923,2614,647
2015-10-07$227.39$220.0030.0%6.9%25.7%48.8%26.0%4.2%-1.5%969.4K-7.1M-148.6K1.3172.57N/AN/A2413153,4254,618
2015-10-08$231.10$220.0030.3%6.9%26.2%49.5%24.8%4.7%-1.7%1.5M-16.2M-144.0K0.3075.20N/AN/A2,0496123,4154,631
2015-10-09$228.67$220.0029.6%6.5%26.5%47.5%24.6%4.9%-0.8%1.2M-14.4M-168.1K0.5675.36N/AN/A6353553,4574,637
2015-10-12$224.59$220.0043.7%7.4%26.7%90.7%25.5%5.1%-2.2%528.7K-3.7M-165.2K0.7676.02N/AN/A5804413,5284,689
2015-10-13$222.86$220.0046.0%7.1%26.1%97.7%25.2%5.4%-1.9%171.9K-337.5K-163.3K0.9978.12N/AN/A5985933,5534,814
2015-10-14$221.64$220.0025.4%7.3%26.2%35.5%25.6%5.2%-2.7%-495.2K4.5M-168.4K1.1677.69N/AN/A3904533,5885,042
2015-10-15$221.64$220.0025.9%7.4%25.4%37.3%25.8%4.6%-2.8%-524.9K5.8M-164.1K2.1874.74N/AN/A7781,6983,6495,109
2015-10-16$207.35$220.0022.8%6.5%34.2%27.3%24.2%4.1%-0.5%-1.2M54.6M-138.0K2.5483.50N/AN/A5901,5013,6345,794
2015-10-19$201.95$220.0025.3%7.2%35.3%35.2%24.3%4.8%-1.7%-1.7M27.3M-135.0K0.8275.14N/AN/A4013302,3443,730
2015-10-20$201.84$220.0024.6%7.0%35.2%33.0%24.7%5.3%-1.1%-1.6M27.8M-139.5K1.5074.24N/AN/A2293432,4563,861
2015-10-21$201.51$210.0024.4%7.0%35.2%32.6%25.1%5.1%-0.7%-1.9M28.8M-140.5K1.3676.41N/AN/A2813822,5364,081
2015-10-22$209.35$210.0022.6%6.5%37.8%26.8%24.0%4.7%-0.5%-1.1M18.2M-150.8K0.9981.58N/AN/A4204172,6064,171
2015-10-23$207.87$210.0022.4%6.4%37.8%26.2%25.1%4.6%-0.7%-1.2M18.8M-156.8K1.2279.03N/AN/A3253962,7574,265
2015-10-26$206.19$210.0022.7%6.5%37.8%27.0%25.4%4.7%-0.6%-1.3M21.4M-146.7K1.2879.95N/AN/A3033892,7574,268
2015-10-27$202.72$210.0025.4%7.3%38.2%35.5%25.2%4.5%-1.7%-1.8M27.5M-136.7K0.8281.18N/AN/A4053342,7944,302
2015-10-28$207.32$210.0022.6%6.5%38.9%26.9%25.4%2.1%-0.4%-1.2M19.2M-149.3K1.1590.04N/AN/A3664202,8584,319
2015-10-29$208.12$210.0022.5%6.4%37.2%26.5%26.6%4.7%-0.2%-1.2M17.3M-140.8K1.3982.98N/AN/A3464822,8644,356
2015-10-30$210.12$210.0022.6%6.5%35.6%26.7%24.4%3.2%-1.0%-994.0K14.9M-138.8K1.0981.47N/AN/A4034402,8754,362