GWW Options History — November 2015

In November 2015, GWW traded between $193.21 and $212.27. ATM implied volatility averaged 23.9%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 7.0% (HV 20d: 30.9%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.36.

Notable Days

  • 2015-11-12: Highest Volume — 3,764 contracts
  • 2015-11-12: Largest IV spike — 17.3% change
  • 2015-11-13: Highest IV Rank — 40.1%
  • 2015-11-13: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$203.29$193.21$212.27$211.20$200.54
Max Pain$207.00$200.00$210.00$210.00$200.00
ATM IV23.9%21.9%27.0%22.9%23.3%
Expected Move6.8%6.2%7.7%6.6%6.7%
HV 20d30.9%26.6%37.8%34.4%26.6%
HV 60d28.8%27.4%30.3%28.0%29.0%
IV Rank30.5%24.7%40.1%27.9%27.7%
IV Percentile74.4%63.5%89.7%73.0%70.6%
Term Structure-0.4%-1.2%0.4%-0.6%0.0%
VWIV25.0%22.1%28.5%24.5%24.8%
Skew 25d3.7%2.5%4.7%3.0%3.1%
Skew 10d8.7%3.2%13.3%11.4%10.9%
Call IV 25d22.8%20.0%26.7%22.0%23.0%
Put IV 25d26.5%23.8%29.6%25.0%26.1%
Bid-Ask Spread %81.8775.8789.2686.3285.48
Gamma HHI0.260.200.420.240.26
Net GEX-1.8M-5.1M376.1K-814.3K-1.6M
Net DEX25.9M5.5M57.5M13.3M24.9M
Net VEX-141.2K-159.7K-123.9K-135.2K-146.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.054.911.151.72
Total Volume1,196.65793,76482879
Total OI8,593.157,28310,9357,2838,216

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$211.20$210.0022.9%6.6%34.4%27.9%24.5%3.0%-0.6%-814.3K13.3M-135.2K1.1586.32N/AN/A3864422,9054,378
2015-11-03$212.27$210.0022.6%6.5%33.7%26.8%26.1%4.2%-1.0%-635.9K10.8M-135.0K1.0485.98N/AN/A3733872,9264,448
2015-11-04$210.37$210.0022.3%6.4%33.0%26.0%23.7%2.8%-0.6%-811.4K13.2M-133.4K0.9089.26N/AN/A3813412,9504,466
2015-11-05$209.83$210.0022.2%6.2%32.2%25.6%24.5%3.6%-0.0%-811.7K12.7M-127.2K1.0977.56N/AN/A3623932,9324,501
2015-11-06$212.19$210.0021.9%6.3%32.6%24.7%22.1%3.8%-0.5%-622.6K10.6M-129.4K0.0584.05N/AN/A625332,9354,541
2015-11-09$208.75$210.0023.6%6.3%32.5%30.0%24.3%3.9%-0.1%32.1K8.8M-128.5K0.8082.77N/AN/A80643,3064,566
2015-11-10$210.69$210.0023.1%6.3%32.8%28.5%24.2%4.2%-0.2%323.8K6.9M-125.3K0.9684.61N/AN/A3803663,3334,623
2015-11-11$211.03$210.0022.3%6.4%32.8%25.9%24.0%4.2%-0.2%376.1K5.5M-123.9K0.9684.93N/AN/A3803663,3274,593
2015-11-12$199.60$210.0026.1%7.5%37.8%37.9%28.5%2.5%-1.2%-2.0M29.9M-125.2K2.6181.35N/AN/A1,0432,7213,3384,634
2015-11-13$197.09$210.0027.0%7.7%30.3%40.1%28.0%3.8%0.4%-4.2M47.7M-156.7K2.9077.11N/AN/A7522,1803,6966,522
2015-11-16$198.28$210.0025.9%7.4%29.1%36.7%28.1%4.5%-1.1%-4.3M45.2M-151.2K0.9875.95N/AN/A90883,6466,571
2015-11-17$193.21$210.0026.7%7.7%30.4%39.1%24.8%2.9%-0.8%-5.1M57.5M-145.4K2.0377.43N/AN/A8581,7393,6856,589
2015-11-18$198.62$210.0025.4%7.3%32.2%34.9%25.7%4.6%-0.6%-3.6M40.4M-154.9K1.8675.87N/AN/A8461,5753,9226,816
2015-11-19$198.29$210.0025.2%7.2%28.7%34.5%24.5%4.4%-0.7%-3.8M39.1M-159.7K0.5878.18N/AN/A8695044,1036,790
2015-11-20$199.00$200.0024.2%6.9%28.8%31.2%25.6%3.1%0.3%-1.6M41.2M-153.1K1.3678.04N/AN/A8841,2054,1426,793
2015-11-23$198.06$200.0023.7%6.8%28.7%29.7%24.1%3.5%0.2%-1.5M26.3M-144.0K4.9182.86N/AN/A562753,0974,516
2015-11-24$198.46$200.0023.4%6.7%28.2%28.6%24.1%3.9%0.2%-1.7M28.1M-148.0K0.6683.32N/AN/A108713,1074,751
2015-11-25$198.64$200.0022.8%6.5%26.8%26.7%23.4%4.7%0.0%-1.7M28.3M-150.7K0.3582.21N/AN/A9803453,1724,818
2015-11-27$199.65$200.0023.2%6.6%26.8%28.0%24.5%4.2%-0.8%-1.6M26.8M-150.4K0.3484.10N/AN/A9733333,3624,847
2015-11-30$200.54$200.0023.3%6.7%26.6%27.7%24.8%3.1%0.0%-1.6M24.9M-146.9K1.7285.48N/AN/A29503,3624,854