GWW Options History — December 2015

In December 2015, GWW traded between $190.42 and $205.61. ATM implied volatility averaged 23.7%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.9% (HV 20d: 21.8%). Max pain ranged from $200.00 to $220.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.59.

Notable Days

  • 2015-12-08: Highest Volume — 2,142 contracts
  • 2015-12-28: Largest IV spike — 24.1% change
  • 2015-12-11: Highest IV Rank — 40.3%
  • 2015-12-11: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$198.84$190.42$205.61$201.64$203.33
Max Pain$211.82$200.00$220.00$200.00$210.00
ATM IV23.7%19.1%27.3%23.1%22.7%
Expected Move6.7%5.5%7.8%6.6%6.5%
HV 20d21.8%15.9%27.0%26.6%20.0%
HV 60d28.4%27.0%29.4%29.0%27.0%
IV Rank28.9%14.1%40.3%26.9%25.6%
IV Percentile68.8%34.5%90.5%68.7%59.1%
Term Structure1.2%-0.7%3.8%0.0%2.4%
VWIV24.6%21.2%28.1%25.0%21.2%
Skew 25d4.3%2.5%5.5%3.0%4.3%
Skew 10d10.7%9.0%13.4%11.8%12.7%
Call IV 25d21.9%18.6%25.3%22.3%20.3%
Put IV 25d26.3%23.1%29.9%25.3%24.6%
Bid-Ask Spread %77.8969.4586.5985.5883.82
Gamma HHI0.320.260.400.260.31
Net GEX-2.3M-3.5M-1.5M-1.5M-1.8M
Net DEX26.7M9.3M48.7M22.7M13.0M
Net VEX-145.4K-166.1K-124.3K-140.2K-124.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.457.402.531.25
Total Volume1,037.5451202,142120761
Total OI9,110.6368,25110,1638,2518,860

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$201.64$200.0023.1%6.6%26.6%26.9%25.0%3.0%0.0%-1.5M22.7M-140.2K2.5385.58N/AN/A34863,3684,883
2015-12-02$199.59$200.0023.2%6.6%26.6%27.2%23.1%2.5%-0.1%-1.7M25.6M-146.6K0.4586.59N/AN/A7993613,3804,900
2015-12-03$198.62$220.0024.2%6.7%26.5%30.6%23.6%4.8%2.1%-1.9M27.7M-138.5K0.7269.45N/AN/A6965023,4164,901
2015-12-04$200.80$220.0022.7%6.5%27.0%25.8%22.5%3.8%1.3%-1.7M24.6M-137.6K0.5175.06N/AN/A7553863,4564,919
2015-12-07$198.43$220.0024.6%6.7%26.7%31.6%22.1%5.2%1.1%-1.9M26.5M-142.9K7.4072.17N/AN/A201483,6164,935
2015-12-08$195.11$220.0026.7%7.2%26.7%38.5%27.0%4.2%0.4%-2.1M32.8M-144.3K2.3772.35N/AN/A6361,5063,6305,020
2015-12-09$193.00$220.0024.8%7.1%26.4%32.5%26.5%4.3%0.6%-3.0M41.9M-163.3K0.8671.13N/AN/A6855913,6776,023
2015-12-10$194.39$220.0024.8%7.1%26.6%32.2%24.3%4.0%0.9%-3.2M39.5M-163.9K1.1674.00N/AN/A7618823,7336,146
2015-12-11$190.42$210.0027.3%7.8%19.6%40.3%27.4%4.7%-0.7%-3.5M48.7M-166.1K1.2572.24N/AN/A8561,0723,7766,387
2015-12-14$193.91$210.0026.4%7.6%20.5%37.6%27.8%5.0%0.1%-3.3M40.2M-164.4K0.6969.63N/AN/A7655253,8556,252
2015-12-15$194.84$210.0026.1%7.5%20.5%36.6%26.4%4.7%-0.0%-3.2M38.0M-162.9K0.5773.00N/AN/A7534293,8466,263
2015-12-16$196.88$210.0025.3%7.3%18.5%34.0%28.1%5.5%0.3%-2.8M32.7M-154.3K0.6779.01N/AN/A7274883,8776,254
2015-12-17$195.20$210.0024.3%7.0%15.9%30.6%26.7%3.6%0.6%-3.3M35.2M-152.9K0.9573.36N/AN/A6466143,8826,278
2015-12-18$194.45$210.0023.7%6.8%15.9%28.9%26.2%5.1%1.8%-2.7M38.1M-152.9K0.8871.43N/AN/A6685853,8886,212
2015-12-21$196.33$210.0024.1%6.9%16.3%30.1%25.0%4.8%1.1%-2.6M31.1M-144.6K1.0177.52N/AN/A4224283,0965,396
2015-12-22$201.88$210.0021.6%6.2%19.1%22.0%23.9%4.0%2.8%-2.0M18.2M-139.2K1.6482.78N/AN/A2714453,1605,324
2015-12-23$205.61$210.0019.1%5.5%20.1%14.3%22.1%4.3%3.5%-1.6M10.1M-134.3K2.0483.99N/AN/A2795683,2135,400
2015-12-24$205.45$210.0019.1%5.5%20.1%14.1%22.3%4.7%3.8%-1.6M9.3M-136.1K2.4085.01N/AN/A2095013,2895,494
2015-12-28$204.38$210.0023.7%6.8%20.2%28.7%23.9%4.9%0.9%-1.8M12.0M-132.1K2.3785.45N/AN/A2074913,2905,490
2015-12-29$205.48$210.0020.5%5.9%20.2%18.6%23.1%4.1%3.0%-1.6M9.9M-130.1K1.4485.66N/AN/A2553663,3115,507
2015-12-30$204.81$210.0023.5%6.8%20.2%28.4%22.9%4.5%1.4%-1.7M10.7M-127.7K1.8684.26N/AN/A2264213,3205,511
2015-12-31$203.33$210.0022.7%6.5%20.0%25.6%21.2%4.3%2.4%-1.8M13.0M-124.3K1.2583.82N/AN/A3384233,3365,524