GWW Options History — January 2016

In January 2016, GWW traded between $182.67 and $201.84. ATM implied volatility averaged 30.4%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 9.8% (HV 20d: 20.6%). Max pain ranged from $185.00 to $210.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 2.30.

Notable Days

  • 2016-01-15: Highest Volume — 2,162 contracts
  • 2016-01-11: Largest IV spike — 31.7% change
  • 2016-01-12: Highest IV Rank — 84.9%
  • 2016-01-25: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$190.54$182.67$201.84$201.84$195.85
Max Pain$196.84$185.00$210.00$210.00$190.00
ATM IV30.4%24.3%41.3%25.3%24.3%
Expected Move8.4%7.0%10.1%7.8%7.0%
HV 20d20.6%18.2%25.5%20.1%25.5%
HV 60d24.4%22.1%27.0%26.8%24.0%
IV Rank50.3%30.8%84.9%33.9%30.8%
IV Percentile90.5%66.3%98.8%77.8%66.3%
Term Structure-2.0%-5.0%0.5%-1.3%0.5%
VWIV30.8%26.2%35.0%28.8%26.3%
Skew 25d6.2%4.9%8.2%5.5%5.9%
Skew 10d13.2%7.5%17.8%12.8%14.8%
Call IV 25d27.1%22.5%32.5%23.9%22.5%
Put IV 25d33.3%28.2%39.0%29.4%28.4%
Bid-Ask Spread %62.4756.1479.7361.0179.73
Gamma HHI0.250.120.560.360.13
Net GEX-1.7M-5.4M128.1K-2.1M128.1K
Net DEX23.6M-1.9M52.5M16.2M-1.9M
Net VEX-133.8K-148.1K-121.4K-121.8K-141.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.926.642.831.66
Total Volume1,209.5798262,1621,856826
Total OI8,215.0535,4869,8018,8437,609

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$201.84$210.0025.3%7.8%20.1%33.9%28.8%5.5%-1.3%-2.1M16.2M-121.8K2.8361.01N/AN/A4841,3723,3075,536
2016-01-05$199.45$200.0026.6%7.6%20.2%38.1%28.6%5.4%-1.4%-2.3M21.0M-131.1K1.7363.57N/AN/A3205523,3965,581
2016-01-06$198.69$200.0027.2%7.8%19.8%40.0%30.8%5.1%-1.7%-2.5M21.7M-130.6K1.7461.55N/AN/A3936823,3965,579
2016-01-07$197.63$200.0028.8%8.0%18.9%45.3%30.8%5.5%-1.4%-2.6M25.4M-138.6K1.1862.84N/AN/A6327433,5565,678
2016-01-08$194.71$200.0029.0%8.1%19.3%45.6%29.7%7.2%-1.1%-2.9M27.6M-148.1K1.8863.20N/AN/A3135894,0045,702
2016-01-11$189.31$200.0038.1%8.7%21.6%74.8%32.4%5.2%-3.1%-3.8M42.2M-136.6K2.5460.36N/AN/A3468784,0375,735
2016-01-12$187.88$200.0041.3%8.4%20.5%84.9%31.5%5.5%-2.4%-3.7M44.7M-132.1K3.5159.22N/AN/A2518814,0985,567
2016-01-13$185.58$200.0031.2%8.9%19.6%52.6%31.5%7.2%-1.5%-3.4M47.3M-125.3K3.1759.73N/AN/A2327364,1375,596
2016-01-14$188.92$200.0029.4%8.4%20.8%46.9%31.5%6.0%-2.1%-5.4M40.9M-129.5K3.4062.91N/AN/A3821,3004,1575,644
2016-01-15$189.22$200.0031.0%8.9%20.3%52.1%31.9%7.2%-3.0%-440.2K52.5M-121.6K2.6060.44N/AN/A6001,5624,1555,595
2016-01-19$187.07$200.0032.9%9.4%20.5%58.0%33.3%7.4%-3.6%-347.9K13.4M-121.4K6.6460.89N/AN/A1921,2742,4353,051
2016-01-20$182.67$200.0032.1%9.2%21.9%55.5%34.4%8.2%-2.7%-670.5K20.3M-127.2K1.6656.14N/AN/A3525832,4833,665
2016-01-21$185.60$195.0032.2%9.2%22.5%56.0%34.5%6.8%-2.5%-514.0K15.5M-134.6K1.8956.20N/AN/A2965592,6693,775
2016-01-22$187.25$195.0031.3%9.0%19.9%53.1%32.3%6.6%-2.4%-449.2K13.4M-139.3K2.0358.41N/AN/A2815712,6753,810
2016-01-25$185.17$195.0035.2%10.1%18.2%65.6%35.0%6.5%-5.0%-496.6K16.1M-138.0K1.0858.40N/AN/A8419082,7433,889
2016-01-26$186.09$185.0028.9%8.3%18.5%45.5%29.9%5.4%-1.8%-262.5K12.5M-143.1K2.0461.50N/AN/A3246603,3254,252
2016-01-27$184.87$185.0027.3%7.8%18.5%40.3%26.3%5.5%-1.2%-362.6K15.0M-139.6K0.9267.10N/AN/A5845403,3814,291
2016-01-28$192.52$185.0026.3%7.5%24.4%37.0%26.2%4.9%-0.6%-8.4K4.1M-141.2K1.1973.79N/AN/A4315123,2794,298
2016-01-29$195.85$190.0024.3%7.0%25.5%30.8%26.3%5.9%0.5%128.1K-1.9M-141.6K1.6679.73N/AN/A3105163,2714,338