GWW Options History — February 2016

In February 2016, GWW traded between $192.93 and $220.78. ATM implied volatility averaged 29.4%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 1.7% (HV 20d: 31.1%). Max pain ranged from $185.00 to $200.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.71.

Notable Days

  • 2016-02-05: Highest Volume — 2,331 contracts
  • 2016-02-08: Largest IV spike — 21.9% change
  • 2016-02-09: Highest IV Rank — 79.7%
  • 2016-02-11: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$210.81$192.93$220.78$198.03$217.31
Max Pain$197.00$185.00$200.00$190.00$200.00
ATM IV29.4%23.9%39.7%23.9%25.0%
Expected Move8.2%6.8%10.2%6.8%7.2%
HV 20d31.1%25.8%33.8%25.8%28.7%
HV 60d25.3%24.1%27.2%24.1%25.1%
IV Rank46.8%29.4%79.7%29.4%32.9%
IV Percentile81.3%62.3%98.4%63.9%62.7%
Term Structure-0.7%-1.7%0.5%-0.1%-1.3%
VWIV31.8%25.3%40.7%27.7%25.3%
Skew 25d6.3%4.7%7.5%4.7%5.3%
Skew 10d14.4%10.6%22.5%12.1%10.6%
Call IV 25d27.0%23.3%32.2%23.6%24.6%
Put IV 25d33.3%28.3%39.3%28.3%29.9%
Bid-Ask Spread %68.0450.8481.0275.8275.00
Gamma HHI0.140.110.240.120.12
Net GEX143.3K-745.4K1.0M497.7K-610.7K
Net DEX-15.9M-35.8M2.6M-8.4M-5.8M
Net VEX-212.1K-313.0K-136.1K-138.6K-291.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.711.234.631.864.37
Total Volume1,545.36262,3317622,159
Total OI10,338.257,75312,5437,78812,543

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$198.03$190.0023.9%6.8%25.8%29.4%27.7%4.7%-0.1%497.7K-8.4M-138.6K1.8675.82N/AN/A2664963,4144,374
2016-02-02$192.93$190.0026.5%7.6%27.2%37.8%31.6%5.6%-0.4%90.1K2.6M-141.6K1.6276.56N/AN/A2584193,4494,403
2016-02-03$198.15$190.0024.2%6.9%28.8%30.4%28.1%5.6%0.5%486.3K-8.3M-136.1K1.5981.02N/AN/A2423843,4614,413
2016-02-04$208.23$185.0029.3%7.8%33.8%46.6%28.4%6.2%-0.5%873.0K-25.5M-145.3K1.3758.33N/AN/A9161,2583,3284,425
2016-02-05$208.04$190.0032.1%9.0%33.7%55.7%33.0%6.5%-1.0%718.0K-22.5M-180.3K2.2557.58N/AN/A7171,6143,7294,979
2016-02-08$210.16$195.0039.1%9.5%33.1%78.1%36.0%7.4%-0.8%448.0K-20.7M-204.9K2.6458.50N/AN/A3469133,9185,860
2016-02-09$209.84$200.0039.7%9.7%31.0%79.7%37.1%6.3%-0.7%249.0K-19.1M-214.4K1.8550.84N/AN/A3937293,9676,200
2016-02-10$204.20$200.0034.7%9.9%32.8%63.9%35.8%6.8%-0.0%-107.7K-6.3M-216.0K2.4161.90N/AN/A3658793,9796,287
2016-02-11$204.58$200.0035.7%10.2%32.2%67.0%37.6%7.3%-1.1%-305.2K-4.4M-215.6K1.9160.49N/AN/A3576834,0176,441
2016-02-12$211.04$200.0032.6%9.4%33.3%57.3%39.8%7.5%-0.1%150.0K-18.2M-209.6K1.7860.87N/AN/A3265814,0226,504
2016-02-16$213.97$200.0033.0%9.4%33.4%58.3%40.7%5.5%-1.0%560.3K-27.0M-194.7K1.6770.95N/AN/A3325554,0516,556
2016-02-17$216.40$200.0028.6%8.2%32.7%44.6%32.6%6.6%-1.1%905.4K-34.4M-175.2K1.2367.11N/AN/A4695774,0366,663
2016-02-18$215.64$200.0027.6%7.9%30.9%41.1%31.8%6.3%-1.0%1.0M-35.8M-178.7K3.5766.30N/AN/A4361,5554,1746,706
2016-02-19$217.22$200.0025.9%7.4%30.8%35.8%28.9%6.5%-0.3%60.7K-32.8M-207.4K4.4069.40N/AN/A3821,6824,2207,639
2016-02-22$220.78$200.0026.6%7.6%30.9%38.1%29.6%5.7%-1.0%-30.2K-21.1M-231.5K2.2472.78N/AN/A5101,1433,2467,163
2016-02-23$218.27$200.0026.0%7.5%31.0%36.2%29.0%6.2%-1.0%-213.4K-13.8M-256.2K4.0775.52N/AN/A4541,8463,4567,691
2016-02-24$215.96$200.0025.5%7.3%31.7%34.5%28.6%7.4%-0.6%-745.4K-2.2M-313.0K4.3371.75N/AN/A4271,8513,5568,899
2016-02-25$217.36$200.0026.3%7.5%31.2%37.0%27.9%6.4%-1.7%-681.8K-5.2M-302.3K4.6377.96N/AN/A3931,8213,5448,953
2016-02-26$218.11$200.0024.9%7.1%28.8%32.7%26.5%5.5%-0.7%-489.6K-9.8M-289.8K4.3472.20N/AN/A4071,7653,5468,953
2016-02-29$217.31$200.0025.0%7.2%28.7%32.9%25.3%5.3%-1.3%-610.7K-5.8M-291.7K4.3775.00N/AN/A4021,7573,5888,955