GWW Options History — March 2016

In March 2016, GWW traded between $217.07 and $233.28. ATM implied volatility averaged 23.3%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.2% (HV 20d: 24.5%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 4.51.

Notable Days

  • 2016-03-18: Highest Volume — 3,520 contracts
  • 2016-03-09: Largest IV drop — 15.0% change
  • 2016-03-08: Highest IV Rank — 46.1%
  • 2016-03-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$224.66$217.07$233.28$223.48$233.28
Max Pain$204.09$200.00$210.00$200.00$210.00
ATM IV23.3%20.4%29.1%26.5%20.5%
Expected Move6.5%5.9%7.6%7.6%5.9%
HV 20d24.5%19.1%29.8%29.8%24.2%
HV 60d26.1%25.1%27.6%25.6%26.8%
IV Rank27.5%18.4%46.1%37.8%18.5%
IV Percentile48.6%29.8%84.9%75.4%30.2%
Term Structure1.2%-2.1%3.6%-2.0%3.6%
VWIV24.9%21.8%29.8%29.8%22.1%
Skew 25d5.4%3.4%7.1%5.5%3.4%
Skew 10d12.1%8.3%15.1%15.1%8.3%
Call IV 25d21.0%18.8%24.0%24.0%18.9%
Put IV 25d26.3%22.3%29.8%29.5%22.3%
Bid-Ask Spread %74.6667.7886.3772.7984.31
Gamma HHI0.150.120.200.120.20
Net GEX-892.6K-1.9M944.4K-132.2K-1.3M
Net DEX-10.3M-42.5M4.0M-20.1M-9.9M
Net VEX-309.9K-392.4K-238.0K-273.2K-349.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.511.227.604.803.94
Total Volume2,1165963,5202,2452,020
Total OI14,441.95512,57316,88712,58116,421

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$223.48$200.0026.5%7.6%29.8%37.8%29.8%5.5%-2.0%-132.2K-20.1M-273.2K4.8072.79N/AN/A3871,8583,6058,976
2016-03-02$220.42$200.0026.3%7.5%28.3%37.2%27.5%5.8%-2.1%-137.8K-17.3M-266.3K3.2071.12N/AN/A5441,7403,6788,895
2016-03-03$221.53$200.0026.1%7.0%27.3%36.5%25.5%6.4%1.0%-181.6K-16.7M-293.4K4.1671.85N/AN/A4501,8733,8719,255
2016-03-04$221.99$200.0026.1%6.9%21.8%36.5%24.2%6.2%0.2%-305.2K-18.3M-288.2K3.1969.74N/AN/A5421,7313,8939,408
2016-03-07$223.96$200.0028.0%7.3%21.8%42.6%28.4%6.0%-0.9%-42.0K-20.8M-276.9K3.7371.54N/AN/A4491,6733,8909,403
2016-03-08$224.82$200.0029.1%7.2%21.7%46.1%26.7%6.2%-0.2%5.0K-22.9M-268.6K3.9971.02N/AN/A4071,6243,8949,395
2016-03-09$218.30$200.0024.8%7.1%24.6%32.2%26.7%7.1%-0.4%-634.8K-8.7M-276.8K3.6967.78N/AN/A3421,2613,9129,426
2016-03-10$217.70$200.0023.8%6.8%22.1%29.0%25.2%6.3%0.5%-919.2K-5.2M-281.5K2.7071.67N/AN/A3409183,9139,612
2016-03-11$217.07$200.0023.3%6.7%22.2%27.4%28.6%6.1%0.8%-1.2M-2.5M-279.5K3.6768.08N/AN/A2911,0693,9229,650
2016-03-14$217.73$200.0023.5%6.7%19.6%28.2%24.8%6.0%0.7%-1.1M-6.0M-256.0K2.3370.48N/AN/A2916783,9259,771
2016-03-15$217.86$200.0023.6%6.8%19.1%28.4%24.8%6.4%1.0%-1.0M-3.9M-263.0K1.2271.87N/AN/A2683283,9759,822
2016-03-16$220.55$200.0021.8%6.2%19.1%22.7%26.1%5.1%1.7%-542.6K-15.9M-244.0K7.0181.04N/AN/A2541,7803,9849,830
2016-03-17$231.70$200.0021.9%6.3%25.6%23.0%21.9%4.1%0.3%944.4K-42.5M-238.0K4.0874.68N/AN/A5322,1703,98111,233
2016-03-18$225.88$210.0021.0%6.0%27.5%20.1%23.5%5.0%1.5%-1.6M-12.4M-354.9K5.0871.68N/AN/A5792,9414,15312,734
2016-03-21$227.66$210.0021.3%6.1%27.1%21.1%21.8%4.5%2.9%-1.8M1.6M-383.7K7.6078.00N/AN/A2892,1973,19912,349
2016-03-22$228.56$210.0020.4%5.9%26.7%18.4%23.8%4.6%3.0%-1.8M3.7M-392.0K7.1476.16N/AN/A3142,2433,07112,419
2016-03-23$229.30$210.0020.8%6.0%26.2%19.6%21.8%4.3%3.0%-1.7M38.5K-374.5K5.8679.58N/AN/A3862,2633,11112,391
2016-03-24$229.00$210.0020.7%5.9%26.3%19.3%24.3%4.6%3.4%-1.9M4.0M-392.4K6.3075.00N/AN/A3622,2823,13012,429
2016-03-28$228.21$210.0020.9%6.0%26.3%19.9%24.2%4.9%2.9%-1.8M1.1M-362.7K6.6982.20N/AN/A3532,3613,15012,464
2016-03-29$230.56$210.0020.9%6.0%26.4%19.9%22.6%4.9%3.2%-1.5M-2.4M-361.7K4.3175.48N/AN/A4231,8233,17512,560
2016-03-30$233.07$210.0021.0%6.0%24.9%20.1%23.1%4.3%3.2%-1.1M-11.2M-341.5K4.6086.37N/AN/A3421,5743,22612,622
2016-03-31$233.28$210.0020.5%5.9%24.2%18.5%22.1%3.4%3.6%-1.3M-9.9M-349.0K3.9484.31N/AN/A4091,6113,22613,195