GWW Options History — April 2016

In April 2016, GWW traded between $227.97 and $238.86. ATM implied volatility averaged 22.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.5% (HV 20d: 19.5%). Max pain ranged from $210.00 to $240.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.41.

Notable Days

  • 2016-04-15: Highest Volume — 3,953 contracts
  • 2016-04-11: Largest IV spike — 35.8% change
  • 2016-04-11: Highest IV Rank — 48.2%
  • 2016-04-11: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$232.28$227.97$238.86$234.18$234.52
Max Pain$225.24$210.00$240.00$210.00$230.00
ATM IV22.1%18.9%29.8%20.5%22.0%
Expected Move6.4%5.4%7.3%5.9%6.3%
HV 20d19.5%14.3%24.9%24.2%18.0%
HV 60d25.4%23.4%26.8%26.6%23.4%
IV Rank23.7%13.6%48.2%18.8%23.4%
IV Percentile40.1%19.4%86.9%31.0%38.1%
Term Structure-1.1%-2.6%3.2%3.2%-1.4%
VWIV24.7%20.2%31.3%20.9%22.6%
Skew 25d4.3%1.7%5.7%4.7%4.0%
Skew 10d9.2%5.1%15.1%15.1%8.9%
Call IV 25d20.7%18.0%23.5%18.0%19.5%
Put IV 25d25.0%21.4%29.1%22.7%23.5%
Bid-Ask Spread %72.8150.3590.4889.6284.50
Gamma HHI0.250.210.320.210.23
Net GEX-3.8M-5.9M-1.3M-1.3M-4.3M
Net DEX14.1M-16.1M45.4M-8.5M23.7M
Net VEX-384.6K-426.1K-305.6K-373.9K-344.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.411.266.916.912.05
Total Volume1,575.4295513,9532,309634
Total OI17,137.1914,62419,71617,07415,413

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$234.18$210.0020.5%5.9%24.2%18.8%20.9%4.7%3.2%-1.3M-8.5M-373.9K6.9189.62N/AN/A2922,0173,31013,764
2016-04-04$231.20$220.0022.1%7.1%24.8%23.7%27.9%5.5%-2.3%-2.3M2.3M-409.5K3.2050.35N/AN/A4501,4423,32314,708
2016-04-05$233.50$220.0022.2%7.0%24.8%24.0%28.9%5.4%-1.8%-1.7M-3.5M-400.4K1.8161.25N/AN/A1,3242,3993,44714,743
2016-04-06$232.50$220.0021.9%6.9%24.9%23.1%28.8%4.2%-1.8%-2.2M2.5M-426.1K1.4865.36N/AN/A1,3431,9834,22315,493
2016-04-07$229.92$220.0022.9%7.0%22.6%26.2%28.0%5.5%-1.7%-2.9M8.0M-421.6K1.8966.90N/AN/A4819093,58515,340
2016-04-08$230.40$220.0021.9%7.0%22.6%23.2%30.7%5.7%-1.6%-2.7M2.1M-412.8K2.1958.88N/AN/A3928593,57215,371
2016-04-11$232.77$220.0029.8%7.3%22.6%48.2%31.3%5.7%-2.6%-2.5M-3.2M-380.6K2.6964.44N/AN/A5851,5723,57115,383
2016-04-12$229.68$220.0026.5%7.2%23.4%37.8%27.7%5.6%-2.1%-5.1M11.3M-413.1K2.3465.30N/AN/A7281,7073,67815,994
2016-04-13$233.80$220.0025.1%7.2%24.0%33.3%26.8%5.1%-2.2%-3.7M-8.3M-376.8K1.8465.37N/AN/A5149453,65815,841
2016-04-14$234.45$220.0025.0%7.2%23.7%33.0%26.4%5.4%-2.4%-3.2M-11.6M-365.8K1.2669.35N/AN/A4145203,66615,671
2016-04-15$235.29$230.0022.2%6.4%16.3%24.1%24.7%3.4%-1.0%-2.7M-16.1M-360.1K2.3767.94N/AN/A1,1732,7803,70515,745
2016-04-18$231.98$240.0020.4%5.9%14.3%18.5%20.2%3.6%-0.8%-4.5M35.0M-394.4K3.9469.44N/AN/A2951,1631,89812,726
2016-04-19$230.00$230.0020.3%5.8%14.5%18.0%22.4%3.6%-0.8%-5.2M37.9M-388.3K4.6976.19N/AN/A2851,3371,95913,046
2016-04-20$228.74$230.0020.0%5.7%14.5%17.0%21.7%3.9%-0.5%-5.7M43.3M-404.2K1.6980.62N/AN/A2965011,99813,041
2016-04-21$227.97$230.0020.4%5.9%14.5%18.4%21.6%3.8%-0.7%-5.9M45.4M-407.0K1.3777.83N/AN/A2773792,07813,109
2016-04-22$229.17$230.0020.5%5.9%14.7%18.7%21.5%3.3%-0.7%-5.7M43.2M-404.3K1.9279.69N/AN/A1953742,13713,148
2016-04-25$229.13$230.0020.9%6.0%14.6%19.9%22.4%3.2%-0.6%-5.5M39.7M-380.8K2.0583.00N/AN/A2214542,14313,166
2016-04-26$234.21$230.0020.5%5.9%16.2%18.7%20.4%3.7%-0.6%-4.6M26.2M-368.0K1.8375.25N/AN/A1953562,12813,233
2016-04-27$238.86$230.0018.9%5.4%17.2%13.6%20.6%1.7%0.0%-3.0M8.0M-305.6K1.3790.48N/AN/A2944042,16513,253
2016-04-28$235.61$230.0019.4%5.5%18.0%15.0%22.1%3.4%-0.6%-4.1M19.9M-338.5K1.7087.33N/AN/A2203752,15013,299
2016-04-29$234.52$230.0022.0%6.3%18.0%23.4%22.6%4.0%-1.4%-4.3M23.7M-344.1K2.0584.50N/AN/A2084262,15413,259