GWW Options History — May 2016

In May 2016, GWW traded between $221.95 and $234.38. ATM implied volatility averaged 21.1%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.9% (HV 20d: 17.2%). Max pain ranged from $230.00 to $230.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 4.57.

Notable Days

  • 2016-05-13: Highest Volume — 2,571 contracts
  • 2016-05-24: Largest IV drop — 9.3% change
  • 2016-05-09: Highest IV Rank — 25.7%
  • 2016-05-03: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$228.24$221.95$234.38$234.38$228.52
Max Pain$230.00$230.00$230.00$230.00$230.00
ATM IV21.1%18.3%23.1%22.6%19.1%
Expected Move6.0%5.3%6.5%6.5%5.5%
HV 20d17.2%15.1%18.5%17.4%16.1%
HV 60d20.3%19.4%21.7%21.2%19.6%
IV Rank19.0%6.1%25.7%25.4%8.9%
IV Percentile30.2%9.1%46.4%42.9%12.7%
Term Structure-0.1%-1.5%0.8%-1.5%-0.2%
VWIV22.0%16.6%27.4%21.8%16.6%
Skew 25d3.5%1.9%4.3%3.4%3.4%
Skew 10d7.5%2.6%9.3%7.7%9.3%
Call IV 25d19.6%17.3%21.8%20.5%18.0%
Put IV 25d23.2%20.5%25.0%24.0%21.4%
Bid-Ask Spread %83.6174.7094.5474.9594.54
Gamma HHI0.260.200.340.210.31
Net GEX-5.4M-7.4M-3.9M-4.6M-3.9M
Net DEX36.8M24.4M70.1M24.8M24.4M
Net VEX-324.4K-380.3K-259.8K-348.4K-259.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.572.2412.322.242.48
Total Volume1,025.7623862,571906386
Total OI15,598.52413,82517,06015,42313,916

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$234.38$230.0022.6%6.5%17.4%25.4%21.8%3.4%-1.5%-4.6M24.8M-348.4K2.2474.95N/AN/A2806262,15313,270
2016-05-03$232.71$230.0022.7%6.5%17.2%25.6%22.5%3.9%-1.4%-4.9M28.1M-335.4K3.0786.08N/AN/A2417412,21813,480
2016-05-04$229.05$230.0022.7%6.5%18.1%25.5%22.9%3.1%-1.5%-6.1M44.0M-380.3K3.0687.97N/AN/A2176652,26713,634
2016-05-05$232.04$230.0022.3%6.1%18.2%24.3%21.3%3.3%-0.3%-5.1M27.8M-345.1K2.7475.62N/AN/A2567022,28613,666
2016-05-06$232.18$230.0022.4%6.1%18.2%23.6%21.3%3.4%-0.2%-5.0M27.0M-347.6K2.9877.09N/AN/A2326912,32113,699
2016-05-09$230.75$230.0023.1%6.1%18.0%25.7%20.9%3.7%-0.2%-5.3M29.2M-319.4K3.2775.80N/AN/A2317552,35713,731
2016-05-10$231.95$230.0022.8%6.1%17.4%24.7%21.8%3.4%-0.2%-5.2M24.4M-315.2K4.2378.61N/AN/A1948212,36313,770
2016-05-11$231.26$230.0021.2%6.1%16.2%19.4%21.7%3.3%-0.3%-5.8M28.4M-327.5K8.5174.70N/AN/A1591,3532,36913,862
2016-05-12$227.68$230.0020.5%5.9%17.0%17.4%20.3%4.2%0.6%-6.1M37.6M-326.4K4.2278.85N/AN/A1747352,38113,550
2016-05-13$226.08$230.0020.6%5.9%17.0%17.8%25.8%4.3%0.0%-6.9M48.2M-344.6K12.3282.36N/AN/A1932,3782,36213,577
2016-05-16$228.55$230.0020.7%5.9%16.9%17.8%27.4%3.3%0.2%-7.0M37.6M-321.5K11.2481.81N/AN/A1922,1592,38314,561
2016-05-17$229.18$230.0020.3%5.8%16.7%16.8%26.7%3.7%0.7%-7.2M40.0M-328.7K11.1886.40N/AN/A1922,1462,38714,578
2016-05-18$224.79$230.0022.1%6.3%18.0%22.6%23.3%3.4%0.3%-6.9M56.3M-320.0K3.7385.32N/AN/A1796682,39414,589
2016-05-19$221.95$230.0022.5%6.5%18.5%23.8%21.9%4.0%-0.4%-7.4M70.1M-348.7K5.1183.15N/AN/A1959962,41714,643
2016-05-20$222.58$230.0021.5%6.2%18.4%20.5%21.2%3.7%0.2%-4.9M64.2M-341.1K3.2984.13N/AN/A1525002,42614,596
2016-05-23$223.04$230.0021.4%6.1%18.4%20.2%20.7%3.6%0.0%-5.0M40.8M-328.2K2.9485.13N/AN/A1093201,75712,068
2016-05-24$226.47$230.0019.4%5.6%17.4%13.5%21.4%3.9%-0.0%-4.2M31.2M-304.2K2.2788.83N/AN/A1353061,77712,098
2016-05-25$226.55$230.0019.2%5.5%15.5%12.9%21.6%3.6%0.3%-4.2M32.3M-302.9K2.3091.41N/AN/A1343081,78112,104
2016-05-26$227.53$230.0018.3%5.3%15.1%6.1%20.9%3.6%0.8%-3.9M28.1M-291.7K2.3692.03N/AN/A1283021,77412,111
2016-05-27$225.70$230.0018.5%5.3%15.3%6.8%19.6%1.9%0.7%-4.1M28.5M-275.5K2.4891.08N/AN/A1122781,77612,117
2016-05-31$228.52$230.0019.1%5.5%16.1%8.9%16.6%3.4%-0.2%-3.9M24.4M-259.8K2.4894.54N/AN/A1112751,79112,125