GWW Options History — June 2016

In June 2016, GWW traded between $216.39 and $230.77. ATM implied volatility averaged 20.7%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.2% (HV 20d: 17.5%). Max pain ranged from $220.00 to $230.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.62.

Notable Days

  • 2016-06-10: Highest Volume — 2,551 contracts
  • 2016-06-24: Largest IV spike — 28.7% change
  • 2016-06-24: Highest IV Rank — 26.9%
  • 2016-06-24: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$223.48$216.39$230.77$228.01$227.05
Max Pain$220.45$220.00$230.00$230.00$220.00
ATM IV20.7%18.1%24.4%18.9%19.0%
Expected Move5.9%5.3%7.0%5.4%5.5%
HV 20d17.5%14.5%24.5%15.9%24.5%
HV 60d17.8%16.3%19.5%19.5%19.3%
IV Rank14.3%5.4%26.9%8.2%8.5%
IV Percentile24.6%6.3%56.3%11.5%10.3%
Term Structure1.8%0.2%3.2%0.2%3.2%
VWIV21.3%16.5%24.4%16.5%19.3%
Skew 25d3.8%2.9%5.9%3.5%3.4%
Skew 10d8.4%5.2%13.9%7.1%10.8%
Call IV 25d19.6%17.5%23.2%18.0%18.7%
Put IV 25d23.4%20.8%28.7%21.4%22.1%
Bid-Ask Spread %85.5776.7292.5092.4892.47
Gamma HHI0.380.260.550.320.46
Net GEX-4.4M-6.7M-2.0M-3.8M-3.3M
Net DEX30.6M12.3M54.7M24.2M14.2M
Net VEX-239.9K-287.9K-204.0K-258.2K-226.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.423.022.990.80
Total Volume948.6824222,5514351,479
Total OI14,776.45513,91616,86613,91615,171

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$228.01$230.0018.9%5.4%15.9%8.2%16.5%3.5%0.2%-3.8M24.2M-258.2K2.9992.48N/AN/A1093261,79112,125
2016-06-02$229.56$220.0018.6%5.4%15.2%7.2%19.8%4.3%2.4%-3.4M20.4M-240.8K1.5880.13N/AN/A2063251,79012,180
2016-06-03$227.92$220.0018.1%5.3%14.6%5.4%19.4%3.8%2.6%-3.7M23.4M-245.4K1.5481.12N/AN/A2403701,74612,189
2016-06-06$228.79$220.0019.4%5.5%14.6%9.8%20.4%3.5%1.9%-3.1M21.0M-239.7K2.2577.69N/AN/A1673761,81812,170
2016-06-07$228.69$220.0019.1%5.4%14.5%8.6%18.0%3.5%2.4%-3.0M18.4M-225.8K0.4278.05N/AN/A1,0434331,82212,177
2016-06-08$230.77$220.0019.1%5.5%14.8%8.7%20.6%2.9%2.0%-2.0M12.3M-221.5K2.6882.54N/AN/A1423812,74812,185
2016-06-09$227.30$220.0019.2%5.5%15.7%9.1%19.6%3.1%1.8%-2.7M17.8M-216.3K2.4184.92N/AN/A1734172,77212,135
2016-06-10$222.50$220.0021.0%6.0%16.5%15.3%22.8%3.4%1.7%-4.9M33.6M-240.6K0.9183.97N/AN/A1,3331,2182,80712,162
2016-06-13$217.29$220.0022.0%6.3%18.3%18.7%24.2%4.2%1.5%-4.2M47.5M-287.9K0.6785.32N/AN/A1,2918673,88012,986
2016-06-14$220.07$220.0022.6%6.5%18.4%20.5%24.4%4.0%0.9%-6.2M46.9M-270.1K2.6781.65N/AN/A2616973,07612,768
2016-06-15$219.71$220.0021.9%6.3%18.4%18.4%22.0%3.5%1.7%-5.7M41.7M-252.1K0.8890.13N/AN/A4183683,11712,707
2016-06-16$221.39$220.0022.1%6.3%17.5%18.8%23.1%5.0%0.8%-4.9M43.6M-276.8K1.1076.72N/AN/A3243573,13512,705
2016-06-17$221.37$220.0021.8%6.2%16.9%17.9%23.3%3.2%0.8%-5.3M33.8M-245.8K1.6381.24N/AN/A2914743,13312,680
2016-06-20$222.86$220.0021.3%6.1%17.0%16.2%22.2%3.5%2.1%-4.3M27.7M-221.0K1.3686.21N/AN/A2243052,70411,328
2016-06-21$223.07$220.0021.3%6.1%17.0%16.1%21.3%4.1%1.7%-4.6M31.0M-226.5K1.9186.84N/AN/A1512882,73511,345
2016-06-22$223.81$220.0022.0%6.3%16.1%18.6%22.6%4.1%1.8%-4.2M25.7M-209.6K2.1388.44N/AN/A1352872,74511,347
2016-06-23$225.98$220.0019.0%5.4%16.5%8.4%21.1%3.8%2.5%-3.6M20.6M-204.0K3.0290.17N/AN/A1544652,76011,352
2016-06-24$217.94$220.0024.4%7.0%20.8%26.9%21.8%3.3%1.3%-5.8M43.2M-233.5K2.0192.50N/AN/A1773552,79111,467
2016-06-27$216.39$220.0023.3%6.7%20.8%23.0%23.8%5.9%1.8%-6.7M54.7M-241.9K0.8786.02N/AN/A7856832,84411,501
2016-06-28$217.24$220.0021.5%6.2%20.2%16.8%21.8%4.0%2.4%-6.1M41.0M-254.3K0.9091.43N/AN/A7406643,42111,669
2016-06-29$218.89$220.0020.4%5.9%20.5%13.3%20.0%3.3%2.9%-5.4M31.1M-239.7K0.8592.43N/AN/A7436293,43311,665
2016-06-30$227.05$220.0019.0%5.5%24.5%8.5%19.3%3.4%3.2%-3.3M14.2M-226.1K0.8092.47N/AN/A8216583,42111,750