GWW Options History — July 2016

In July 2016, GWW traded between $215.34 and $231.91. ATM implied volatility averaged 20.6%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 5.5% (HV 20d: 26.2%). Max pain ranged from $220.00 to $230.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 3.22.

Notable Days

  • 2016-07-18: Highest Volume — 4,698 contracts
  • 2016-07-05: Largest IV spike — 23.2% change
  • 2016-07-11: Highest IV Rank — 26.7%
  • 2016-07-06: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$224.17$215.34$231.91$230.14$218.79
Max Pain$228.00$220.00$230.00$220.00$230.00
ATM IV20.6%18.0%24.4%18.5%18.0%
Expected Move6.1%5.2%7.1%5.3%5.2%
HV 20d26.2%23.4%29.9%24.9%23.4%
HV 60d20.5%19.4%22.1%19.4%21.1%
IV Rank14.0%5.0%26.7%6.6%5.0%
IV Percentile25.4%1.6%57.5%7.1%1.6%
Term Structure-0.3%-1.6%3.7%3.7%0.2%
VWIV22.7%19.1%27.5%21.4%20.0%
Skew 25d4.3%3.1%5.2%3.9%3.1%
Skew 10d8.7%4.8%11.1%7.6%6.2%
Call IV 25d20.0%16.7%22.9%17.7%17.9%
Put IV 25d24.2%20.5%27.6%21.6%20.9%
Bid-Ask Spread %82.1774.4594.5094.5091.16
Gamma HHI0.350.270.430.370.32
Net GEX-2.9M-7.0M1.9M-933.6K-7.0M
Net DEX24.3M-15.9M67.6M-4.2M64.8M
Net VEX-247.1K-378.3K-194.4K-203.9K-378.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.7210.561.599.78
Total Volume1,774.38824,6981,3472,340
Total OI13,731.56,62217,68915,46513,578

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$230.14$220.0018.5%5.3%24.9%6.6%21.4%3.9%3.7%-933.6K-4.2M-203.9K1.5994.50N/AN/A5218263,66711,798
2016-07-05$225.95$220.0022.7%6.6%25.7%21.1%25.5%4.8%-0.8%-2.8M5.8M-199.2K1.2274.45N/AN/A7168763,66012,007
2016-07-06$223.25$220.0023.3%7.1%26.0%23.1%23.8%4.7%-1.2%-2.4M10.8M-208.9K0.8874.59N/AN/A6886053,90912,187
2016-07-07$225.53$220.0019.2%6.8%26.1%9.0%24.2%5.2%-1.5%-2.0M4.7M-204.6K2.0574.49N/AN/A5131,0534,10812,203
2016-07-08$230.22$230.0020.1%6.7%26.6%12.2%23.5%4.2%-0.3%-551.3K-3.7M-207.7K0.7975.69N/AN/A7395814,08212,714
2016-07-11$231.91$230.0024.4%6.8%25.4%26.7%26.9%4.3%-0.8%1.4M-13.8M-197.3K1.4578.11N/AN/A4616684,37712,713
2016-07-12$230.50$230.0023.7%6.9%23.8%24.4%27.5%4.7%-1.6%1.1M-8.4M-201.4K1.4181.66N/AN/A4856834,37212,799
2016-07-13$230.64$230.0024.0%6.9%23.5%25.2%26.3%4.8%-1.3%1.6M-9.8M-202.0K1.3479.22N/AN/A4856524,42512,938
2016-07-14$231.88$230.0023.7%6.8%23.5%24.2%25.1%4.7%-1.3%1.9M-14.1M-194.4K1.4781.23N/AN/A7221,0624,42512,983
2016-07-15$231.50$230.0023.5%6.7%23.4%23.6%23.0%4.6%-1.2%-980.0K-15.9M-207.2K1.1082.78N/AN/A7848654,46913,220
2016-07-18$228.33$230.0022.5%6.5%24.1%20.4%24.0%4.5%-1.5%-1.6M11.6M-211.5K1.6277.41N/AN/A1,7962,9021,8804,742
2016-07-19$217.48$230.0019.3%5.5%29.9%9.5%19.7%3.4%0.1%-5.0M55.2M-269.3K0.7280.97N/AN/A1,5401,1052,9817,084
2016-07-20$217.06$230.0018.8%5.4%29.9%7.7%20.6%4.3%0.3%-5.6M61.2M-264.8K3.1282.12N/AN/A2146682,4527,491
2016-07-21$215.34$230.0018.9%5.4%29.9%8.0%19.5%3.7%0.2%-5.8M67.6M-264.0K3.5783.21N/AN/A3361,2012,5657,598
2016-07-22$217.37$230.0018.2%5.2%29.9%5.8%20.2%4.7%0.5%-5.5M57.5M-265.4K1.1585.70N/AN/A4915642,6657,564
2016-07-25$218.08$230.0018.7%5.4%27.0%7.5%21.1%3.4%0.0%-5.4M53.5M-274.7K2.4485.20N/AN/A4331,0562,9957,631
2016-07-26$219.54$230.0018.8%5.4%27.0%7.7%22.3%4.5%-0.0%-5.4M50.4M-290.6K9.0284.99N/AN/A2011,8143,0118,101
2016-07-27$219.16$230.0018.5%5.3%27.0%6.7%19.1%3.3%0.2%-5.9M54.6M-318.8K10.5688.23N/AN/A2172,2913,0158,704
2016-07-28$220.64$230.0018.2%5.2%26.9%5.6%20.4%5.0%0.4%-6.7M58.4M-378.3K9.1087.61N/AN/A2312,1013,05410,463
2016-07-29$218.79$230.0018.0%5.2%23.4%5.0%20.0%3.1%0.2%-7.0M64.8M-378.1K9.7891.16N/AN/A2172,1233,12210,456