GWW Options History — August 2016

In August 2016, GWW traded between $216.60 and $234.61. ATM implied volatility averaged 17.8%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 2.0% (HV 20d: 19.8%). Max pain ranged from $220.00 to $230.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 5.15.

Notable Days

  • 2016-08-11: Highest Volume — 2,772 contracts
  • 2016-08-19: Largest IV drop — 7.0% change
  • 2016-08-31: Highest IV Rank — 6.6%
  • 2016-08-03: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$226.99$216.60$234.61$218.07$230.88
Max Pain$225.65$220.00$230.00$230.00$230.00
ATM IV17.8%16.6%18.7%18.6%18.6%
Expected Move5.1%4.8%5.4%5.3%5.3%
HV 20d19.8%16.4%26.0%22.7%17.9%
HV 60d21.6%20.7%22.7%20.9%22.0%
IV Rank2.7%0.0%6.6%5.9%6.6%
IV Percentile2.8%0.0%11.5%6.3%11.5%
Term Structure1.7%-0.5%2.9%-0.5%1.8%
VWIV18.3%16.1%22.5%19.5%22.5%
Skew 25d3.0%2.1%3.7%3.6%2.1%
Skew 10d6.2%4.3%8.6%7.1%6.9%
Call IV 25d16.8%15.2%18.6%18.3%17.7%
Put IV 25d19.8%18.4%22.2%21.9%19.8%
Bid-Ask Spread %89.7082.8693.1182.8690.08
Gamma HHI0.260.190.350.330.21
Net GEX-4.2M-7.3M-1.3M-7.0M-3.8M
Net DEX22.3M-8.4M76.2M68.4M15.6M
Net VEX-287.0K-370.0K-230.8K-365.7K-292.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.150.0725.337.413.94
Total Volume1,578.043892,7722,3881,226
Total OI12,865.7399,74714,42513,61912,349

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$218.07$230.0018.6%5.3%22.7%5.9%19.5%3.6%-0.5%-7.0M68.4M-365.7K7.4182.86N/AN/A2842,1043,13910,480
2016-08-02$216.60$230.0018.4%5.3%22.0%4.5%19.8%3.7%-0.4%-7.1M76.2M-370.0K4.2487.64N/AN/A2541,0773,19810,513
2016-08-03$217.23$230.0018.7%5.4%21.8%5.4%18.8%2.6%-0.1%-7.3M72.6M-366.0K2.5190.67N/AN/A5621,4083,20710,543
2016-08-04$218.29$220.0018.5%5.2%21.5%3.3%19.3%3.0%1.6%-6.9M67.3M-356.0K2.5483.89N/AN/A5491,3953,52510,876
2016-08-05$220.98$220.0017.5%5.1%20.5%0.0%18.6%3.2%1.8%-6.5M54.3M-336.7K2.7286.01N/AN/A5131,3953,54310,882
2016-08-08$220.52$220.0018.1%5.1%20.2%2.0%18.5%3.2%2.5%-6.6M47.6M-322.5K2.6686.48N/AN/A5371,4263,22610,573
2016-08-09$219.48$220.0018.4%5.1%20.2%3.0%18.6%3.1%2.2%-7.0M54.7M-329.6K2.6588.06N/AN/A5211,3833,24710,573
2016-08-10$219.76$220.0017.8%5.1%20.2%1.0%17.9%3.4%2.0%-7.1M53.5M-316.9K2.7189.44N/AN/A5321,4403,25310,576
2016-08-11$229.66$220.0017.2%4.9%26.0%0.0%17.2%2.3%2.1%-4.8M10.7M-289.1K2.6288.07N/AN/A7652,0073,27910,675
2016-08-12$229.05$220.0017.7%5.1%26.0%1.7%16.8%2.4%1.6%-3.5M3.3M-280.6K4.6689.38N/AN/A3251,5133,52110,767
2016-08-15$230.92$220.0018.3%5.2%25.7%4.0%18.5%3.0%1.5%-3.8M-4.2M-245.8K7.7388.06N/AN/A1831,4153,50910,567
2016-08-16$230.99$220.0017.7%5.1%18.0%1.9%17.4%2.6%1.9%-3.3M-3.6M-259.4K5.4390.13N/AN/A2601,4123,53010,608
2016-08-17$230.88$220.0017.9%5.1%17.9%2.4%17.8%3.0%1.8%-4.1M-2.7M-256.3K25.3392.10N/AN/A184563,56210,597
2016-08-18$231.32$230.0017.9%5.1%17.4%2.6%16.5%2.9%1.2%-3.7M-6.6M-258.8K0.0792.37N/AN/A8363,57410,640
2016-08-19$231.36$230.0016.6%4.8%17.3%0.0%16.1%3.0%2.9%-1.8M-8.4M-253.8K4.9992.04N/AN/A2811,4023,56510,642
2016-08-22$230.63$230.0017.1%4.9%17.5%1.6%16.6%3.0%2.6%-1.8M7.1M-245.5K4.2390.98N/AN/A2581,0912,1137,634
2016-08-23$230.73$230.0017.1%4.9%17.4%1.5%17.9%2.5%2.5%-1.6M2.6M-230.8K7.9991.75N/AN/A1471,1742,2077,712
2016-08-24$231.04$230.0017.5%5.0%17.4%3.1%18.7%3.0%2.1%-1.5M1.4M-231.0K4.0093.11N/AN/A652602,2167,791
2016-08-25$230.80$230.0017.4%5.0%17.3%2.6%20.2%3.1%2.3%-1.9M6.7M-249.1K8.2292.37N/AN/A2081,7092,2617,998
2016-08-26$232.69$230.0017.4%5.0%17.0%2.5%17.7%3.0%2.4%-1.8M2.6M-256.9K4.3492.86N/AN/A3521,5292,3238,495
2016-08-29$234.30$230.0017.6%5.1%16.9%3.4%17.4%3.2%2.1%-1.5M-1.2M-251.8K1.8092.27N/AN/A3596472,4578,639
2016-08-30$234.61$230.0017.7%5.1%16.4%3.5%17.6%3.3%2.0%-1.3M-4.7M-236.1K5.5692.54N/AN/A2691,4952,4578,870
2016-08-31$230.88$230.0018.6%5.3%17.9%6.6%22.5%2.1%1.8%-3.8M15.6M-292.2K3.9490.08N/AN/A2489782,4849,865