GWW Options History — September 2016

In September 2016, GWW traded between $216.52 and $230.24. ATM implied volatility averaged 21.8%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.7% (HV 20d: 20.1%). Max pain ranged from $220.00 to $230.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 3.50.

Notable Days

  • 2016-09-09: Highest Volume — 2,173 contracts
  • 2016-09-09: Largest IV spike — 20.9% change
  • 2016-09-13: Highest IV Rank — 33.2%
  • 2016-09-29: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$222.87$216.52$230.24$228.44$225.73
Max Pain$229.05$220.00$230.00$230.00$220.00
ATM IV21.8%16.7%26.4%18.2%21.9%
Expected Move6.3%4.8%6.9%5.2%6.3%
HV 20d20.1%14.0%25.0%18.5%25.0%
HV 60d22.0%20.9%23.6%22.0%21.6%
IV Rank17.6%0.1%33.2%5.2%17.8%
IV Percentile40.9%0.4%77.8%7.1%36.9%
Term Structure-0.6%-2.6%3.6%2.3%-1.1%
VWIV22.6%17.3%24.6%22.5%22.2%
Skew 25d4.0%3.1%5.1%3.3%4.8%
Skew 10d8.4%4.6%12.6%7.4%12.6%
Call IV 25d20.4%16.4%22.4%18.0%20.8%
Put IV 25d24.4%20.4%26.8%21.3%25.6%
Bid-Ask Spread %78.1723.0592.2992.2984.75
Gamma HHI0.310.210.390.220.34
Net GEX-4.9M-6.0M-3.5M-4.5M-3.9M
Net DEX38.5M11.0M73.1M26.8M24.0M
Net VEX-289.8K-312.6K-257.3K-312.6K-277.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.501.717.322.171.81
Total Volume1,277.5246162,1731,409616
Total OI12,504.33311,36313,23512,38012,984

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$228.44$230.0018.2%5.2%18.5%5.2%22.5%3.3%2.3%-4.5M26.8M-312.6K2.1792.29N/AN/A4449652,4909,890
2016-09-02$230.18$230.0016.7%4.8%18.3%0.1%17.3%4.1%3.6%-4.0M17.1M-301.9K2.1223.05N/AN/A5081,0762,7049,915
2016-09-06$230.24$230.0018.5%5.9%18.2%6.2%20.8%3.9%-0.7%-3.5M11.0M-272.5K1.9579.00N/AN/A5109942,7489,902
2016-09-07$227.50$230.0018.6%5.8%18.8%6.6%22.0%3.5%-0.3%-4.5M25.1M-288.0K3.7279.77N/AN/A2569522,7569,922
2016-09-08$229.41$230.0018.5%5.8%18.9%6.4%23.2%3.5%-0.0%-4.5M20.4M-280.3K7.3262.94N/AN/A2111,5452,7239,947
2016-09-09$223.35$230.0022.4%6.3%14.2%19.5%22.1%4.1%-1.4%-4.9M41.7M-298.5K5.9278.08N/AN/A3141,8592,7289,751
2016-09-12$224.01$230.0024.5%6.3%14.3%26.7%21.2%4.3%-2.0%-5.2M39.4M-277.5K2.5078.08N/AN/A5181,2962,7129,979
2016-09-13$222.35$230.0026.4%6.7%14.0%33.2%23.1%4.0%-2.6%-6.0M48.9M-292.4K5.2579.61N/AN/A2531,3282,97610,259
2016-09-14$223.84$230.0022.5%6.5%14.3%20.0%23.3%4.4%-1.6%-5.5M44.7M-277.9K5.9176.42N/AN/A2301,3592,98710,183
2016-09-15$227.77$230.0020.8%6.0%15.8%14.3%20.7%4.0%-1.0%-4.1M23.9M-257.3K5.0480.52N/AN/A2661,3403,00410,192
2016-09-16$218.36$230.0022.6%6.5%21.6%20.2%23.6%4.3%-1.4%-4.6M73.1M-286.6K3.9479.18N/AN/A3921,5462,98710,197
2016-09-19$220.84$230.0023.0%6.6%22.1%21.6%23.7%4.1%-0.4%-4.6M40.6M-294.7K4.8380.04N/AN/A1939332,1019,262
2016-09-20$217.06$230.0023.4%6.7%22.8%22.8%23.9%3.9%-0.8%-5.3M49.1M-300.9K2.8882.58N/AN/A1704902,2099,329
2016-09-21$218.72$230.0022.0%6.3%23.1%18.3%22.7%3.4%-0.1%-5.4M44.8M-297.4K3.5483.58N/AN/A1585602,2629,540
2016-09-22$220.80$230.0022.2%6.4%23.4%19.0%22.4%3.1%-0.1%-4.8M38.9M-293.5K2.1186.27N/AN/A2906122,2889,592
2016-09-23$216.72$230.0022.2%6.4%24.1%18.8%23.2%3.2%-0.3%-5.6M49.8M-297.0K2.7783.93N/AN/A2135892,3719,627
2016-09-26$216.52$230.0023.1%6.6%23.8%22.1%24.5%4.8%-0.7%-5.7M51.1M-291.3K1.7182.85N/AN/A2454182,3949,692
2016-09-27$218.33$230.0023.4%6.7%23.9%23.1%24.3%5.1%-1.0%-5.4M47.4M-292.4K4.6283.95N/AN/A2811,2992,4389,759
2016-09-28$219.00$230.0023.3%6.7%23.9%22.7%22.9%4.7%-0.9%-5.9M50.1M-301.8K1.7582.37N/AN/A3486092,43310,496
2016-09-29$221.02$220.0024.1%6.9%23.8%25.3%24.6%4.3%-1.2%-5.0M39.9M-293.2K1.7282.31N/AN/A2364062,52710,335
2016-09-30$225.73$220.0021.9%6.3%25.0%17.8%22.2%4.8%-1.1%-3.9M24.0M-277.0K1.8184.75N/AN/A2193972,56610,418