GWW Options History — October 2016

In October 2016, GWW traded between $202.81 and $228.05. ATM implied volatility averaged 24.8%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.6% (HV 20d: 25.4%). Max pain ranged from $210.00 to $220.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 2.42.

Notable Days

  • 2016-10-18: Highest Volume — 2,476 contracts
  • 2016-10-12: Largest IV drop — 24.2% change
  • 2016-10-11: Highest IV Rank — 56.2%
  • 2016-10-04: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$213.71$202.81$228.05$226.70$208.33
Max Pain$216.19$210.00$220.00$220.00$210.00
ATM IV24.8%20.8%33.2%23.2%22.9%
Expected Move6.8%6.0%7.8%6.7%6.6%
HV 20d25.4%22.0%26.8%24.9%25.1%
HV 60d22.0%20.3%23.1%21.2%22.9%
IV Rank30.4%16.8%56.2%22.3%25.6%
IV Percentile63.3%29.4%96.4%57.5%54.8%
Term Structure-1.9%-3.6%-0.1%-1.5%-1.5%
VWIV24.6%21.6%27.0%23.9%27.0%
Skew 25d4.3%3.3%6.0%5.4%4.4%
Skew 10d8.9%6.2%12.3%12.3%9.2%
Call IV 25d22.2%20.3%24.6%21.7%21.5%
Put IV 25d26.5%23.9%29.2%27.2%25.9%
Bid-Ask Spread %78.7367.0087.4287.4286.04
Gamma HHI0.370.310.480.330.35
Net GEX-5.4M-11.7M-3.1M-3.7M-3.1M
Net DEX57.4M16.5M120.8M19.9M42.0M
Net VEX-241.3K-276.8K-206.9K-263.8K-236.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.695.652.901.68
Total Volume992.1436942,476699805
Total OI12,083.4297,46914,87713,1118,473

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$226.70$220.0023.2%6.7%24.9%22.3%23.9%5.4%-1.5%-3.7M19.9M-263.8K2.9087.42N/AN/A1795202,56710,544
2016-10-04$222.52$220.0027.0%7.8%25.6%35.4%24.7%3.6%-2.9%-4.7M33.6M-276.8K4.2686.34N/AN/A1325622,60410,458
2016-10-05$225.37$220.0025.1%7.2%25.8%28.7%25.4%4.6%-2.4%-3.9M23.7M-262.0K3.1087.30N/AN/A1805582,61510,482
2016-10-06$228.05$220.0025.8%6.5%26.0%31.2%24.5%4.4%-1.5%-3.2M16.5M-262.2K2.8479.88N/AN/A1825172,63210,514
2016-10-07$224.65$220.0029.4%7.1%24.7%43.6%25.0%4.5%-2.6%-4.1M26.0M-265.0K1.4767.00N/AN/A3535202,67210,632
2016-10-10$223.63$220.0031.9%7.2%24.8%51.8%25.3%4.7%-3.1%-3.9M25.4M-246.1K1.6272.75N/AN/A3235242,81210,624
2016-10-11$217.09$220.0033.2%7.3%26.8%56.2%26.1%4.7%-3.0%-6.2M55.4M-270.6K1.9570.80N/AN/A2885622,92910,651
2016-10-12$218.24$220.0025.1%7.2%26.8%28.9%26.2%6.0%-3.1%-5.9M46.1M-254.5K2.5274.99N/AN/A1995012,94710,737
2016-10-13$213.66$220.0026.0%7.5%26.7%38.1%26.2%3.5%-2.8%-7.6M67.5M-264.2K1.7170.07N/AN/A2744692,97710,752
2016-10-14$214.53$220.0026.4%7.6%22.5%39.8%26.9%4.4%-3.4%-7.5M67.4M-254.5K1.9070.84N/AN/A2594923,05410,704
2016-10-17$214.85$220.0026.8%7.7%22.0%41.2%27.0%4.2%-3.6%-7.4M61.3M-234.6K5.6574.35N/AN/A3061,7283,05710,731
2016-10-18$205.47$220.0021.8%6.3%26.4%21.1%23.7%4.4%-0.9%-11.7M113.2M-213.4K2.0577.70N/AN/A8131,6633,05410,901
2016-10-19$205.33$220.0021.8%6.2%26.1%20.7%24.1%4.6%-1.0%-11.3M120.0M-227.3K2.7980.79N/AN/A3038453,34511,272
2016-10-20$205.46$210.0021.7%6.2%25.7%20.7%23.6%3.7%-1.1%-8.6M120.8M-218.0K2.1582.35N/AN/A3196873,42211,402
2016-10-21$204.07$210.0023.0%6.6%25.1%25.8%21.6%4.6%-0.8%-3.3M120.3M-206.9K4.0980.04N/AN/A2691,0993,48411,393
2016-10-24$204.94$210.0023.6%6.8%25.2%28.2%23.1%4.0%-1.8%-3.6M53.7M-213.2K3.9675.94N/AN/A1726811,5285,941
2016-10-25$202.81$210.0022.5%6.5%25.0%23.8%23.6%4.1%-0.6%-3.7M58.4M-208.8K1.2078.41N/AN/A4715641,5875,963
2016-10-26$207.55$210.0020.8%6.0%26.7%16.8%22.4%3.9%-0.1%-3.4M45.8M-222.1K0.6982.72N/AN/A5804001,8095,999
2016-10-27$206.31$210.0020.9%6.0%26.3%17.5%24.2%3.3%-0.5%-3.2M47.1M-231.0K0.8684.54N/AN/A4233652,1216,058
2016-10-28$208.34$210.0021.7%6.2%25.2%20.7%22.9%3.6%-0.8%-3.1M41.5M-237.1K1.5383.07N/AN/A2964522,1876,118
2016-10-31$208.33$210.0022.9%6.6%25.1%25.6%27.0%4.4%-1.5%-3.1M42.0M-236.3K1.6886.04N/AN/A3005052,2196,254