GWW Options History — November 2016

In November 2016, GWW traded between $203.67 and $231.32. ATM implied volatility averaged 23.8%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.3% (HV 20d: 25.1%). 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 4 of 21 days. Put/call ratio averaged 3.95.

Notable Days

  • 2016-11-11: Highest Volume — 7,373 contracts
  • 2016-11-28: Largest IV spike — 15.6% change
  • 2016-11-03: Highest IV Rank — 41.2%
  • 2016-11-14: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$219.08$203.67$231.32$204.96$231.32
Max Pain$215.71$210.00$220.00$210.00$220.00
ATM IV23.8%19.4%26.8%25.8%23.2%
Expected Move6.6%5.6%7.5%7.4%6.7%
HV 20d25.1%23.0%28.9%24.9%24.4%
HV 60d24.0%21.2%25.5%23.2%25.5%
IV Rank29.1%11.1%41.2%37.3%26.7%
IV Percentile60.0%21.8%86.5%77.8%57.9%
Term Structure-0.8%-2.6%0.6%-2.6%-1.5%
VWIV25.6%20.3%31.2%25.4%26.3%
Skew 25d3.9%2.3%4.6%4.5%3.4%
Skew 10d8.5%5.1%12.5%7.2%12.5%
Call IV 25d21.8%19.3%24.0%22.6%22.7%
Put IV 25d25.6%22.7%28.2%27.1%26.1%
Bid-Ask Spread %80.9772.4189.1685.6987.06
Gamma HHI0.270.170.400.350.17
Net GEX-2.4M-4.8M-667.8K-3.2M-770.5K
Net DEX22.2M-12.8M58.8M52.1M-12.8M
Net VEX-237.2K-267.3K-198.9K-235.0K-198.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.950.7811.304.982.76
Total Volume2,541.6199447,3731,4521,615
Total OI11,426.6198,69615,0748,6969,850

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$204.96$210.0025.8%7.4%24.9%37.3%25.4%4.5%-2.6%-3.2M52.1M-235.0K4.9885.69N/AN/A2431,2092,3436,353
2016-11-02$204.13$210.0025.7%7.4%24.1%36.6%24.8%4.6%-2.3%-3.9M57.9M-251.4K3.5186.72N/AN/A2759652,3907,026
2016-11-03$203.67$210.0026.8%6.8%23.3%41.2%25.6%4.5%-0.2%-3.8M58.8M-252.0K4.2473.00N/AN/A2269582,4277,095
2016-11-04$205.29$210.0025.4%6.6%23.5%35.5%26.3%4.0%0.0%-3.8M53.0M-257.3K2.6072.41N/AN/A3871,0082,4467,159
2016-11-07$209.35$210.0026.7%6.4%25.0%40.7%28.1%4.4%-0.3%-3.4M43.3M-255.9K0.7876.83N/AN/A8076272,5907,266
2016-11-08$211.92$210.0026.0%6.5%23.6%37.9%28.6%3.8%-0.3%-2.0M26.0M-260.7K1.3479.87N/AN/A1,3431,7933,1037,296
2016-11-09$219.48$210.0023.3%6.7%26.8%26.8%25.8%4.2%-0.9%-1.5M21.9M-237.7K1.2275.37N/AN/A1,6301,9874,0628,348
2016-11-10$227.26$210.0023.5%6.7%28.2%27.9%29.9%3.9%-1.2%-667.8K-2.7M-234.1K5.7974.11N/AN/A4942,8604,4148,482
2016-11-11$226.11$210.0024.3%7.0%28.3%31.2%25.7%4.2%-1.5%-2.3M14.3M-250.2K4.3277.49N/AN/A1,3875,9864,6219,631
2016-11-14$222.99$220.0026.0%7.5%28.9%38.2%28.2%4.2%-1.9%-3.0M26.6M-267.3K11.3076.27N/AN/A4635,2314,78310,198
2016-11-15$223.86$220.0025.1%7.2%23.1%34.2%29.2%4.3%-1.5%-3.3M27.2M-260.8K6.2281.33N/AN/A5083,1604,70710,367
2016-11-16$224.96$220.0024.6%7.0%23.0%32.1%31.2%4.2%-1.4%-3.0M8.8M-250.8K9.9483.56N/AN/A3053,0334,89810,020
2016-11-17$220.46$220.0024.1%6.9%24.7%30.2%28.6%4.0%-0.9%-4.8M25.8M-248.9K8.5578.11N/AN/A3663,1284,8889,969
2016-11-18$217.72$220.0021.7%6.2%25.0%20.5%23.6%4.1%-0.1%-2.4M51.3M-243.9K5.7575.44N/AN/A5733,2954,94210,019
2016-11-21$222.02$220.0021.6%6.2%25.7%20.2%22.3%3.7%-0.1%-2.2M12.1M-226.7K1.2281.36N/AN/A4325262,4716,995
2016-11-22$224.98$220.0021.6%6.2%25.3%20.0%20.3%2.6%0.0%-1.5M336.3K-208.2K1.9285.27N/AN/A3847362,5777,030
2016-11-23$224.47$220.0021.4%6.1%24.5%19.3%20.9%3.4%0.2%-1.5M479.4K-212.8K1.1585.41N/AN/A7678792,6807,112
2016-11-25$225.77$220.0019.4%5.6%24.2%11.1%20.8%3.6%0.6%-1.3M2.0M-221.1K1.1388.46N/AN/A7678692,6837,098
2016-11-28$223.50$220.0022.4%6.4%24.7%23.4%23.0%3.1%-0.5%-1.5M2.2M-204.2K1.5387.36N/AN/A4777312,6837,102
2016-11-29$226.39$220.0021.4%6.1%24.9%19.3%22.4%2.3%-1.0%-1.1M-3.0M-202.4K2.6789.16N/AN/A2576872,7317,104
2016-11-30$231.32$220.0023.2%6.7%24.4%26.7%26.3%3.4%-1.5%-770.5K-12.8M-198.9K2.7687.06N/AN/A4301,1852,7447,106