GWW Options History — December 2016

In December 2016, GWW traded between $231.53 and $239.65. ATM implied volatility averaged 21.7%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.6% (HV 20d: 19.1%). Max pain ranged from $220.00 to $220.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.60.

Notable Days

  • 2016-12-15: Highest Volume — 3,178 contracts
  • 2016-12-14: Largest IV drop — 16.7% change
  • 2016-12-12: Highest IV Rank — 46.4%
  • 2016-12-02: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$236.51$231.53$239.65$237.56$231.53
Max Pain$220.00$220.00$220.00$220.00$220.00
ATM IV21.7%18.0%28.1%22.9%20.7%
Expected Move5.9%5.2%6.7%6.6%5.9%
HV 20d19.1%11.4%25.6%25.1%11.4%
HV 60d23.8%22.4%26.0%26.0%22.4%
IV Rank20.6%5.6%46.4%25.3%16.6%
IV Percentile41.7%6.7%89.3%54.4%31.0%
Term Structure2.5%-1.8%4.3%-1.8%4.0%
VWIV22.1%19.7%27.9%24.2%21.8%
Skew 25d3.0%1.7%3.9%1.7%3.2%
Skew 10d7.1%4.4%11.2%8.4%5.8%
Call IV 25d20.0%17.7%23.3%23.0%19.6%
Put IV 25d22.9%19.9%27.1%24.7%22.8%
Bid-Ask Spread %82.4371.8091.0888.0087.12
Gamma HHI0.240.180.270.180.27
Net GEX-516.6K-1.8M681.8K-140.4K-1.8M
Net DEX-12.6M-31.8M11.5M-26.9M11.5M
Net VEX-239.5K-295.1K-175.8K-182.8K-276.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.601.837.891.837.89
Total Volume1,7221,3233,1781,9211,414
Total OI11,938.04810,23714,58510,23711,989

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$237.56$220.0022.9%6.6%25.1%25.3%24.2%1.7%-1.8%-140.4K-26.9M-182.8K1.8388.00N/AN/A6791,2422,8587,379
2016-12-02$236.55$220.0023.4%6.7%25.2%27.6%27.9%3.8%-1.1%174.2K-26.6M-175.8K1.8591.08N/AN/A6001,1093,0787,540
2016-12-05$235.39$220.0025.7%6.4%25.6%36.9%24.8%3.4%1.3%326.4K-25.9M-179.2K2.5571.80N/AN/A4021,0273,2597,539
2016-12-06$236.02$220.0022.7%5.9%25.2%24.7%22.7%3.9%2.2%292.2K-23.1M-190.7K3.5078.78N/AN/A3461,2103,3187,604
2016-12-07$237.38$220.0023.1%6.0%25.1%26.3%19.7%3.4%2.5%681.8K-31.5M-178.1K4.5576.30N/AN/A2691,2233,3288,049
2016-12-08$238.88$220.0023.4%5.9%22.6%27.3%20.1%3.4%2.5%636.3K-31.8M-190.6K3.4176.86N/AN/A3291,1233,3358,072
2016-12-09$239.65$220.0024.4%5.9%19.4%31.4%20.6%2.8%2.4%404.3K-30.0M-199.6K5.2177.70N/AN/A3171,6513,2888,529
2016-12-12$236.87$220.0028.1%6.3%19.9%46.4%22.4%3.6%1.5%119.1K-23.0M-222.4K4.3179.93N/AN/A3881,6713,3559,203
2016-12-13$237.73$220.0024.8%6.0%19.0%33.1%23.1%3.6%2.2%325.7K-22.4M-224.6K2.6778.06N/AN/A6931,8513,3709,212
2016-12-14$235.49$220.0020.7%5.9%19.5%16.3%25.1%3.2%2.2%-601.3K-14.7M-254.3K4.4284.17N/AN/A3771,6653,30010,032
2016-12-15$234.55$220.0021.4%6.1%19.6%19.5%21.3%3.3%2.0%-1.2M-12.7M-246.1K5.7682.96N/AN/A4702,7083,26310,189
2016-12-16$234.69$220.0021.4%6.1%17.8%19.5%21.3%2.9%1.8%-1.5M-10.8M-295.1K3.2482.64N/AN/A4941,6003,38611,199
2016-12-19$236.93$220.0018.9%5.4%16.9%9.0%22.8%3.5%2.9%-1.3M2.3M-293.0K6.1584.48N/AN/A1991,2232,3009,404
2016-12-20$238.57$220.0018.6%5.3%16.0%7.9%20.7%2.7%3.4%-912.2K-4.1M-277.0K5.0586.67N/AN/A2381,2012,3479,461
2016-12-21$238.30$220.0018.0%5.2%15.6%5.6%19.8%2.0%4.2%-681.8K-5.3M-272.6K4.1086.70N/AN/A2911,1932,4049,467
2016-12-22$238.32$220.0018.1%5.2%15.5%5.7%20.7%2.8%4.3%-839.6K-3.0M-275.4K5.7184.56N/AN/A2071,1822,4049,472
2016-12-23$236.96$220.0018.6%5.3%15.8%7.8%20.7%2.1%4.0%-1.0M-457.3K-282.5K4.0782.98N/AN/A3071,2512,4009,474
2016-12-27$238.19$220.0019.3%5.5%15.1%10.7%20.8%2.4%3.9%-1.0M-535.3K-277.3K6.1783.64N/AN/A1901,1722,3909,549
2016-12-28$233.70$220.0021.0%6.0%16.6%17.7%22.6%1.9%4.0%-1.4M6.5M-269.0K7.0283.32N/AN/A1651,1582,3939,590
2016-12-29$233.50$220.0020.9%6.0%14.8%17.2%20.5%3.2%4.1%-1.4M7.4M-267.7K7.1983.22N/AN/A1621,1652,3999,571
2016-12-30$231.53$220.0020.7%5.9%11.4%16.6%21.8%3.2%4.0%-1.8M11.5M-276.2K7.8987.12N/AN/A1591,2552,4119,578