GWW Options History — January 2017

In January 2017, GWW traded between $230.24 and $256.40. ATM implied volatility averaged 22.1%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 6.8% (HV 20d: 15.3%). Max pain ranged from $220.00 to $240.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 3.29.

Notable Days

  • 2017-01-24: Highest Volume — 4,585 contracts
  • 2017-01-11: Largest IV spike — 16.3% change
  • 2017-01-18: Highest IV Rank — 35.0%
  • 2017-01-05: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$242.43$230.24$256.40$234.09$252.89
Max Pain$238.00$220.00$240.00$220.00$240.00
ATM IV22.1%19.5%24.7%21.7%21.6%
Expected Move6.6%5.6%7.2%6.2%6.2%
HV 20d15.3%12.2%17.5%12.2%15.7%
HV 60d20.3%18.9%22.5%22.4%18.9%
IV Rank23.3%12.3%35.0%20.7%21.7%
IV Percentile49.5%24.6%76.6%42.5%44.8%
Term Structure-0.7%-2.2%4.1%3.1%-0.8%
VWIV24.1%21.8%26.5%24.0%22.7%
Skew 25d3.5%2.6%5.1%3.2%3.5%
Skew 10d7.2%2.6%12.1%10.5%4.9%
Call IV 25d21.9%19.1%23.9%20.9%19.5%
Put IV 25d25.4%22.1%28.1%24.1%23.0%
Bid-Ask Spread %85.8979.9690.8487.6089.71
Gamma HHI0.230.140.320.280.14
Net GEX-738.5K-2.2M1.2M-1.8M-1.3M
Net DEX-2.0M-30.3M17.8M12.8M-1.6M
Net VEX-269.4K-298.0K-233.3K-276.9K-291.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.290.909.829.825.79
Total Volume1,814.656234,5851,2881,365
Total OI11,775.97,10113,88712,12410,282

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$234.09$220.0021.7%6.2%12.2%20.7%24.0%3.2%3.1%-1.8M12.8M-276.9K9.8287.60N/AN/A1191,1692,4089,716
2017-01-04$236.25$220.0019.9%5.7%12.5%13.4%22.9%3.1%4.1%-1.5M8.5M-274.3K7.0488.44N/AN/A1671,1752,3929,714
2017-01-05$232.21$240.0020.8%7.2%13.9%16.9%23.8%4.2%-1.5%-1.0M7.2M-249.2K2.8585.23N/AN/A4111,1712,3909,719
2017-01-06$231.79$240.0020.0%7.0%13.7%13.5%23.3%3.2%-1.2%-1.9M14.6M-298.0K2.9684.85N/AN/A3951,1712,58110,485
2017-01-09$230.24$240.0020.8%7.0%13.5%16.7%24.2%3.8%-1.2%-2.2M17.8M-283.9K2.7184.39N/AN/A4281,1602,58010,485
2017-01-10$230.68$240.0020.7%7.1%13.5%16.3%25.7%3.4%-1.2%-1.8M16.3M-279.4K6.2881.51N/AN/A1811,1372,59710,486
2017-01-11$235.87$240.0024.0%6.9%15.5%30.0%26.1%4.0%-0.8%-855.4K4.5M-274.1K4.6987.17N/AN/A2491,1692,59710,485
2017-01-12$236.42$240.0024.0%6.9%15.4%31.8%25.3%3.7%-1.0%-66.6K-1.5M-256.9K1.5086.73N/AN/A7791,1672,56610,478
2017-01-13$237.21$240.0023.6%6.8%15.1%30.5%24.7%4.6%-0.6%322.1K-2.9M-274.3K1.6387.06N/AN/A7141,1612,97510,472
2017-01-17$240.34$240.0024.2%6.9%15.6%32.8%24.4%5.1%-1.3%1.2M-13.0M-264.2K1.0288.14N/AN/A1,1281,1532,99310,472
2017-01-18$244.55$240.0024.7%7.1%16.6%35.0%24.1%3.3%-2.2%1.1M-27.2M-233.3K0.9079.96N/AN/A1,5421,3893,06310,472
2017-01-19$244.33$240.0024.6%7.1%16.4%34.7%25.2%3.9%-2.0%763.5K-25.8M-247.5K1.4583.39N/AN/A9131,3263,32910,538
2017-01-20$246.30$240.0022.3%6.4%16.5%24.7%24.8%3.8%-0.9%-556.1K-30.3M-235.8K1.3383.06N/AN/A9871,3133,34310,544
2017-01-23$246.14$240.0023.1%6.6%16.5%28.2%26.5%3.7%-2.2%-462.3K757.0K-243.2K2.9383.73N/AN/A7222,1181,7775,324
2017-01-24$249.52$240.0023.3%6.7%17.0%28.7%25.0%2.8%-2.2%-621.0K1.1M-281.6K3.4681.56N/AN/A1,0293,5561,8326,347
2017-01-25$252.58$240.0021.3%6.1%17.1%20.3%22.0%2.8%-1.0%-1.4M-192.9K-293.0K3.9389.28N/AN/A3761,4781,9567,803
2017-01-26$256.18$240.0019.8%5.7%17.5%13.9%21.8%2.7%-0.2%-835.6K-8.8M-274.1K1.4787.39N/AN/A2914282,0787,898
2017-01-27$256.40$240.0019.5%5.6%15.4%12.3%22.0%3.0%-0.2%-854.6K-7.8M-281.3K1.6787.75N/AN/A2373962,1588,001
2017-01-30$254.60$240.0021.9%6.3%15.8%22.9%23.2%2.6%-1.3%-1.0M-5.4M-276.3K2.4490.84N/AN/A1814422,1798,003
2017-01-31$252.89$240.0021.6%6.2%15.7%21.7%22.7%3.5%-0.8%-1.3M-1.6M-291.3K5.7989.71N/AN/A2011,1642,1758,107