GWW Options History — July 2017

In July 2017, GWW traded between $161.88 and $185.15. ATM implied volatility averaged 28.6%, placing in the 54.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 1.1% (HV 20d: 29.7%). Max pain ranged from $170.00 to $185.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.50.

Notable Days

  • 2017-07-19: Highest Volume — 18,332 contracts
  • 2017-07-12: Largest IV drop — 30.0% change
  • 2017-07-06: Highest IV Rank — 100.0%
  • 2017-07-17: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$171.88$161.88$185.15$185.15$166.88
Max Pain$174.25$170.00$185.00$180.00$170.00
ATM IV28.6%22.3%41.8%29.9%24.1%
Expected Move7.6%6.4%9.0%8.6%6.9%
HV 20d29.7%21.5%36.7%24.3%35.8%
HV 60d27.1%21.2%32.0%31.1%26.5%
IV Rank54.0%22.4%100.0%80.6%29.7%
IV Percentile85.0%57.1%100.0%98.8%72.6%
Term Structure-1.7%-4.9%2.4%-4.0%-1.4%
VWIV27.5%23.6%33.3%30.7%24.1%
Skew 25d4.1%3.4%5.0%4.8%4.4%
Skew 10d8.6%6.3%12.0%11.7%9.6%
Call IV 25d25.0%20.9%30.2%28.1%21.8%
Put IV 25d29.2%24.7%34.4%32.8%26.2%
Bid-Ask Spread %34.7716.0175.4075.4016.17
Gamma HHI0.180.130.570.150.14
Net GEX-2.4M-13.7M-252.9K-252.9K-999.2K
Net DEX115.8M44.1M236.6M44.1M113.4M
Net VEX-419.5K-505.2K-306.0K-505.2K-421.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.213.160.210.73
Total Volume3,989.51,31918,3324,7101,319
Total OI25,872.6519,72841,09922,78422,346

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$185.15$180.0029.9%8.6%24.3%80.6%30.7%4.8%-4.0%-252.9K44.1M-505.2K0.2175.40N/AN/A3,8928188,93913,845
2017-07-05$184.58$185.0029.9%8.6%22.4%80.1%31.8%4.3%-4.9%-329.6K57.8M-494.7K1.5158.69N/AN/A6599968,91214,178
2017-07-06$180.66$175.0034.1%7.7%24.0%100.0%27.1%3.4%-1.4%-922.6K77.3M-495.4K2.1535.77N/AN/A6581,4159,03114,244
2017-07-07$179.61$175.0034.3%7.7%24.1%100.0%27.4%4.1%-1.6%-1.3M84.7M-486.1K1.0418.96N/AN/A7247569,20314,594
2017-07-10$178.43$175.0038.1%7.9%21.8%100.0%27.9%3.9%-2.4%-1.4M91.5M-466.2K0.2252.25N/AN/A3,4027539,38214,625
2017-07-11$176.48$180.0041.8%8.2%21.5%100.0%28.7%3.7%-2.7%-1.8M99.2M-449.3K2.6638.09N/AN/A8042,1379,29914,713
2017-07-12$169.33$180.0029.3%8.4%25.8%50.1%30.0%4.2%-2.9%-3.4M145.0M-387.1K0.5336.51N/AN/A3,6951,9569,31815,279
2017-07-13$170.50$175.0029.6%8.5%26.0%51.3%30.4%4.2%-3.1%-2.3M132.5M-407.2K2.1618.38N/AN/A7421,60310,77215,680
2017-07-14$172.37$175.0029.0%8.3%26.4%49.3%30.3%4.4%-2.4%-2.0M121.1M-428.3K1.6639.59N/AN/A9691,61010,85616,117
2017-07-17$171.61$175.0031.5%9.0%25.8%58.9%32.6%4.6%-3.8%-2.0M122.3M-412.1K2.1733.02N/AN/A1,3532,94111,06516,399
2017-07-18$174.05$175.0031.0%8.9%26.4%57.1%33.3%4.2%-3.7%-2.2M113.0M-429.5K2.1424.47N/AN/A2,6725,72211,52817,571
2017-07-19$161.88$175.0026.2%7.5%35.3%37.8%26.4%3.4%0.2%-8.7M236.6M-306.0K0.8059.49N/AN/A10,1848,14813,15020,881
2017-07-20$165.95$170.0023.7%6.8%36.7%28.0%24.2%3.9%1.4%-4.1M181.1M-379.6K1.0530.48N/AN/A2,1102,22118,64522,026
2017-07-21$164.97$170.0022.4%6.4%36.7%23.1%23.6%3.6%2.4%-13.7M197.2M-360.8K1.2126.52N/AN/A2,3442,82818,80322,296
2017-07-24$166.92$170.0023.9%6.9%36.1%28.8%23.6%4.5%-1.5%-725.9K96.8M-367.2K0.9816.01N/AN/A9128986,84212,886
2017-07-25$169.04$170.0022.3%6.4%36.3%22.4%25.0%3.8%-0.2%-351.3K86.6M-397.6K1.6421.12N/AN/A8551,3987,05413,282
2017-07-26$166.25$170.0023.7%6.8%36.3%28.1%23.8%4.2%-0.9%-536.9K97.8M-379.6K1.2446.05N/AN/A6988637,26713,211
2017-07-27$167.50$170.0023.6%6.8%36.2%27.5%24.3%4.1%-1.4%-531.0K98.4M-396.4K3.1624.36N/AN/A6131,9357,33813,650
2017-07-28$165.40$170.0023.3%6.7%35.9%26.4%24.8%5.0%-0.5%-1.4M119.4M-419.4K2.7623.99N/AN/A5811,6067,36714,859
2017-07-31$166.88$170.0024.1%6.9%35.8%29.7%24.1%4.4%-1.4%-999.2K113.4M-421.8K0.7316.17N/AN/A7625577,40414,942