GWW Options History — September 2017

In September 2017, GWW traded between $161.29 and $180.92. ATM implied volatility averaged 31.2%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 8.7% (HV 20d: 22.4%). Max pain ranged from $160.00 to $180.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.47.

Notable Days

  • 2017-09-22: Highest Volume — 12,521 contracts
  • 2017-09-05: Largest IV spike — 18.7% change
  • 2017-09-29: Highest IV Rank — 100.0%
  • 2017-09-29: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$171.14$161.29$180.92$163.81$179.65
Max Pain$169.00$160.00$180.00$160.00$180.00
ATM IV31.2%22.5%43.9%22.5%43.9%
Expected Move9.4%6.4%12.6%6.4%12.6%
HV 20d22.4%15.3%26.0%26.0%15.4%
HV 60d27.7%26.8%28.5%28.5%26.8%
IV Rank56.5%23.2%100.0%23.2%100.0%
IV Percentile89.1%52.0%100.0%52.0%100.0%
Term Structure-4.4%-10.5%5.9%5.9%-10.5%
VWIV32.2%23.6%43.5%23.6%43.5%
Skew 25d3.8%2.6%4.9%2.6%3.6%
Skew 10d8.6%5.8%11.0%6.8%7.6%
Call IV 25d31.2%21.9%42.6%21.9%42.6%
Put IV 25d34.9%24.4%46.2%24.4%46.2%
Bid-Ask Spread %33.1314.4971.4357.7939.59
Gamma HHI0.180.110.280.240.12
Net GEX4.1M915.6K8.3M3.1M1.6M
Net DEX-20.5M-79.3M34.9M24.6M-40.4M
Net VEX-618.4K-897.7K-396.9K-396.9K-897.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.167.540.411.62
Total Volume4,950.351,86812,5215,6273,728
Total OI33,090.721,74145,19021,74145,190

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$163.81$160.0022.5%6.4%26.0%23.2%23.6%2.6%5.9%3.1M24.6M-396.9K0.4157.79N/AN/A3,9961,63110,66611,075
2017-09-05$161.29$170.0026.7%8.8%26.0%39.9%28.3%4.8%-3.9%3.4M34.9M-433.9K0.2815.82N/AN/A4,7541,35213,73911,580
2017-09-06$163.84$165.0024.4%8.5%25.9%29.6%28.6%4.9%-3.3%4.9M13.6M-488.9K0.6823.94N/AN/A1,7811,21215,79411,683
2017-09-07$162.41$165.0025.7%8.7%25.7%34.5%27.9%4.5%-3.3%4.2M24.1M-477.4K1.6930.96N/AN/A7221,22315,93211,701
2017-09-08$164.85$165.0023.1%8.6%25.7%24.3%29.5%4.1%-3.8%6.0M7.0M-487.9K1.4616.27N/AN/A8411,23216,01311,843
2017-09-11$164.58$165.0025.7%8.5%25.6%34.6%31.1%4.3%-3.6%6.8M7.2M-476.1K1.7642.83N/AN/A8021,41216,18711,960
2017-09-12$166.17$165.0025.7%8.7%25.3%34.9%30.4%4.8%-4.3%7.2M-6.4M-482.5K1.1339.19N/AN/A1,0021,13016,25512,442
2017-09-13$168.56$165.0028.7%8.2%25.6%47.0%29.8%3.0%-3.2%8.3M-38.6M-480.0K1.1625.35N/AN/A1,4231,64516,39412,605
2017-09-14$169.16$165.0028.8%8.2%25.5%47.1%29.2%3.3%-2.9%8.1M-39.1M-485.2K1.0117.82N/AN/A92894016,92913,286
2017-09-15$168.87$165.0029.2%8.4%25.6%48.8%28.1%3.4%-4.2%1.7M-29.8M-471.0K0.2248.47N/AN/A4,9571,10816,88413,363
2017-09-18$170.70$165.0030.5%8.7%24.8%54.0%30.0%2.6%-2.6%4.4M-26.2M-526.3K3.1771.43N/AN/A2,0796,58915,48811,194
2017-09-19$170.66$170.0030.5%8.8%23.4%54.3%31.3%3.0%-2.9%915.6K20.2M-637.7K1.3818.01N/AN/A2,2693,12215,71616,756
2017-09-20$175.10$170.0032.9%9.4%22.2%64.1%31.4%4.5%-3.8%2.1M-26.5M-744.8K0.3045.16N/AN/A5,8091,75417,35518,734
2017-09-21$175.64$170.0033.4%9.6%21.1%65.9%31.4%4.2%-4.5%4.2M-43.3M-813.7K0.2922.00N/AN/A4,2691,25921,97019,126
2017-09-22$176.78$170.0035.3%10.1%18.8%73.6%34.5%3.7%-5.5%3.6M-49.2M-815.5K0.1616.50N/AN/A10,8111,71020,59019,430
2017-09-25$178.79$175.0036.7%10.5%18.9%79.4%36.0%4.0%-6.9%2.8M-53.6M-782.2K1.2963.45N/AN/A1,0721,38819,20919,725
2017-09-26$180.90$175.0036.6%10.5%15.3%78.8%37.0%3.6%-6.7%3.9M-79.3M-772.5K7.5427.93N/AN/A1,0557,95519,57919,827
2017-09-27$180.92$175.0041.2%11.8%15.5%97.7%41.0%3.3%-8.9%2.6M-66.0M-816.7K2.4025.63N/AN/A2,0554,93319,83621,155
2017-09-28$180.06$180.0041.6%11.9%15.9%99.3%41.0%3.4%-9.4%1.4M-43.1M-880.5K1.3814.49N/AN/A1,2841,77521,03423,569
2017-09-29$179.65$180.0043.9%12.6%15.4%100.0%43.5%3.6%-10.5%1.6M-40.4M-897.7K1.6239.59N/AN/A1,4222,30621,57623,614