GWW Options History — November 2017

In November 2017, GWW traded between $195.44 and $221.44. ATM implied volatility averaged 27.3%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 10.2% (HV 20d: 37.5%). Max pain ranged from $195.00 to $200.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2017-11-10: Highest Volume — 27,819 contracts
  • 2017-11-10: Largest IV drop — 17.6% change
  • 2017-11-01: Highest IV Rank — 40.2%
  • 2017-11-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$202.76$195.44$221.44$195.65$221.44
Max Pain$199.76$195.00$200.00$195.00$200.00
ATM IV27.3%23.4%34.8%34.8%24.4%
Expected Move7.9%6.8%11.6%11.6%7.7%
HV 20d37.5%20.9%54.3%53.6%26.1%
HV 60d34.7%33.9%35.8%34.9%34.8%
IV Rank23.2%14.3%40.2%40.2%16.6%
IV Percentile71.0%53.2%91.3%91.3%60.7%
Term Structure-0.7%-3.2%1.3%-0.8%-0.7%
VWIV28.4%24.5%38.6%38.6%27.2%
Skew 25d4.1%2.8%5.6%5.3%3.8%
Skew 10d9.5%6.8%13.7%12.1%9.1%
Call IV 25d25.9%22.0%33.2%31.8%23.6%
Put IV 25d29.9%25.4%37.2%37.0%27.3%
Bid-Ask Spread %18.9011.9342.6820.2628.75
Gamma HHI0.160.090.750.110.20
Net GEX-385.6K-79.0M25.4M-9.1M25.4M
Net DEX-92.3M-368.6M38.9M38.9M-368.6M
Net VEX-887.9K-1.1M-763.5K-1.1M-878.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.251.460.680.35
Total Volume9,7653,17327,8196,35110,429
Total OI59,664.71442,49772,10465,01453,024

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$195.65$195.0034.8%11.6%53.6%40.2%38.6%5.3%-0.8%-9.1M38.9M-1.1M0.6820.26N/AN/A3,7812,57024,62240,392
2017-11-02$199.22$200.0033.9%8.6%53.8%38.1%32.5%3.8%-1.5%-11.1M-25.8M-1.1M0.6917.45N/AN/A3,8182,64524,71140,613
2017-11-03$199.93$200.0033.1%8.7%53.4%36.5%33.5%4.8%-2.1%-79.0M-41.4M-1.1M1.2015.87N/AN/A1,8072,17125,27840,863
2017-11-06$203.81$200.0030.6%8.7%53.2%30.8%30.7%5.1%0.1%861.0K-124.8M-981.8K1.4617.28N/AN/A1,3842,01424,64838,223
2017-11-07$205.16$200.0030.4%8.1%52.1%30.2%31.9%4.3%-2.6%1.4M-147.3M-953.4K1.4615.88N/AN/A1,2901,88324,89638,622
2017-11-08$207.98$200.0031.7%8.6%51.7%33.1%32.0%5.6%-2.1%2.7M-190.8M-928.1K0.2613.23N/AN/A12,1123,10425,07738,891
2017-11-09$206.59$200.0033.4%8.8%51.5%36.9%31.0%4.8%-3.2%3.2M-154.8M-949.6K0.5842.68N/AN/A7,1214,09927,98839,969
2017-11-10$203.72$200.0027.5%8.2%51.9%23.6%27.5%3.3%1.3%2.2M-139.7M-877.3K0.2818.96N/AN/A21,7066,11328,29741,224
2017-11-13$195.90$200.0026.0%7.4%54.3%20.1%26.4%4.7%-0.0%-7.0M10.5M-827.4K0.3419.22N/AN/A15,5765,26828,67338,773
2017-11-14$195.52$200.0026.2%7.5%30.5%20.6%27.2%4.3%-0.6%-3.7M-820.2K-879.2K0.3811.93N/AN/A13,4935,09432,88939,215
2017-11-15$195.44$200.0026.0%7.5%29.8%20.2%26.6%4.3%-0.3%-3.7M-3.8M-842.3K0.5312.27N/AN/A5,2002,74133,20938,409
2017-11-16$198.50$200.0024.4%7.0%29.7%16.6%25.1%4.2%0.2%-4.3M-83.6M-812.7K0.4815.53N/AN/A5,6902,74433,26037,982
2017-11-17$198.21$200.0024.5%7.0%29.1%16.8%25.3%2.8%-0.3%2.3M-83.5M-763.6K0.6721.50N/AN/A4,8403,24433,72237,917
2017-11-20$199.54$200.0023.4%6.8%29.0%14.4%24.5%3.6%-0.3%3.1M-14.5M-773.8K0.9013.17N/AN/A2,5892,34220,23322,264
2017-11-21$199.45$200.0023.4%6.9%22.1%14.3%24.8%3.9%-0.7%3.4M-17.0M-763.5K1.3416.09N/AN/A2,0352,72820,78822,562
2017-11-22$200.45$200.0024.1%7.0%22.0%15.8%26.7%4.2%-0.5%4.4M-25.4M-787.8K0.2914.50N/AN/A9,6112,74121,36022,941
2017-11-24$200.15$200.0024.1%7.1%20.9%15.8%25.1%3.3%-0.7%6.0M-35.2M-825.8K0.2522.09N/AN/A8,1082,01524,34523,400
2017-11-27$203.15$200.0023.7%7.2%21.3%15.0%25.9%3.4%-0.3%9.8M-67.5M-810.5K0.3713.90N/AN/A4,8711,80423,67522,884
2017-11-28$211.02$200.0023.7%7.4%25.0%14.9%26.9%3.1%-0.2%20.6M-179.2M-818.5K0.6020.60N/AN/A4,3142,59823,97923,111
2017-11-29$217.16$200.0024.6%7.7%26.2%17.1%26.9%3.3%-0.2%24.3M-284.0M-848.3K0.5725.67N/AN/A4,7072,66526,06423,966
2017-11-30$221.44$200.0024.4%7.7%26.1%16.6%27.2%3.8%-0.7%25.4M-368.6M-878.9K0.3528.75N/AN/A7,6982,73128,19624,828