GWW Options History — March 2020

In March 2020, GWW traded between $208.65 and $294.18. ATM implied volatility averaged 59.3%, placing in the 85.5% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 5.1% (HV 20d: 64.4%). Max pain ranged from $300.00 to $320.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 4.52.

Notable Days

  • 2020-03-16: Highest Volume — 580 contracts
  • 2020-03-16: Largest IV spike — 26.0% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-16: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$254.49$208.65$294.18$285.79$251.53
Max Pain$306.82$300.00$320.00$300.00$300.00
ATM IV59.3%35.1%75.2%37.1%60.1%
Expected Move16.3%10.4%21.3%11.5%15.0%
HV 20d64.4%34.3%90.8%34.5%89.6%
HV 60d42.3%26.4%56.3%26.5%56.3%
IV Rank85.5%55.9%100.0%63.5%72.4%
IV Percentile97.3%77.8%100.0%90.5%95.2%
Term Structure-0.6%-6.2%6.2%-0.9%-1.8%
VWIV52.3%35.6%70.8%38.6%41.1%
Skew 25d14.6%6.0%19.9%6.0%15.0%
Skew 10d26.9%7.8%41.5%14.8%29.2%
Call IV 25d50.9%31.5%64.4%34.6%51.1%
Put IV 25d65.5%38.1%83.6%40.6%66.1%
Bid-Ask Spread %66.9326.7483.6426.7479.33
Gamma HHI0.080.070.120.090.07
Net GEX-965.3K-1.7M-696.2K-1.2M-872.9K
Net DEX56.3M26.6M80.2M38.1M54.3M
Net VEX-494.6K-618.0K-325.8K-571.5K-453.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.520.3324.141.113.50
Total Volume293.36453580169117
Total OI9,504.8188,84710,1349,5578,915

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$285.79$300.0037.1%11.5%34.5%63.5%38.6%6.0%-0.9%-1.2M38.1M-571.5K1.1126.74N/AN/A80893,7395,818
2020-03-03$288.22$300.0040.4%12.6%34.6%76.0%44.3%9.0%-0.2%-964.7K35.2M-584.8K5.6439.27N/AN/A734123,8105,839
2020-03-04$294.18$300.0035.1%10.4%34.9%55.9%35.6%6.7%-0.4%-750.8K26.6M-607.5K0.3333.51N/AN/A135443,8566,093
2020-03-05$289.93$320.0043.9%12.1%34.3%89.4%40.9%12.2%-1.6%-801.0K31.6M-618.0K1.9054.22N/AN/A841603,9316,111
2020-03-06$283.05$310.0049.9%13.6%34.9%100.0%45.9%12.2%-1.5%-1.1M41.6M-614.0K4.8062.69N/AN/A884223,9886,146
2020-03-09$258.76$310.0057.3%15.8%45.4%100.0%55.1%13.8%-1.7%-1.3M61.0M-541.5K9.7258.83N/AN/A323113,7955,919
2020-03-10$276.85$310.0047.1%13.3%52.6%72.3%44.6%14.7%-1.2%-1.2M44.8M-578.3K2.0959.03N/AN/A1282683,8195,906
2020-03-11$276.83$310.0052.2%14.0%52.1%86.1%48.7%11.9%-3.8%-1.0M41.8M-573.3K2.3178.51N/AN/A551273,9045,830
2020-03-12$247.60$310.0064.0%17.7%62.6%100.0%58.3%13.5%-2.8%-1.2M65.8M-506.6K6.2962.88N/AN/A623903,9175,901
2020-03-13$252.87$310.0059.7%16.9%63.6%90.1%59.4%16.5%-0.7%-1.7M67.0M-503.8K4.4066.61N/AN/A582553,9225,895
2020-03-16$234.18$310.0075.2%21.3%67.6%100.0%53.5%19.9%1.2%-880.8K70.1M-441.1K5.2470.01N/AN/A934873,6655,644
2020-03-17$241.34$310.0067.1%19.1%69.2%85.2%60.2%14.9%6.2%-989.2K70.4M-463.6K1.0967.90N/AN/A1161273,7165,876
2020-03-18$230.54$310.0074.1%21.2%70.1%97.9%70.8%15.1%3.6%-836.1K73.5M-442.0K24.1472.95N/AN/A143383,7795,927
2020-03-19$235.35$310.0070.6%20.0%70.6%91.7%55.9%16.8%3.8%-845.2K67.8M-457.0K9.8979.67N/AN/A373663,7885,844
2020-03-20$217.06$310.0069.4%19.5%74.5%89.5%56.2%16.1%5.1%-966.7K80.2M-345.9K4.0180.93N/AN/A672693,8055,785
2020-03-23$208.65$310.0075.0%20.5%75.0%99.7%62.3%19.3%-4.6%-736.1K77.6M-325.8K2.3373.89N/AN/A631473,4015,650
2020-03-24$235.65$310.0064.5%16.7%89.2%80.5%49.2%16.1%-1.9%-853.5K66.9M-432.6K4.9978.48N/AN/A773843,4165,667
2020-03-25$243.27$300.0068.0%18.2%90.4%86.9%62.2%16.1%-1.9%-696.2K58.2M-452.2K1.0778.89N/AN/A1041113,5395,483
2020-03-26$242.76$300.0066.0%16.6%90.3%83.3%58.9%19.9%-1.7%-757.2K60.3M-437.9K2.1582.46N/AN/A41883,5235,553
2020-03-27$249.17$300.0067.3%17.3%90.8%85.5%59.7%16.1%-6.2%-746.0K55.7M-463.7K1.1281.91N/AN/A25283,5435,601
2020-03-30$255.15$300.0061.0%15.5%89.7%74.1%50.3%18.5%0.8%-835.3K50.9M-465.6K1.2883.64N/AN/A36463,4165,431
2020-03-31$251.53$300.0060.1%15.0%89.6%72.4%41.1%15.0%-1.8%-872.9K54.3M-453.5K3.5079.33N/AN/A26913,4405,475