GWW Options History — September 2020

In September 2020, GWW traded between $339.56 and $370.72. ATM implied volatility averaged 28.7%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.7% (HV 20d: 23.0%). Max pain ranged from $300.00 to $350.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.66.

Notable Days

  • 2020-09-30: Highest Volume — 470 contracts
  • 2020-09-25: Largest IV drop — 16.8% change
  • 2020-09-08: Highest IV Rank — 25.5%
  • 2020-09-08: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$353.99$339.56$370.72$367.04$355.75
Max Pain$308.10$300.00$350.00$350.00$310.00
ATM IV28.7%24.8%34.5%24.8%25.7%
Expected Move8.2%7.1%9.3%7.1%7.4%
HV 20d23.0%12.6%26.8%13.0%26.6%
HV 60d23.8%22.8%25.0%24.4%22.8%
IV Rank15.0%7.8%25.5%7.8%9.5%
IV Percentile38.6%26.2%62.3%26.2%29.4%
Term Structure5.2%1.3%9.5%3.0%9.5%
VWIV28.7%24.5%33.5%26.1%26.6%
Skew 25d5.9%2.7%7.0%2.7%6.5%
Skew 10d14.2%9.2%24.2%9.2%16.1%
Call IV 25d26.2%24.3%29.7%24.8%24.3%
Put IV 25d32.1%27.5%35.7%27.5%30.8%
Bid-Ask Spread %86.3181.6990.7987.2589.69
Gamma HHI0.100.090.160.090.09
Net GEX68.2K-1.0M690.1K690.1K249.6K
Net DEX-37.4M-56.0M-20.0M-54.0M-40.3M
Net VEX-343.5K-385.0K-304.5K-357.4K-304.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.660.0454.000.715.10
Total Volume751247012470
Total OI9,291.198,7809,6259,4378,997

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$367.04$350.0024.8%7.1%13.0%7.8%26.1%2.7%3.0%690.1K-54.0M-357.4K0.7187.25N/AN/A753,2466,191
2020-09-02$370.72$350.0028.2%8.1%12.6%14.1%27.3%6.9%1.3%667.8K-56.0M-358.7K0.1389.14N/AN/A7293,2466,192
2020-09-03$359.00$300.0031.6%9.1%17.8%20.2%30.8%6.0%2.1%361.7K-42.3M-382.1K0.1884.06N/AN/A3973,2706,204
2020-09-04$359.84$300.0029.9%8.9%17.7%17.2%31.2%3.9%3.0%423.1K-43.6M-376.0K54.0085.70N/AN/A1543,2756,208
2020-09-08$351.52$300.0034.5%9.3%19.6%25.5%30.8%7.0%1.5%19.0K-32.1M-385.0K5.8384.83N/AN/A12703,2756,257
2020-09-09$361.87$300.0029.0%8.3%22.1%15.5%29.2%5.5%4.4%470.9K-47.6M-339.8K7.1387.08N/AN/A8573,2786,322
2020-09-10$351.92$300.0030.9%8.9%24.3%19.0%30.9%5.1%3.0%-120.0K-32.4M-369.4K1.8387.26N/AN/A24443,2796,293
2020-09-11$355.33$300.0028.0%8.0%24.3%13.7%27.8%6.2%4.9%90.4K-38.4M-347.7K0.7581.69N/AN/A36273,2746,295
2020-09-14$355.16$300.0027.2%7.8%24.2%12.2%30.7%5.1%5.2%596-38.4M-338.6K3.7584.91N/AN/A4153,2636,288
2020-09-15$355.42$300.0027.3%7.8%24.2%12.4%28.2%5.5%4.8%-32.9K-39.0M-334.8K3.6782.61N/AN/A9333,2636,299
2020-09-16$358.02$300.0026.3%7.5%24.3%10.6%24.5%6.0%5.7%189.4K-44.4M-315.7K1.4086.57N/AN/A15213,2616,309
2020-09-17$355.24$300.0027.4%7.9%24.5%12.6%27.3%5.5%6.8%-170.9K-39.0M-335.4K0.0485.50N/AN/A2513,2596,327
2020-09-18$352.97$300.0028.6%8.2%24.5%14.7%28.7%6.1%7.0%-1.0M-37.5M-328.4K1.3585.35N/AN/A26353,2676,358
2020-09-21$342.30$300.0031.0%8.9%26.8%19.2%33.5%5.5%5.1%-200.1K-24.0M-340.7K2.6385.06N/AN/A16422,8255,955
2020-09-22$344.73$310.0030.2%8.7%26.6%17.7%29.0%6.8%6.3%-144.0K-26.6M-338.3K1.2085.09N/AN/A10122,8325,995
2020-09-23$339.56$310.0029.9%8.6%26.3%17.2%32.1%6.5%6.0%-278.2K-20.0M-351.8K0.1386.07N/AN/A5372,8355,993
2020-09-24$342.44$310.0030.8%8.8%25.2%18.8%27.9%6.8%5.7%-154.7K-24.6M-342.1K1.4487.38N/AN/A18262,8675,996
2020-09-25$348.06$310.0025.6%7.3%26.0%9.3%25.6%6.2%7.9%45.0K-31.4M-327.6K3.0790.79N/AN/A15462,8736,016
2020-09-28$353.57$310.0028.1%8.1%26.6%13.9%27.6%6.7%7.6%214.9K-37.5M-314.9K2.5387.69N/AN/A431092,8796,062
2020-09-29$353.40$310.0028.0%8.0%26.5%13.6%27.0%6.6%8.3%153.5K-36.4M-323.6K1.0888.89N/AN/A25272,8726,119
2020-09-30$355.75$310.0025.7%7.4%26.6%9.5%26.6%6.5%9.5%249.6K-40.3M-304.5K5.1089.69N/AN/A773932,8596,138