GWW Options History — November 2020

In November 2020, GWW traded between $361.60 and $422.77. ATM implied volatility averaged 27.3%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.0% (HV 20d: 28.3%). Max pain ranged from $360.00 to $390.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2020-11-05: Highest Volume — 557 contracts
  • 2020-11-04: Largest IV drop — 14.8% change
  • 2020-11-02: Highest IV Rank — 27.1%
  • 2020-11-02: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$401.91$361.60$422.77$361.60$416.00
Max Pain$372.50$360.00$390.00$360.00$390.00
ATM IV27.3%24.6%35.4%35.4%27.0%
Expected Move7.8%7.1%10.1%10.1%7.7%
HV 20d28.3%24.5%30.5%24.9%28.3%
HV 60d25.6%23.1%27.2%23.1%26.2%
IV Rank12.2%7.0%27.1%27.1%11.3%
IV Percentile31.9%16.3%72.6%72.6%29.8%
Term Structure0.4%-3.9%2.5%-3.9%0.1%
VWIV28.0%25.1%33.7%33.6%27.1%
Skew 25d3.7%1.8%6.0%5.9%4.1%
Skew 10d5.7%1.9%11.0%6.5%3.4%
Call IV 25d25.9%24.1%31.5%31.5%26.1%
Put IV 25d29.6%27.2%37.3%37.3%30.2%
Bid-Ask Spread %81.9476.6087.5081.5987.09
Gamma HHI0.120.070.290.080.12
Net GEX1.2M-270.3K2.8M-270.3K946.8K
Net DEX-63.7M-92.3M-19.9M-19.9M-73.1M
Net VEX-406.1K-485.9K-363.9K-485.9K-377.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.0611.200.5211.20
Total Volume133.05205579161
Total OI11,012.210,70311,44010,70311,013

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$361.60$360.0035.4%10.1%24.9%27.1%33.6%5.9%-3.9%-270.3K-19.9M-485.9K0.5281.59N/AN/A60313,0687,635
2020-11-03$371.40$360.0032.2%9.2%26.7%21.3%33.7%5.7%-1.6%-16.3K-32.4M-454.2K1.7881.69N/AN/A45803,0687,635
2020-11-04$375.62$360.0027.4%7.9%26.2%12.6%27.0%6.0%-0.4%231.0K-38.3M-445.3K0.0786.06N/AN/A169123,0887,737
2020-11-05$379.10$370.0026.4%7.5%24.5%10.6%29.8%4.5%0.4%720.2K-44.2M-431.0K0.1584.22N/AN/A483743,2027,739
2020-11-06$392.12$370.0025.9%7.8%27.4%9.8%28.7%5.7%-0.1%962.1K-50.2M-424.5K0.2183.49N/AN/A150313,0447,799
2020-11-09$391.75$370.0027.9%7.6%27.2%13.4%27.9%4.0%-0.1%1.2M-54.0M-404.6K0.5876.80N/AN/A26153,1157,807
2020-11-10$404.53$370.0030.9%8.5%29.1%18.9%28.6%5.1%-0.7%1.3M-63.4M-418.8K0.4080.16N/AN/A140563,1147,814
2020-11-11$402.59$370.0026.4%7.6%29.1%10.5%27.7%3.4%1.7%1.6M-67.4M-394.3K0.3680.27N/AN/A70253,2247,833
2020-11-12$396.48$370.0028.9%8.3%29.7%15.1%29.6%2.0%1.0%1.4M-58.4M-425.6K0.8581.69N/AN/A84713,2447,836
2020-11-13$404.21$370.0027.0%7.7%30.3%11.6%25.1%3.1%0.5%1.7M-66.3M-426.1K0.3177.45N/AN/A55173,2897,892
2020-11-16$414.04$370.0026.9%7.7%29.7%11.4%27.6%3.4%0.2%2.1M-80.9M-376.9K1.3276.60N/AN/A44583,3287,903
2020-11-17$409.91$370.0026.8%7.7%30.1%11.0%27.8%3.2%0.5%2.0M-74.5M-398.4K1.7779.87N/AN/A13233,3357,929
2020-11-18$418.45$370.0026.0%7.5%30.5%9.6%27.1%3.6%1.2%2.4M-85.1M-381.5K0.4784.64N/AN/A49233,3427,934
2020-11-19$422.77$380.0026.4%7.6%26.6%10.2%25.8%2.3%0.7%2.8M-92.3M-363.9K0.0682.76N/AN/A206123,3697,936
2020-11-20$410.25$380.0025.0%7.2%29.5%7.7%26.0%2.1%1.4%1.3M-76.9M-392.4K1.2681.69N/AN/A43543,4937,947
2020-11-23$415.78$380.0024.9%7.1%29.5%7.5%26.3%2.1%1.0%866.1K-72.3M-386.0K2.1579.57N/AN/A26563,0847,674
2020-11-24$420.96$380.0025.2%7.2%29.3%8.1%27.6%4.0%1.2%875.0K-77.5M-374.4K0.1882.54N/AN/A181323,0827,722
2020-11-25$416.04$380.0024.6%7.1%29.3%7.0%26.3%1.8%1.6%946.9K-74.3M-375.8K0.7483.22N/AN/A38283,2367,725
2020-11-27$414.62$380.0025.9%7.4%28.8%9.3%27.0%2.6%2.5%963.6K-72.0M-385.4K0.1887.50N/AN/A1733,2577,752
2020-11-30$416.00$390.0027.0%7.7%28.3%11.3%27.1%4.1%0.1%946.8K-73.1M-377.3K11.2087.09N/AN/A5563,2597,754