GWW Options History — December 2020

In December 2020, GWW traded between $402.09 and $415.39. ATM implied volatility averaged 27.6%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 7.8% (HV 20d: 19.8%). Max pain ranged from $320.00 to $390.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.47.

Notable Days

  • 2020-12-18: Highest Volume — 179 contracts
  • 2020-12-07: Largest IV spike — 16.4% change
  • 2020-12-07: Highest IV Rank — 18.0%
  • 2020-12-10: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$408.25$402.09$415.39$413.50$407.13
Max Pain$329.09$320.00$390.00$390.00$330.00
ATM IV27.6%25.7%30.6%28.3%26.8%
Expected Move7.9%7.4%8.5%8.1%7.7%
HV 20d19.8%13.2%27.2%26.9%14.1%
HV 60d24.4%23.1%26.3%26.3%23.1%
IV Rank11.1%5.5%18.0%13.7%7.7%
IV Percentile30.1%14.7%46.0%37.3%23.4%
Term Structure3.9%0.8%6.3%0.8%5.4%
VWIV28.8%25.2%31.4%26.8%29.3%
Skew 25d3.5%2.5%5.4%5.4%3.1%
Skew 10d7.0%2.7%16.3%6.0%6.3%
Call IV 25d26.8%24.7%28.0%25.3%26.7%
Put IV 25d30.3%27.9%32.0%30.7%29.8%
Bid-Ask Spread %84.5376.3988.2786.7688.27
Gamma HHI0.130.100.290.120.10
Net GEX1.1M541.0K3.3M871.8K541.0K
Net DEX-65.3M-71.6M-60.1M-70.4M-63.1M
Net VEX-375.0K-393.9K-354.0K-381.9K-362.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.107.330.911.65
Total Volume77.7271917910145
Total OI11,293.81810,87112,03711,06311,175

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$413.50$390.0028.3%8.1%26.9%13.7%26.8%5.4%0.8%871.8K-70.4M-381.9K0.9186.76N/AN/A53483,2517,812
2020-12-02$408.44$390.0027.3%7.8%26.7%11.8%28.1%2.8%1.6%729.4K-64.6M-393.9K0.9586.59N/AN/A38363,2477,834
2020-12-03$403.62$320.0027.8%8.0%27.2%12.8%29.7%5.2%3.9%622.7K-60.1M-393.2K0.1380.98N/AN/A3143,2367,862
2020-12-04$404.66$320.0026.3%8.1%27.1%10.1%31.4%3.4%3.3%674.5K-61.7M-386.5K3.7376.39N/AN/A11413,2497,865
2020-12-07$405.30$320.0030.6%8.2%24.6%18.0%31.1%4.1%3.0%627.7K-61.1M-392.6K2.8082.88N/AN/A5143,2547,893
2020-12-08$407.26$320.0025.9%8.1%24.6%8.3%29.2%3.6%2.9%649.8K-63.4M-383.9K0.2180.43N/AN/A76163,2577,903
2020-12-09$411.64$320.0028.8%8.3%22.1%13.6%29.5%3.4%2.6%697.2K-67.3M-381.0K4.8984.57N/AN/A9443,3227,915
2020-12-10$403.36$320.0029.6%8.5%23.3%15.1%30.8%2.8%2.0%555.4K-60.8M-380.9K1.0484.38N/AN/A24253,2617,945
2020-12-11$404.44$320.0028.7%8.2%22.6%13.5%29.9%3.6%3.6%641.2K-61.0M-384.6K7.3383.41N/AN/A6443,2637,966
2020-12-14$402.09$320.0028.4%8.2%21.7%13.0%29.1%5.3%3.8%2.0M-62.4M-387.4K0.1182.70N/AN/A106123,9108,001
2020-12-15$405.44$320.0027.8%8.0%20.0%11.8%30.4%3.3%4.0%2.5M-64.7M-389.2K0.4583.83N/AN/A71323,9757,999
2020-12-16$407.55$320.0027.2%7.8%19.8%10.7%29.2%4.4%3.8%2.8M-68.8M-374.6K0.8386.72N/AN/A29243,9948,001
2020-12-17$410.08$320.0027.4%7.8%18.4%11.0%28.8%3.0%4.4%3.3M-71.6M-366.8K0.2186.17N/AN/A90194,0178,018
2020-12-18$407.87$320.0027.1%7.8%17.9%10.6%27.6%2.7%4.3%1.7M-67.4M-368.9K0.5685.87N/AN/A115644,0188,019
2020-12-21$412.93$320.0028.4%8.1%15.2%12.9%30.1%2.5%3.9%674.1K-68.9M-360.9K2.2186.00N/AN/A39863,0407,831
2020-12-22$410.81$330.0027.9%8.0%14.5%12.1%28.1%2.6%3.8%644.1K-66.1M-368.0K0.6785.63N/AN/A1283,0447,925
2020-12-23$412.40$330.0026.6%7.6%13.8%9.4%26.4%3.3%6.0%614.9K-67.3M-354.0K0.5884.18N/AN/A24143,0407,933
2020-12-24$413.90$330.0026.3%7.5%13.2%6.7%25.2%3.2%4.4%674.7K-68.7M-356.2K0.1085.93N/AN/A7883,0517,946
2020-12-28$415.39$330.0026.8%7.7%13.2%7.6%26.6%3.5%5.6%767.4K-70.6M-355.0K0.3986.97N/AN/A111433,0607,952
2020-12-29$407.93$320.0027.7%7.9%14.7%9.3%29.7%3.2%5.8%632.9K-63.5M-360.4K0.3285.74N/AN/A65213,1007,957
2020-12-30$405.82$330.0025.7%7.4%14.6%5.5%26.9%2.9%6.3%619.1K-62.4M-367.4K2.2985.26N/AN/A21483,1587,965
2020-12-31$407.13$330.0026.8%7.7%14.1%7.7%29.3%3.1%5.4%541.0K-63.1M-362.8K1.6588.27N/AN/A17283,1748,001