IWC Options History — April 2013

In April 2013, IWC traded between $55.95 and $58.63. ATM implied volatility averaged 16.1%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.3% (HV 20d: 15.8%). Max pain ranged from $56.00 to $58.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2013-04-10: Highest Volume — 120 contracts
  • 2013-04-15: Largest IV spike — 29.8% change
  • 2013-04-18: Highest IV Rank — 21.3%
  • 2013-04-18: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.47$55.95$58.63$57.95$58.63
Max Pain$56.91$56.00$58.00$58.00$57.00
ATM IV16.1%12.6%19.9%14.2%15.4%
Expected Move4.7%3.9%5.7%4.1%4.4%
HV 20d15.8%9.4%21.4%9.6%21.3%
HV 60d13.5%10.8%15.7%10.8%15.3%
IV Rank13.9%7.1%21.3%10.3%12.6%
IV Percentile36.1%7.5%69.0%17.1%30.2%
Term Structure0.4%-1.1%1.6%1.6%0.9%
VWIV16.0%14.6%17.3%14.9%16.5%
Skew 25d4.3%2.2%6.1%4.0%5.1%
Skew 10d7.6%4.0%11.8%11.3%8.9%
Call IV 25d14.2%12.1%17.5%13.4%13.6%
Put IV 25d18.5%15.9%21.5%17.4%18.7%
Bid-Ask Spread %53.4839.1880.5567.1154.77
Gamma HHI0.260.170.460.170.22
Net GEX-25.0K-120.2K18.0K2.3K18.0K
Net DEX-1.1K-335.3K623.6K-138.2K-335.3K
Net VEX-1.3K-1.7K-953-1.2K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.001.891.000.00
Total Volume14.182012080
Total OI217.682169332169195

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$57.95$58.0014.2%4.1%9.6%10.3%14.9%4.0%1.6%2.3K-138.2K-1.2K1.0067.11N/AN/A448287
2013-04-02$57.88$58.0013.7%3.9%9.5%9.3%0.0%4.2%1.6%914-114.2K-1.2K0.0077.32N/AN/A008291
2013-04-03$56.97$58.0016.0%4.6%10.3%13.7%0.0%5.4%-0.2%-5.9K-26.2K-1.2K0.0075.85N/AN/A208291
2013-04-04$57.14$58.0015.7%4.5%10.3%13.0%0.0%4.9%0.9%-5.3K-42.8K-1.2K0.0080.55N/AN/A008491
2013-04-05$57.08$57.0015.4%4.7%10.0%12.6%0.0%4.0%0.5%-5.6K-41.8K-1.2K0.0047.24N/AN/A008491
2013-04-08$57.35$57.0014.7%4.6%9.4%11.3%0.0%3.3%0.5%-4.4K-70.3K-1.1K0.0046.99N/AN/A008491
2013-04-09$57.30$57.0015.7%4.6%9.4%13.2%0.0%3.6%0.4%-3.1K-70.4K-1.1K0.0047.60N/AN/A008491
2013-04-10$58.40$57.0012.6%4.2%11.6%7.1%16.3%3.5%0.8%15.5K-202.8K-9530.0042.74N/AN/A01208491
2013-04-11$58.51$56.0013.8%4.0%11.6%9.5%0.0%3.6%1.1%-61.4K-65.0K-1.3K0.0039.18N/AN/A0084211
2013-04-12$58.32$56.0014.4%4.1%11.1%10.7%0.0%3.7%1.0%-90.9K-71.1K-1.2K0.0044.80N/AN/A0084211
2013-04-15$56.05$56.0018.7%5.4%17.9%18.9%0.0%2.2%-1.1%-86.4K570.3K-1.3K0.0056.44N/AN/A01084211
2013-04-16$57.03$56.0017.0%4.9%19.1%15.6%16.9%3.0%0.1%-120.2K320.5K-1.3K0.8051.70N/AN/A5484201
2013-04-17$56.11$56.0019.3%5.5%19.9%20.0%17.3%2.7%-0.7%-86.6K558.8K-1.2K0.0056.64N/AN/A2089205
2013-04-18$55.95$56.0019.9%5.7%19.6%21.3%15.7%3.7%-0.8%-75.1K623.6K-1.2K1.8952.68N/AN/A366887205
2013-04-19$56.60$57.0018.0%5.2%20.1%17.5%0.0%6.0%-0.1%-115.8K394.7K-1.7K0.0054.60N/AN/A030123209
2013-04-22$56.73$57.0017.1%4.9%20.1%15.8%14.6%4.6%0.6%5.5K-99.0K-1.5K0.0041.36N/AN/A16010678
2013-04-23$57.75$57.0016.2%4.6%21.3%14.0%16.5%5.3%-0.2%14.6K-212.1K-1.6K0.0045.26N/AN/A1011478
2013-04-24$57.91$57.0016.1%4.6%21.3%13.9%0.0%6.1%0.4%12.8K-228.0K-1.5K0.0052.21N/AN/A0010778
2013-04-25$58.22$57.0016.9%4.8%21.4%15.4%0.0%5.7%-0.1%13.1K-259.1K-1.5K0.0044.58N/AN/A0010778
2013-04-26$57.93$57.0016.5%4.7%21.4%14.6%0.0%5.1%0.6%13.2K-232.9K-1.5K0.0047.20N/AN/A0010778
2013-04-29$58.45$57.0017.1%4.9%21.2%15.9%0.0%5.6%-0.1%14.4K-282.6K-1.4K0.0049.82N/AN/A10010778
2013-04-30$58.63$57.0015.4%4.4%21.3%12.6%0.0%5.1%0.9%18.0K-335.3K-1.4K0.0054.77N/AN/A0011778