IWC Options History — May 2013

In May 2013, IWC traded between $56.97 and $62.05. ATM implied volatility averaged 16.0%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 2.7% (HV 20d: 18.7%). Max pain ranged from $57.00 to $57.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.20.

Notable Days

  • 2013-05-29: Highest Volume — 40 contracts
  • 2013-05-14: Largest IV drop — 19.2% change
  • 2013-05-31: Highest IV Rank — 20.0%
  • 2013-05-31: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.39$56.97$62.05$56.97$61.30
Max Pain$57.00$57.00$57.00$57.00$57.00
ATM IV16.0%13.1%19.3%19.1%19.3%
Expected Move4.7%4.3%5.5%5.5%5.5%
HV 20d18.7%12.5%24.4%23.0%12.5%
HV 60d16.5%15.8%17.0%16.2%16.5%
IV Rank13.7%8.1%20.0%19.6%20.0%
IV Percentile39.7%11.1%75.4%65.5%75.4%
Term Structure0.8%-1.9%3.2%-0.6%-0.1%
VWIV17.9%15.3%23.2%19.5%23.2%
Skew 25d4.1%2.6%6.0%5.9%6.0%
Skew 10d7.3%2.6%10.6%9.4%10.6%
Call IV 25d14.9%9.3%16.0%15.9%16.0%
Put IV 25d18.9%14.7%21.9%21.7%21.9%
Bid-Ask Spread %73.7759.8599.8564.9083.72
Gamma HHI0.210.170.280.230.19
Net GEX15.3K8.6K21.2K14.2K13.8K
Net DEX-424.6K-519.2K-178.6K-178.6K-432.9K
Net VEX-1.2K-1.5K-1.0K-1.5K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.0010.0010.000.00
Total Volume5.27304010
Total OI216.273193244195244

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$56.97$57.0019.1%5.5%23.0%19.6%0.0%5.9%-0.6%14.2K-178.6K-1.5K0.0064.90N/AN/A0111778
2013-05-02$57.97$57.0016.9%4.9%23.8%15.5%0.0%5.4%-1.9%19.9K-270.4K-1.4K0.0099.85N/AN/A0011779
2013-05-03$58.80$57.0015.1%4.3%24.3%12.0%0.0%3.6%1.0%19.1K-366.5K-1.4K10.0067.91N/AN/A22011779
2013-05-06$59.34$57.0015.2%4.6%24.4%12.1%19.5%3.4%0.5%17.8K-401.4K-1.3K0.0062.12N/AN/A01111899
2013-05-07$59.72$57.0013.1%4.4%24.4%8.1%15.3%3.3%1.0%20.2K-428.6K-1.3K1.0063.33N/AN/A11118106
2013-05-08$59.63$57.0013.8%4.4%23.6%9.5%0.0%3.8%1.0%14.9K-422.5K-1.3K0.0064.18N/AN/A02119107
2013-05-09$59.56$57.0015.0%4.6%23.6%11.8%0.0%4.6%0.9%12.2K-413.1K-1.4K0.0059.85N/AN/A01119109
2013-05-10$59.94$57.0014.6%4.5%23.6%11.1%0.0%3.7%1.7%13.9K-453.3K-1.2K0.0065.65N/AN/A00119109
2013-05-13$59.98$57.0017.3%4.7%18.0%16.2%0.0%4.2%1.3%12.7K-462.9K-1.2K0.0067.75N/AN/A00119109
2013-05-14$60.81$57.0014.0%4.5%17.7%9.8%0.0%3.1%1.7%9.7K-519.2K-1.1K0.0073.55N/AN/A00119109
2013-05-15$60.99$57.0013.9%4.6%16.1%9.7%0.0%3.7%1.9%8.6K-476.5K-1.0K0.0071.47N/AN/A020109109
2013-05-16$60.93$57.0016.5%4.7%16.0%14.6%0.0%3.5%2.0%10.2K-447.3K-1.2K0.0083.11N/AN/A00109129
2013-05-17$61.42$57.0015.2%4.3%15.9%12.1%0.0%2.6%3.2%13.0K-475.6K-1.1K0.0079.15N/AN/A00107129
2013-05-20$61.51$57.0015.0%4.3%15.9%11.8%0.0%2.7%1.0%12.2K-431.9K-1.1K0.0080.50N/AN/A0010192
2013-05-21$61.51$57.0015.4%4.4%15.1%12.5%15.5%4.4%0.5%11.9K-427.5K-1.2K0.0076.05N/AN/A6010192
2013-05-22$60.72$57.0017.0%4.9%16.1%15.7%15.8%4.5%0.5%15.9K-395.2K-1.3K0.0072.93N/AN/A8010792
2013-05-23$60.95$57.0016.7%4.8%16.1%15.0%0.0%3.7%0.9%20.3K-429.1K-1.3K0.0074.03N/AN/A0011592
2013-05-24$61.09$57.0016.8%4.8%15.9%15.3%0.0%3.8%1.0%20.8K-440.8K-1.2K0.0075.03N/AN/A0011592
2013-05-28$62.05$57.0017.3%4.9%16.4%16.1%0.0%4.5%0.0%21.2K-514.8K-1.0K0.0078.92N/AN/A0111592
2013-05-29$61.45$57.0018.4%5.3%17.0%18.2%23.2%4.5%0.2%20.0K-468.9K-1.1K0.0079.01N/AN/A04011593
2013-05-30$61.95$57.0016.8%4.8%12.5%15.2%0.0%4.2%0.6%14.5K-483.0K-1.2K0.0079.95N/AN/A20115127
2013-05-31$61.30$57.0019.3%5.5%12.5%20.0%0.0%6.0%-0.1%13.8K-432.9K-1.3K0.0083.72N/AN/A00117127