IWC Options History — July 2013

In July 2013, IWC traded between $62.36 and $67.31. ATM implied volatility averaged 15.1%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.0% (HV 20d: 14.1%). Max pain ranged from $61.00 to $66.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.93.

Notable Days

  • 2013-07-19: Highest Volume — 2,032 contracts
  • 2013-07-05: Largest IV drop — 19.5% change
  • 2013-07-02: Highest IV Rank — 15.7%
  • 2013-07-02: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.43$62.36$67.31$62.59$66.19
Max Pain$63.55$61.00$66.00$62.00$66.00
ATM IV15.1%13.2%17.1%14.9%16.1%
Expected Move4.4%3.8%4.9%4.3%4.6%
HV 20d14.1%9.7%17.3%17.3%11.1%
HV 60d16.1%13.8%18.5%18.5%13.8%
IV Rank12.0%8.3%15.7%11.6%13.8%
IV Percentile32.8%11.9%57.5%28.2%47.2%
Term Structure1.5%0.8%2.6%2.1%1.4%
VWIV17.1%15.1%21.7%17.6%15.6%
Skew 25d3.6%2.1%5.1%2.7%4.4%
Skew 10d6.7%4.6%8.1%6.2%7.8%
Call IV 25d14.4%11.9%16.4%15.1%14.1%
Put IV 25d18.0%15.9%19.8%17.7%18.5%
Bid-Ask Spread %46.7326.8175.2740.4756.95
Gamma HHI0.440.110.940.180.91
Net GEX-363.2K-1.3M17.1K-1.2K-1.2M
Net DEX1.0M-1.3M7.0M-720.8K6.4M
Net VEX-11.9K-38.7K-906-2.0K-38.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.930.0025.006.000.00
Total Volume222.54502,0321417
Total OI1,676.2732874,9652874,954

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$62.59$62.0014.9%4.3%17.3%11.6%17.6%2.7%2.1%-1.2K-720.8K-2.0K6.0040.47N/AN/A21218998
2013-07-02$62.36$62.0017.1%4.9%17.0%15.7%17.6%4.2%1.2%1.3K-692.4K-2.1K0.0043.56N/AN/A04018998
2013-07-03$62.54$62.0016.4%4.7%16.4%14.4%0.0%5.1%1.3%-21.0K-628.8K-2.2K0.0041.58N/AN/A50189138
2013-07-05$63.56$64.0013.2%4.6%17.0%8.3%19.6%3.6%1.1%-18.9K-853.1K-1.8K0.3827.03N/AN/A83194138
2013-07-08$63.88$61.0014.9%4.7%17.0%11.6%17.6%3.2%1.2%-14.3K-899.4K-1.7K0.6027.86N/AN/A53194141
2013-07-09$64.24$63.0014.7%4.8%16.8%11.3%0.0%3.5%0.8%-7.3K-993.2K-1.5K0.0026.81N/AN/A20199144
2013-07-10$64.60$63.0014.9%4.7%16.2%11.6%0.0%3.3%1.0%-1.0K-1.0M-1.4K0.0028.86N/AN/A00201144
2013-07-11$65.38$63.0015.9%4.5%16.2%13.4%0.0%2.1%1.6%17.1K-1.2M-1.1K0.0034.69N/AN/A50201144
2013-07-12$65.43$63.0016.2%4.7%15.8%14.2%0.0%3.4%1.2%13.9K-1.2M-1.2K0.0035.95N/AN/A00206144
2013-07-15$66.19$63.0015.9%4.5%15.7%13.4%0.0%2.3%1.0%15.2K-1.2M-1.0K0.0043.00N/AN/A03206144
2013-07-16$66.19$63.0015.9%4.6%15.7%13.6%0.0%3.9%2.2%15.3K-1.2M-9060.0042.58N/AN/A100206147
2013-07-17$66.38$63.0015.8%4.5%15.4%13.3%21.7%3.3%1.6%13.5K-1.3M-1.1K25.0044.36N/AN/A250216147
2013-07-18$66.68$63.0015.0%4.3%14.9%11.9%16.2%2.8%1.0%4.7K-1.3M-1.2K0.1548.66N/AN/A203216197
2013-07-19$66.64$63.0014.1%4.0%11.0%10.0%0.0%3.6%1.9%16.8K-1.3M-1.3K0.0053.02N/AN/A02,032236200
2013-07-22$67.06$63.0013.9%4.0%11.0%9.7%0.0%3.5%2.1%-539.1K1.6M-16.5K0.0057.85N/AN/A0101942,124
2013-07-23$66.78$63.0014.4%4.1%9.7%10.6%15.9%3.3%1.6%-515.0K2.1M-17.4K0.0075.27N/AN/A01,0141942,134
2013-07-24$66.39$65.0015.3%4.4%10.4%12.4%0.0%4.0%2.1%-812.8K4.0M-27.0K0.0059.71N/AN/A01,0111943,148
2013-07-25$67.31$65.0013.4%3.8%10.9%8.7%15.1%3.9%2.6%-1.0M4.4M-30.0K0.0068.95N/AN/A05101944,153
2013-07-26$66.85$66.0014.0%4.0%10.9%9.8%15.4%3.7%1.7%-1.3M5.1M-35.1K0.0054.28N/AN/A0501944,663
2013-07-29$66.13$66.0015.1%4.3%12.0%12.0%15.4%4.4%1.4%-1.3M6.7M-38.2K0.1261.57N/AN/A5771944,707
2013-07-30$66.10$66.0015.5%4.5%11.4%12.8%15.6%4.5%1.6%-1.3M7.0M-38.7K0.0054.94N/AN/A0152514,714
2013-07-31$66.19$66.0016.1%4.6%11.1%13.8%0.0%4.4%1.4%-1.2M6.4M-38.0K0.0056.95N/AN/A1702514,703