IWC Options History — August 2013

In August 2013, IWC traded between $63.92 and $67.29. ATM implied volatility averaged 15.8%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.4% (HV 20d: 12.4%). Max pain ranged from $63.00 to $66.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 148.84.

Notable Days

  • 2013-08-21: Highest Volume — 3,060 contracts
  • 2013-08-15: Largest IV spike — 33.4% change
  • 2013-08-30: Highest IV Rank — 22.6%
  • 2013-08-30: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.55$63.92$67.29$66.85$64.28
Max Pain$63.27$63.00$66.00$66.00$63.00
ATM IV15.8%12.0%20.6%14.5%20.6%
Expected Move4.8%3.7%5.9%4.1%5.9%
HV 20d12.4%10.2%16.6%11.4%16.6%
HV 60d14.3%13.9%15.1%13.9%15.1%
IV Rank13.3%6.1%22.6%10.7%22.6%
IV Percentile46.8%4.8%94.8%25.4%94.8%
Term Structure1.4%-0.1%2.8%1.4%-0.0%
VWIV18.8%14.4%22.5%14.4%22.5%
Skew 25d4.7%2.4%5.9%3.7%5.7%
Skew 10d8.8%6.4%16.4%7.6%8.7%
Call IV 25d14.8%11.4%17.8%13.2%17.8%
Put IV 25d19.5%15.0%23.5%17.0%23.5%
Bid-Ask Spread %53.6434.5067.5158.4239.04
Gamma HHI0.780.420.940.900.45
Net GEX-1.4M-1.9M-788.7K-1.2M-1.2M
Net DEX6.2M1.6M10.5M4.9M9.4M
Net VEX-37.1K-51.0K-28.4K-32.9K-48.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio148.840.00907.000.170.00
Total Volume430.27303,060211
Total OI5,317.3184,9166,9164,9716,142

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$66.85$66.0014.5%4.1%11.4%10.7%14.4%3.7%1.4%-1.2M4.9M-32.9K0.1758.42N/AN/A1832684,703
2013-08-02$66.99$66.0012.8%3.7%10.3%7.6%0.0%3.6%2.1%-1.2M4.0M-31.5K0.0067.51N/AN/A0202864,700
2013-08-05$67.29$63.0012.6%4.3%10.3%7.2%0.0%2.4%2.8%-1.2M3.5M-28.4K0.0062.99N/AN/A302864,720
2013-08-06$66.66$63.0013.4%4.4%11.1%8.7%20.1%3.5%2.5%-1.2M4.7M-31.6K0.0057.64N/AN/A052894,720
2013-08-07$66.18$63.0013.9%4.7%11.4%9.7%0.0%4.0%1.9%-1.4M5.7M-33.5K0.0057.67N/AN/A002894,722
2013-08-08$66.30$63.0012.9%4.6%10.7%7.8%0.0%4.2%1.9%-1.4M5.3M-32.8K0.0059.01N/AN/A002894,722
2013-08-09$65.87$63.0012.0%4.6%11.0%6.1%0.0%4.9%2.1%-1.4M6.2M-34.8K0.1457.60N/AN/A2132894,722
2013-08-12$66.09$63.0014.1%4.7%10.3%10.0%0.0%4.0%1.9%-1.4M5.7M-31.4K0.0058.02N/AN/A012824,719
2013-08-13$66.05$63.0013.0%4.6%10.3%8.0%17.0%5.0%2.2%-1.4M5.5M-31.1K0.0055.13N/AN/A0172824,720
2013-08-14$65.97$63.0013.1%4.6%10.2%8.0%16.0%5.0%2.2%-1.5M5.6M-30.8K0.0055.49N/AN/A202824,737
2013-08-15$64.79$63.0017.4%5.0%11.8%16.4%16.3%4.9%1.7%-1.8M8.8M-35.7K5.3855.17N/AN/A8432844,737
2013-08-16$64.52$63.0016.6%4.8%11.9%14.9%0.0%5.7%2.0%-1.8M8.8M-36.0K17.5058.48N/AN/A2352854,715
2013-08-19$63.92$63.0017.7%5.1%11.8%17.0%0.0%5.1%1.2%-1.9M10.5M-35.8K0.0057.49N/AN/A002584,658
2013-08-20$64.85$63.0017.0%4.9%13.2%15.6%18.2%4.8%0.8%-1.8M7.9M-31.8K1.0054.15N/AN/A1,0001,0012584,658
2013-08-21$64.48$63.0018.4%5.3%13.2%18.2%19.3%5.4%0.9%-1.7M8.1M-50.2K0.0049.49N/AN/A03,0601,2585,658
2013-08-22$65.58$63.0016.2%4.7%13.7%14.2%19.2%4.6%0.7%-871.0K1.7M-35.5K907.0054.99N/AN/A19071,2583,796
2013-08-23$65.76$63.0016.1%4.6%13.6%13.8%19.3%5.0%1.1%-788.7K1.6M-37.1K0.0039.96N/AN/A07001,2593,784
2013-08-26$65.77$63.0016.5%4.7%13.1%14.7%0.0%5.1%0.8%-873.3K2.3M-39.6K0.0034.50N/AN/A01,2001,2594,084
2013-08-27$64.20$63.0019.9%5.7%15.6%21.2%21.1%5.5%-0.1%-1.3M10.1M-51.0K704.0046.26N/AN/A21,4081,2594,984
2013-08-28$64.46$63.0019.6%5.6%15.7%20.6%22.3%5.6%0.6%-1.3M9.0M-49.9K2.0048.83N/AN/A121,2614,957
2013-08-29$65.25$63.0019.1%5.5%15.9%19.7%22.5%5.9%0.2%-1.2M6.1M-47.0K0.0052.22N/AN/A021,2624,880
2013-08-30$64.28$63.0020.6%5.9%16.6%22.6%0.0%5.7%-0.0%-1.2M9.4M-48.4K0.0039.04N/AN/A101,2624,880