IWC Options History — September 2013

In September 2013, IWC traded between $64.95 and $68.62. ATM implied volatility averaged 17.0%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.7% (HV 20d: 15.2%). Max pain ranged from $63.00 to $64.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 28.47.

Notable Days

  • 2013-09-16: Highest Volume — 1,003 contracts
  • 2013-09-27: Largest IV spike — 13.2% change
  • 2013-09-03: Highest IV Rank — 21.1%
  • 2013-09-03: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.28$64.95$68.62$64.95$68.49
Max Pain$63.85$63.00$64.00$63.00$64.00
ATM IV17.0%15.2%19.8%19.8%18.5%
Expected Move4.9%4.4%5.7%5.7%5.3%
HV 20d15.2%8.5%17.9%17.0%8.5%
HV 60d14.0%12.7%15.1%15.1%12.7%
IV Rank15.6%12.1%21.1%21.1%18.4%
IV Percentile63.6%38.1%91.7%91.7%81.0%
Term Structure1.0%-0.2%1.8%0.0%-0.2%
VWIV18.3%15.0%27.9%20.2%16.3%
Skew 25d4.5%2.2%6.2%4.6%5.9%
Skew 10d8.0%4.6%10.4%10.0%10.4%
Call IV 25d15.8%14.0%18.2%18.2%15.7%
Put IV 25d20.2%17.9%22.8%22.8%21.7%
Bid-Ask Spread %42.2221.6782.7982.7944.73
Gamma HHI0.550.440.640.440.59
Net GEX-1.2M-1.5M-1.1M-1.2M-1.2M
Net DEX2.1M-2.0M7.1M7.1M4.8M
Net VEX-33.8K-44.8K-24.4K-44.2K-26.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio28.470.00333.337.250.00
Total Volume109.5501,0032810
Total OI6,546.655,4668,0536,1435,477

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$64.95$63.0019.8%5.7%17.0%21.1%20.2%4.6%0.0%-1.2M7.1M-44.2K0.0082.79N/AN/A0281,2634,880
2013-09-04$65.32$63.0019.5%5.6%17.0%20.4%0.0%5.5%0.6%-1.2M5.5M-42.3K0.0045.71N/AN/A001,2634,860
2013-09-05$65.52$63.0017.7%5.1%16.9%16.9%27.9%5.8%0.6%-1.2M4.2M-40.6K7.2554.28N/AN/A695001,2634,860
2013-09-06$65.53$64.0017.5%5.2%16.8%16.6%0.0%6.2%0.7%-1.3M5.4M-44.8K0.0021.67N/AN/A001,3245,360
2013-09-09$66.56$64.0016.7%5.0%17.6%15.0%0.0%5.5%0.9%-1.2M1.9M-37.2K0.1723.53N/AN/A1221,3245,360
2013-09-10$67.09$64.0016.6%4.9%17.8%14.9%15.6%5.3%1.4%-1.1M-496.7K-32.8K0.0026.59N/AN/A401,3365,360
2013-09-11$67.12$64.0016.0%4.9%17.8%13.7%0.0%4.5%1.6%-1.1M-1.2M-30.6K0.0028.09N/AN/A001,3405,360
2013-09-12$66.70$64.0017.4%5.0%17.9%16.4%0.0%5.4%0.8%-1.1M367.3K-32.8K0.0024.87N/AN/A04081,3045,360
2013-09-13$66.94$64.0017.0%4.9%16.6%15.6%0.0%4.9%1.4%-1.1M-294.0K-33.6K0.0028.02N/AN/A001,3045,752
2013-09-16$66.86$64.0017.5%5.0%16.5%16.6%0.0%4.7%0.6%-1.2M-356.1K-31.9K333.3332.46N/AN/A31,0001,3045,752
2013-09-17$67.65$64.0016.6%4.8%16.3%14.8%0.0%4.0%1.3%-1.4M-702.7K-37.8K0.0034.17N/AN/A5501,3016,752
2013-09-18$68.21$64.0016.7%4.8%15.8%15.1%0.0%2.2%0.8%-1.2M-1.9M-35.6K0.0047.31N/AN/A401,3016,752
2013-09-19$68.11$64.0015.4%4.4%15.6%12.5%0.0%2.7%1.8%-1.3M-2.0M-34.0K0.0046.27N/AN/A101,3016,752
2013-09-20$68.17$64.0016.0%4.6%14.7%13.6%15.0%3.3%1.7%-1.2M-1.8M-34.7K0.0848.86N/AN/A1211,2406,752
2013-09-23$68.34$64.0015.8%4.5%14.7%13.4%15.1%2.8%1.1%-1.5M3.8M-24.4K0.5351.05N/AN/A1791135,353
2013-09-24$68.46$64.0016.0%4.6%14.7%13.6%0.0%3.1%1.6%-1.1M4.8M-28.9K0.2055.83N/AN/A1021275,356
2013-09-25$68.43$64.0016.5%4.7%11.0%14.6%16.3%4.2%0.9%-1.1M4.6M-28.4K0.0550.12N/AN/A3721195,358
2013-09-26$68.62$64.0015.2%4.4%11.0%12.1%0.0%4.2%1.2%-1.1M4.5M-27.9K0.0050.07N/AN/A001195,356
2013-09-27$68.45$64.0017.2%4.9%10.6%16.0%0.0%4.5%0.7%-1.1M4.7M-27.6K0.0047.92N/AN/A051195,356
2013-09-30$68.49$64.0018.5%5.3%8.5%18.4%0.0%5.9%-0.2%-1.2M4.8M-26.4K0.0044.73N/AN/A1001195,358