IWC Options History — October 2013

In October 2013, IWC traded between $66.63 and $71.38. ATM implied volatility averaged 16.3%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.0% (HV 20d: 13.3%). Max pain ranged from $64.00 to $71.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 3.59.

Notable Days

  • 2013-10-09: Highest Volume — 36 contracts
  • 2013-10-07: Largest IV spike — 23.6% change
  • 2013-10-08: Highest IV Rank — 25.2%
  • 2013-10-09: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.57$66.63$71.38$69.20$69.65
Max Pain$68.04$64.00$71.00$64.00$71.00
ATM IV16.3%13.1%22.0%16.7%14.0%
Expected Move4.7%3.8%6.2%4.8%4.0%
HV 20d13.3%8.5%15.9%8.5%15.7%
HV 60d13.8%12.8%14.5%12.8%14.3%
IV Rank14.2%8.2%25.2%15.0%9.8%
IV Percentile49.8%12.7%97.2%61.1%23.8%
Term Structure0.8%-0.6%1.8%0.5%1.7%
VWIV16.4%12.7%22.5%16.4%13.4%
Skew 25d3.7%2.5%4.8%4.1%3.4%
Skew 10d6.3%3.7%10.9%7.2%10.9%
Call IV 25d14.9%12.1%18.9%15.1%12.8%
Put IV 25d18.6%15.4%23.0%19.2%16.2%
Bid-Ask Spread %33.6617.7658.0458.0451.33
Gamma HHI0.680.360.900.550.84
Net GEX-567.7K-1.7M-135.6K-970.2K-208.0K
Net DEX2.1M26.1K7.1M2.9M796.8K
Net VEX-13.5K-26.9K-5.7K-20.0K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.590.0035.000.000.50
Total Volume7.652036222
Total OI3,979.6521,5615,5635,4741,587

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$69.20$64.0016.7%4.8%8.5%15.0%16.4%4.1%0.5%-970.2K2.9M-20.0K0.0058.04N/AN/A2201165,358
2013-10-02$68.84$64.0016.9%4.8%8.9%15.4%0.0%4.8%0.8%-1.0M3.9M-23.5K0.0047.68N/AN/A001375,358
2013-10-03$68.14$64.0018.8%5.4%10.0%19.1%0.0%4.7%0.3%-1.3M4.5M-24.8K0.0051.75N/AN/A001375,358
2013-10-04$68.58$66.0017.0%5.1%10.1%15.7%0.0%4.3%0.5%-999.7K3.7M-22.3K0.0020.48N/AN/A501375,358
2013-10-07$67.91$66.0021.1%5.9%9.7%23.4%0.0%4.4%-0.3%-1.2M5.0M-24.2K0.0020.99N/AN/A001425,358
2013-10-08$66.86$66.0022.0%6.2%11.0%25.2%0.0%4.4%-0.6%-1.7M6.8M-26.7K0.0020.01N/AN/A001425,358
2013-10-09$66.63$66.0021.3%6.2%11.0%23.8%22.5%3.6%-0.3%-1.7M7.1M-26.9K35.0021.29N/AN/A1351425,358
2013-10-10$68.16$66.0019.2%5.5%13.5%19.8%0.0%3.7%0.2%-1.0M3.3M-18.5K2.5017.76N/AN/A8201415,393
2013-10-11$69.16$66.0017.3%5.0%14.3%16.2%0.0%4.0%0.6%-448.9K1.2M-12.8K0.7522.86N/AN/A431435,413
2013-10-14$69.42$66.0018.0%5.1%14.3%17.5%19.6%4.4%-0.0%-297.1K1.1M-11.7K0.0018.12N/AN/A0121415,416
2013-10-15$68.94$69.0018.8%5.4%14.1%19.2%0.0%4.5%-0.2%-422.9K1.5M-13.2K3.0019.05N/AN/A131415,419
2013-10-16$69.77$69.0015.7%4.5%14.4%13.1%20.5%3.3%0.8%-135.6K654.0K-10.0K0.0019.21N/AN/A051415,422
2013-10-17$70.42$69.0015.0%4.3%14.7%11.7%0.0%3.2%1.1%-177.2K237.7K-8.9K0.0025.97N/AN/A001385,419
2013-10-18$70.99$69.0013.3%3.8%14.8%8.5%13.3%2.5%1.4%-168.3K26.1K-7.8K0.0032.94N/AN/A601385,419
2013-10-21$70.81$69.0013.2%3.8%14.9%8.4%0.0%3.0%1.5%-174.7K658.7K-6.8K0.0033.54N/AN/A40421,519
2013-10-22$70.93$69.0013.4%3.8%14.9%8.7%13.4%3.1%1.6%-169.3K618.4K-6.8K0.1340.88N/AN/A81461,519
2013-10-23$70.77$71.0013.8%4.0%15.0%9.5%16.1%3.9%1.4%-174.3K639.8K-6.9K0.0030.60N/AN/A06541,520
2013-10-24$71.08$71.0013.1%3.8%15.0%8.2%12.7%3.0%1.8%-157.2K490.5K-6.8K0.0040.21N/AN/A60541,520
2013-10-25$71.17$71.0013.2%3.8%14.9%8.3%0.0%3.4%1.3%-149.4K469.6K-6.0K0.0040.89N/AN/A00601,520
2013-10-28$71.09$71.0013.4%3.8%14.9%8.8%13.4%2.9%1.5%-148.6K449.4K-5.8K1.2545.79N/AN/A810601,520
2013-10-29$71.38$71.0013.9%4.0%14.6%9.6%0.0%2.7%1.5%-143.0K426.9K-5.7K0.0050.80N/AN/A00551,529
2013-10-30$70.17$71.0014.9%4.3%15.9%11.5%0.0%3.6%1.0%-188.0K692.0K-7.1K0.5044.07N/AN/A42551,529
2013-10-31$69.65$71.0014.0%4.0%15.7%9.8%0.0%3.4%1.7%-208.0K796.8K-7.2K0.0051.33N/AN/A02561,531