IWC Options History — November 2013

In November 2013, IWC traded between $68.47 and $73.86. ATM implied volatility averaged 14.5%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.3% (HV 20d: 14.2%). Max pain ranged from $64.00 to $73.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 12.70.

Notable Days

  • 2013-11-27: Highest Volume — 514 contracts
  • 2013-11-07: Largest IV spike — 21.2% change
  • 2013-11-07: Highest IV Rank — 60.2%
  • 2013-11-07: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.69$68.47$73.86$69.27$73.86
Max Pain$67.00$64.00$73.00$71.00$73.00
ATM IV14.5%12.7%17.1%14.4%14.3%
Expected Move4.3%3.6%4.9%4.1%4.1%
HV 20d14.2%13.0%15.7%15.7%13.7%
HV 60d14.0%13.0%14.9%14.4%13.2%
IV Rank38.9%9.0%60.2%10.6%39.9%
IV Percentile33.8%9.5%73.0%28.6%31.3%
Term Structure1.4%0.1%2.7%1.6%0.8%
VWIV14.7%13.7%17.1%13.7%14.2%
Skew 25d3.5%2.1%4.4%3.5%2.2%
Skew 10d6.8%5.2%8.9%8.9%6.6%
Call IV 25d13.8%12.8%14.9%13.0%14.3%
Put IV 25d17.3%15.1%19.0%16.4%16.6%
Bid-Ask Spread %50.4731.9270.3445.8131.92
Gamma HHI0.570.230.860.860.77
Net GEX-126.0K-358.9K17.9K-225.9K-358.9K
Net DEX171.7K-854.6K1.0M898.7K541.6K
Net VEX-4.9K-7.9K-1.6K-7.9K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.700.00127.504.00127.50
Total Volume38.2051450
Total OI1,690.051,5882,2501,5882,250

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$69.27$71.0014.4%4.1%15.7%10.6%0.0%3.5%1.6%-225.9K898.7K-7.9K4.0045.81N/AN/A14561,532
2013-11-04$69.99$64.0013.6%4.5%15.6%9.0%13.7%4.4%1.5%-187.4K627.1K-6.2K0.0057.07N/AN/A210571,536
2013-11-05$70.03$64.0013.9%4.5%14.2%36.7%0.0%4.0%1.6%-167.1K507.2K-6.3K0.0056.47N/AN/A00781,536
2013-11-06$69.52$64.0014.1%4.5%14.5%38.3%0.0%3.9%1.5%-187.0K592.7K-6.2K0.0057.59N/AN/A170781,536
2013-11-07$68.47$64.0017.1%4.9%13.6%60.2%17.1%4.2%1.5%-242.2K1.0M-7.7K0.1351.79N/AN/A304951,536
2013-11-08$69.83$65.0014.1%4.4%14.4%38.1%0.0%4.0%1.8%-146.1K403.2K-6.7K0.0052.80N/AN/A001241,540
2013-11-11$69.90$65.0014.8%4.4%14.3%43.7%0.0%4.1%1.8%-129.5K315.6K-6.2K0.0059.17N/AN/A001241,540
2013-11-12$70.03$65.0013.9%4.5%14.1%36.7%0.0%4.0%1.4%-116.1K311.0K-5.7K0.0055.95N/AN/A001241,540
2013-11-13$70.43$65.0014.3%4.5%13.6%39.5%13.9%3.6%1.8%-86.1K51.0K-5.0K0.0058.58N/AN/A1101241,540
2013-11-14$70.30$65.0015.5%4.4%13.2%48.5%14.0%3.5%1.7%-67.7K52.1K-5.0K0.0059.65N/AN/A3101351,540
2013-11-15$70.65$65.0014.2%4.1%13.0%39.7%0.0%3.8%2.7%-70.1K-96.2K-4.4K0.0053.61N/AN/A001351,540
2013-11-18$70.19$65.0016.0%4.6%13.2%52.9%0.0%3.9%0.1%-144.7K65.4K-3.9K0.0043.26N/AN/A021011,532
2013-11-19$69.98$65.0015.8%4.5%13.2%51.1%15.8%4.0%0.4%-150.3K235.2K-4.7K0.0042.49N/AN/A0401011,534
2013-11-20$69.96$70.0015.4%4.4%13.2%48.5%13.7%4.0%0.9%-173.0K351.9K-4.9K0.0070.34N/AN/A1701011,572
2013-11-21$71.30$70.0014.9%4.3%14.8%45.0%0.0%2.8%0.7%-66.1K-193.1K-3.0K0.0047.54N/AN/A001181,572
2013-11-22$71.74$70.0014.1%4.0%15.0%38.7%0.0%2.7%1.0%-50.4K-273.2K-2.9K0.2539.16N/AN/A1231181,572
2013-11-25$72.04$70.0014.2%4.1%15.0%39.6%15.3%2.9%1.2%17.9K-538.4K-1.6K7.5038.46N/AN/A2151301,575
2013-11-26$72.75$70.0013.3%3.8%15.3%33.1%14.9%2.1%1.5%14.0K-589.5K-1.7K0.3339.43N/AN/A30101321,590
2013-11-27$73.61$70.0012.7%3.6%14.2%28.2%14.2%2.3%1.7%17.0K-854.6K-1.8K127.5048.32N/AN/A45101621,595
2013-11-29$73.86$73.0014.3%4.1%13.7%39.9%0.0%2.2%0.8%-358.9K541.6K-5.2K0.0031.92N/AN/A001602,090