IWC Options History — December 2013

In December 2013, IWC traded between $70.84 and $75.26. ATM implied volatility averaged 15.3%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.3% (HV 20d: 14.1%). Max pain ranged from $69.00 to $73.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 284.54.

Notable Days

  • 2013-12-12: Highest Volume — 10,038 contracts
  • 2013-12-10: Largest IV spike — 14.5% change
  • 2013-12-11: Highest IV Rank — 67.8%
  • 2013-12-17: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.10$70.84$75.26$72.80$75.12
Max Pain$71.52$69.00$73.00$73.00$73.00
ATM IV15.3%12.9%18.0%14.9%15.0%
Expected Move4.4%3.7%5.0%4.3%4.3%
HV 20d14.1%12.0%15.0%14.8%13.1%
HV 60d14.0%13.3%14.8%13.6%14.4%
IV Rank48.0%29.8%67.8%44.8%46.4%
IV Percentile47.9%10.7%84.9%40.5%46.4%
Term Structure1.2%0.1%3.1%1.0%0.4%
VWIV15.3%13.4%17.8%15.6%14.6%
Skew 25d3.7%2.3%4.6%4.0%2.3%
Skew 10d6.6%4.7%10.1%8.7%5.5%
Call IV 25d14.2%12.0%16.3%14.0%13.8%
Put IV 25d17.9%15.2%20.3%18.0%16.1%
Bid-Ask Spread %33.1115.0065.0148.0965.01
Gamma HHI0.690.520.930.750.55
Net GEX459.2K-5.0M4.2M-413.5K3.6M
Net DEX-13.7M-53.4M22.9M1.2M-53.4M
Net VEX-59.5K-134.8K-5.2K-5.2K-72.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio284.540.003791.000.376.11
Total Volume1,115.381010,03837604
Total OI10,976.9522,25020,7112,25015,622

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$72.80$73.0014.9%4.3%14.8%44.8%15.6%4.0%1.0%-413.5K1.2M-5.2K0.3748.09N/AN/A27101602,090
2013-12-03$72.68$73.0015.1%4.3%14.5%46.3%15.1%3.0%0.4%-515.3K1.5M-5.3K55.5646.61N/AN/A95001542,100
2013-12-04$72.46$73.0016.4%4.7%14.6%55.8%15.6%4.2%0.1%-836.5K3.6M-8.3K700.0045.29N/AN/A17001502,600
2013-12-05$72.26$73.0016.9%4.8%14.3%59.6%0.0%3.8%0.3%-1.5M7.1M-12.0K0.0054.95N/AN/A001453,300
2013-12-06$72.99$69.0014.8%4.5%13.1%43.8%0.0%4.6%1.5%-1.7M5.6M-11.8K3.3215.00N/AN/A22731453,300
2013-12-09$72.52$69.0014.6%4.4%12.0%42.6%0.0%4.5%1.4%-1.8M7.0M-10.8K0.0021.46N/AN/A1101633,363
2013-12-10$71.82$69.0016.7%4.6%12.6%58.4%0.0%4.6%1.6%-1.6M8.5M-9.7K0.0017.72N/AN/A01,3221743,363
2013-12-11$70.84$69.0018.0%4.9%13.7%67.8%17.5%4.0%1.2%-1.7M18.4M-10.2K114.7125.16N/AN/A78031724,685
2013-12-12$70.97$69.0017.2%4.9%13.6%61.4%16.4%4.0%1.5%-2.4M22.9M-12.3K0.0023.51N/AN/A10,03801695,484
2013-12-13$71.40$69.0017.3%5.0%13.7%62.6%0.0%3.7%1.2%1.8M41.1K-89.5K27.0024.42N/AN/A513510,1955,484
2013-12-16$72.23$69.0017.1%4.9%14.2%61.2%17.2%4.5%0.9%1.2M-8.5M-97.0K59.1823.95N/AN/A1165110,2005,619
2013-12-17$71.97$72.0017.5%5.0%14.0%64.1%17.8%4.3%0.7%743.8K-2.6M-97.4K3791.0022.60N/AN/A27,58210,1916,317
2013-12-18$72.91$72.0015.4%4.4%14.5%48.5%16.8%4.0%1.5%-5.0M-3.4M-134.8K0.5030.62N/AN/A683410,19110,520
2013-12-19$72.67$72.0014.7%4.2%14.6%43.2%15.0%2.8%2.0%-2.2M-5.1M-126.3K0.0026.83N/AN/A03310,2328,788
2013-12-20$74.19$73.0013.4%3.8%14.9%33.5%14.4%3.1%3.1%4.2M-40.5M-108.3K2.0027.51N/AN/A102010,2298,815
2013-12-23$74.84$73.0013.2%3.8%15.0%32.2%13.4%3.0%1.5%3.7M-47.1M-95.4K56.0034.46N/AN/A15610,1284,775
2013-12-24$75.26$73.0013.5%3.9%15.0%34.1%13.5%2.9%0.8%3.4M-51.5M-87.8K0.8132.53N/AN/A25320410,1284,831
2013-12-26$75.16$73.0013.6%3.9%14.8%35.0%14.0%3.2%0.7%3.6M-51.6M-87.7K10.3037.38N/AN/A1010310,3775,035
2013-12-27$75.08$73.0012.9%3.7%14.3%29.8%14.5%3.0%1.7%3.5M-50.5M-86.4K10.4037.03N/AN/A1010410,3835,121
2013-12-30$75.01$73.0013.9%4.0%14.3%37.2%13.6%3.2%1.3%3.4M-49.8M-82.0K0.0035.19N/AN/A0410,3935,225
2013-12-31$75.12$73.0015.0%4.3%13.1%46.4%14.6%2.3%0.4%3.6M-53.4M-72.3K6.1165.01N/AN/A8551910,3935,229