IWC Options History — January 2014

In January 2014, IWC traded between $74.36 and $78.39. ATM implied volatility averaged 14.8%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.2% (HV 20d: 13.7%). Max pain ranged from $73.00 to $78.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 30.80.

Notable Days

  • 2014-01-09: Highest Volume — 10,016 contracts
  • 2014-01-16: Largest IV spike — 36.3% change
  • 2014-01-31: Highest IV Rank — 82.2%
  • 2014-01-31: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.11$74.36$78.39$74.65$74.72
Max Pain$75.90$73.00$78.00$73.00$78.00
ATM IV14.8%10.1%19.7%14.3%19.7%
Expected Move4.5%3.9%5.6%4.1%5.6%
HV 20d13.7%10.4%18.3%13.4%18.3%
HV 60d13.9%13.0%15.3%14.3%15.3%
IV Rank45.3%9.6%82.2%41.3%82.2%
IV Percentile41.4%0.8%94.8%34.1%94.8%
Term Structure0.7%-0.4%1.6%1.5%-0.3%
VWIV16.6%13.6%29.8%15.8%23.1%
Skew 25d4.3%2.8%6.4%3.6%6.4%
Skew 10d9.0%4.1%12.5%9.3%12.2%
Call IV 25d14.0%11.9%17.1%13.6%17.1%
Put IV 25d18.3%16.1%23.6%17.2%23.6%
Bid-Ask Spread %33.0112.8453.9536.7722.29
Gamma HHI0.620.230.920.550.62
Net GEX163.7K-1.7M4.1M3.8M-1.4M
Net DEX-11.0M-75.2M19.4M-44.4M18.4M
Net VEX-24.1K-82.3K-2.2K-82.3K-20.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio30.800.00211.141.473.75
Total Volume701.333010,01662057
Total OI7,785.4762,51916,26716,1533,697

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$74.65$73.0014.3%4.1%13.4%41.3%15.8%3.6%1.5%3.8M-44.4M-82.3K1.4736.77N/AN/A25136910,4775,676
2014-01-03$75.12$73.0014.3%4.1%13.4%41.7%0.0%2.8%1.6%3.0M-50.5M-70.6K0.0047.23N/AN/A0010,2925,722
2014-01-06$74.76$75.0014.6%4.5%13.5%43.3%0.0%3.6%0.7%3.9M-49.7M-61.9K0.0012.84N/AN/A0010,2925,722
2014-01-07$75.41$75.0013.6%4.4%13.4%36.3%16.3%3.5%1.1%3.0M-60.4M-44.8K0.0015.51N/AN/A75010,2925,722
2014-01-08$75.66$74.0012.8%4.2%13.1%30.0%15.3%3.0%-0.4%4.1M-68.3M-24.8K33.6720.80N/AN/A620210,3525,722
2014-01-09$76.18$74.0013.3%4.3%12.4%33.3%14.8%3.1%0.9%2.1M-75.2M-9.3K0.0020.76N/AN/A10,0041210,3555,912
2014-01-10$76.88$74.0011.9%4.1%10.9%23.0%14.2%3.6%1.2%-704.4K-1.2M-4.2K13.5029.50N/AN/A2273555,912
2014-01-13$75.81$74.0014.5%4.4%12.6%42.6%14.7%4.1%0.6%-1.3M862.2K-5.5K2.8737.83N/AN/A451293575,939
2014-01-14$76.71$74.0012.7%4.1%13.0%29.4%16.1%4.0%1.2%-515.3K-1.8M-3.5K5.0037.99N/AN/A4203965,954
2014-01-15$77.40$74.0010.1%4.2%12.8%9.6%13.8%3.6%0.8%37.7K-2.6M-2.2K0.2840.83N/AN/A2573985,974
2014-01-16$77.54$74.0013.8%4.0%12.5%37.7%13.6%4.0%0.9%-45.5K-2.5M-2.6K54.2345.20N/AN/A137054175,979
2014-01-17$77.36$78.0014.9%4.3%12.2%46.1%14.2%4.5%0.9%-498.3K643.1K-9.5K211.1437.55N/AN/A71,4784046,681
2014-01-21$78.13$78.0013.8%3.9%12.2%37.2%14.3%4.0%1.3%-1.6M6.8M-22.3K0.6353.95N/AN/A852522,267
2014-01-22$78.39$78.0013.8%4.0%10.4%37.4%13.8%4.2%1.3%-1.7M6.2M-21.8K1.5037.30N/AN/A692502,272
2014-01-23$77.96$78.0013.9%4.0%10.5%37.9%13.9%4.1%1.2%-1.7M7.3M-21.5K168.6736.47N/AN/A35062532,272
2014-01-24$75.83$78.0017.2%4.9%14.8%63.4%17.9%6.2%0.3%-1.5M14.1M-21.3K1.8831.93N/AN/A8152562,771
2014-01-27$74.58$78.0017.8%5.1%16.0%68.2%17.2%5.8%0.0%-1.0M16.2M-15.3K51.4030.65N/AN/A105142592,784
2014-01-28$75.41$78.0017.2%4.9%16.5%63.6%0.0%5.2%0.3%-1.7M17.4M-20.4K0.0035.27N/AN/A01102593,276
2014-01-29$74.36$78.0019.2%5.5%17.2%78.6%19.2%5.3%-0.2%-1.2M19.4M-18.6K1.1428.50N/AN/A35402593,385
2014-01-30$75.46$78.0017.9%5.1%18.1%68.9%29.8%4.7%0.6%-1.7M17.5M-22.3K3.2034.06N/AN/A5162923,389
2014-01-31$74.72$78.0019.7%5.6%18.3%82.2%23.1%6.4%-0.3%-1.4M18.4M-20.9K3.7522.29N/AN/A12452923,405