IWC Options History — March 2014

In March 2014, IWC traded between $75.70 and $80.36. ATM implied volatility averaged 17.4%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.1% (HV 20d: 15.3%). Max pain ranged from $78.00 to $80.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 299.32.

Notable Days

  • 2014-03-21: Highest Volume — 2,458 contracts
  • 2014-03-26: Largest IV spike — 10.7% change
  • 2014-03-26: Highest IV Rank — 59.0%
  • 2014-03-26: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.72$75.70$80.36$77.88$77.30
Max Pain$79.62$78.00$80.00$78.00$80.00
ATM IV17.4%15.8%18.8%18.3%17.7%
Expected Move5.0%4.7%5.4%5.2%5.1%
HV 20d15.3%13.8%18.6%17.6%18.6%
HV 60d16.9%16.3%17.9%16.3%17.9%
IV Rank50.4%41.8%59.0%59.0%51.7%
IV Percentile72.8%51.6%88.1%84.1%78.2%
Term Structure0.8%-0.3%1.8%-0.3%0.7%
VWIV17.5%11.7%24.3%19.9%15.0%
Skew 25d4.9%3.8%6.5%5.5%3.8%
Skew 10d10.3%6.8%13.9%13.9%7.4%
Call IV 25d15.4%14.3%17.1%16.4%15.9%
Put IV 25d20.4%18.7%22.8%22.0%19.7%
Bid-Ask Spread %44.6422.5288.8932.8566.38
Gamma HHI0.520.330.740.680.40
Net GEX-1.9M-4.8M-565.4K-753.2K-2.8M
Net DEX8.0M345.1K23.3M3.7M18.9M
Net VEX-23.1K-37.2K-17.4K-18.6K-37.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio299.320.102457.007.0011.83
Total Volume428.66762,45816449
Total OI3,454.9052,1665,1972,1665,197

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$77.88$78.0018.3%5.2%17.6%59.0%19.9%5.5%-0.3%-753.2K3.7M-18.6K7.0032.85N/AN/A2145801,586
2014-03-04$80.04$78.0016.7%4.8%14.9%49.4%16.6%3.9%-0.2%-596.7K868.1K-17.7K0.7933.28N/AN/A24195821,600
2014-03-05$80.36$78.0016.5%4.7%14.9%48.1%0.0%4.6%-0.1%-565.4K596.1K-17.4K22.6731.77N/AN/A3685891,618
2014-03-06$80.09$78.0016.4%4.7%13.8%47.2%0.0%4.2%0.2%-630.6K913.7K-17.9K0.1088.89N/AN/A150155911,686
2014-03-07$79.93$80.0015.8%4.8%14.1%43.5%17.4%5.1%1.1%-631.8K453.9K-21.2K0.0030.66N/AN/A0407411,701
2014-03-10$79.94$80.0016.8%4.9%13.9%48.5%16.9%5.4%0.9%-664.0K345.1K-20.6K58.0527.64N/AN/A191,1037411,741
2014-03-11$79.20$80.0017.9%5.1%14.7%53.1%16.4%5.1%1.3%-2.0M6.9M-26.3K10.5027.08N/AN/A2217602,824
2014-03-12$79.42$80.0017.9%5.0%14.5%53.0%16.5%5.1%1.0%-2.1M6.2M-25.7K1.5731.67N/AN/A871377602,822
2014-03-13$78.56$80.0017.8%5.1%15.3%52.0%20.8%5.6%1.0%-2.1M9.5M-25.1K0.0024.06N/AN/A0537312,959
2014-03-14$78.79$80.0018.5%5.3%14.9%56.9%21.8%6.5%0.6%-2.2M9.1M-24.8K0.0022.52N/AN/A01067313,000
2014-03-17$78.95$80.0017.8%5.1%14.8%52.0%17.8%5.7%1.1%-2.8M9.1M-22.2K126.0033.95N/AN/A22527313,102
2014-03-18$80.16$80.0016.8%4.8%15.1%45.2%17.3%5.3%1.4%-2.8M3.5M-20.4K2.0046.83N/AN/A247323,351
2014-03-19$79.74$80.0016.5%4.7%14.6%43.7%16.5%5.5%1.6%-3.5M4.9M-18.7K0.0048.78N/AN/A05037153,351
2014-03-20$79.77$80.0016.3%4.7%13.9%41.8%24.3%5.5%1.7%-4.8M7.1M-21.0K1.8342.13N/AN/A6116753,846
2014-03-21$79.36$80.0016.8%4.8%14.1%45.6%15.9%5.1%1.8%-3.4M10.3M-19.0K2457.0047.81N/AN/A12,4576713,857
2014-03-24$78.16$80.0017.0%4.9%15.0%47.1%16.7%4.4%1.2%-1.2M10.0M-25.1K4.2757.80N/AN/A15644942,309
2014-03-25$77.98$80.0017.0%4.9%15.0%46.7%15.8%4.9%1.0%-1.2M10.2M-24.5K0.9460.25N/AN/A17165052,350
2014-03-26$76.05$80.0018.8%5.4%17.3%59.0%17.7%4.3%0.6%-729.0K12.3M-20.1K2073.0060.19N/AN/A12,0735222,365
2014-03-27$75.83$80.0018.7%5.4%16.9%58.2%11.7%3.9%0.6%-1.9M23.3M-32.2K11.5660.85N/AN/A455205224,419
2014-03-28$75.70$80.0018.6%5.3%16.8%57.5%17.5%4.2%0.2%-1.7M20.3M-29.6K0.0062.00N/AN/A07015673,929
2014-03-31$77.30$80.0017.7%5.1%18.6%51.7%15.0%3.8%0.7%-2.8M18.9M-37.2K11.8366.38N/AN/A354145674,630