IWC Options History — April 2014

In April 2014, IWC traded between $72.17 and $78.56. ATM implied volatility averaged 18.8%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 3.1% (HV 20d: 21.9%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 40.22.

Notable Days

  • 2014-04-15: Highest Volume — 7,664 contracts
  • 2014-04-10: Largest IV spike — 18.2% change
  • 2014-04-15: Highest IV Rank — 82.3%
  • 2014-04-15: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.37$72.17$78.56$78.36$72.67
Max Pain$76.10$75.00$80.00$80.00$75.00
ATM IV18.8%14.9%22.2%16.3%17.9%
Expected Move5.4%4.3%6.4%4.7%5.1%
HV 20d21.9%16.3%24.7%16.4%22.2%
HV 60d19.6%18.1%20.6%18.1%18.7%
IV Rank59.1%32.2%82.3%42.0%53.1%
IV Percentile80.6%29.4%99.2%52.8%76.6%
Term Structure0.1%-0.8%1.1%0.8%0.2%
VWIV18.8%14.9%22.1%14.9%19.7%
Skew 25d5.1%3.5%6.3%3.5%4.4%
Skew 10d12.2%6.5%35.2%9.1%35.2%
Call IV 25d16.7%13.5%19.4%14.5%16.4%
Put IV 25d21.7%17.4%25.2%18.0%20.8%
Bid-Ask Spread %83.8072.2095.3674.4795.36
Gamma HHI0.480.180.680.350.53
Net GEX-2.2M-3.4M-456.5K-3.4M-3.4M
Net DEX21.2M6.9M33.8M17.3M18.0M
Net VEX-29.0K-42.5K-10.0K-39.6K-34.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio40.220.00217.97195.000.00
Total Volume558.76227,6645882
Total OI5,592.9054,5457,8845,6445,880

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$78.36$80.0016.3%4.7%16.4%42.0%14.9%3.5%0.8%-3.4M17.3M-39.6K195.0074.47N/AN/A35856025,042
2014-04-02$78.56$80.0014.9%4.3%16.3%32.2%0.0%3.9%1.1%-2.5M10.7M-32.4K0.0081.80N/AN/A0155723,978
2014-04-03$77.48$80.0016.9%4.8%16.9%46.0%17.7%3.9%1.1%-2.6M14.3M-31.3K6.0072.20N/AN/A10605723,973
2014-04-04$75.41$77.0018.5%5.5%19.2%57.0%17.7%5.0%0.1%-2.0M21.6M-24.7K12.6075.94N/AN/A425295824,011
2014-04-07$74.32$77.0019.9%5.8%19.6%66.6%19.8%5.3%-0.1%-1.6M27.5M-19.5K0.4577.35N/AN/A153696244,522
2014-04-08$74.89$75.0018.2%5.4%19.8%55.3%0.0%5.3%0.4%-2.1M27.2M-18.6K0.8077.02N/AN/A545034,566
2014-04-09$76.21$75.0017.1%5.3%21.0%47.2%18.1%4.9%0.0%-3.3M23.1M-23.8K36.2077.34N/AN/A51815034,557
2014-04-10$73.75$76.0020.2%5.8%23.6%68.5%21.0%5.5%-0.3%-1.2M30.0M-13.4K0.0080.32N/AN/A0665034,674
2014-04-11$72.57$76.0021.0%6.0%23.9%74.0%21.0%6.3%-0.5%-580.8K31.0M-10.0K0.0083.06N/AN/A03085034,684
2014-04-14$72.48$76.0022.0%6.3%23.8%80.8%22.0%5.5%-0.4%-478.8K32.6M-10.9K3.0883.38N/AN/A601855034,988
2014-04-15$72.42$76.0022.2%6.4%22.7%82.3%22.1%5.8%-0.8%-456.5K33.8M-11.6K217.9784.61N/AN/A357,6295435,171
2014-04-16$73.15$75.0019.7%5.6%23.3%65.1%19.5%5.2%-0.2%-2.2M31.8M-42.5K0.0086.61N/AN/A0825767,308
2014-04-17$73.69$75.0018.4%5.3%23.6%56.6%0.0%4.8%0.4%-2.3M28.4M-40.5K0.0088.56N/AN/A0575767,145
2014-04-21$74.36$75.0018.4%5.3%24.1%56.6%16.7%5.0%0.4%-2.1M9.9M-36.4K0.2384.70N/AN/A3174784,775
2014-04-22$75.44$75.0017.2%4.9%24.4%48.2%17.0%4.7%0.9%-1.8M6.9M-31.3K0.2883.65N/AN/A1855024,770
2014-04-23$74.54$75.0017.0%4.9%24.7%46.7%16.9%5.1%0.7%-2.0M8.9M-34.1K0.0088.65N/AN/A07045204,775
2014-04-24$74.31$75.0018.3%5.2%23.2%55.5%18.3%4.8%0.2%-2.6M12.6M-38.4K0.0088.57N/AN/A0345205,447
2014-04-25$72.78$75.0019.5%5.6%24.2%64.0%17.0%6.0%0.0%-2.9M18.4M-40.8K72.6088.99N/AN/A107265205,472
2014-04-28$72.22$75.0020.5%5.9%24.3%70.7%19.3%5.5%-0.6%-3.0M21.1M-38.0K1.9092.65N/AN/A10195305,567
2014-04-29$72.17$75.0020.9%6.0%22.7%73.3%19.7%5.8%-0.7%-3.0M20.0M-36.3K16.0094.62N/AN/A5805305,384
2014-04-30$72.67$75.0017.9%5.1%22.2%53.1%0.0%4.4%0.2%-3.4M18.0M-34.8K0.0095.36N/AN/A205335,347