IWC Options History — May 2014

In May 2014, IWC traded between $69.24 and $72.91. ATM implied volatility averaged 18.2%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.8% (HV 20d: 20.0%). Max pain ranged from $74.00 to $78.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 422.76.

Notable Days

  • 2014-05-15: Highest Volume — 7,917 contracts
  • 2014-05-09: Largest IV drop — 11.5% change
  • 2014-05-07: Highest IV Rank — 66.5%
  • 2014-05-08: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.08$69.24$72.91$72.38$72.54
Max Pain$75.90$74.00$78.00$75.00$74.00
ATM IV18.2%16.6%19.9%18.5%16.6%
Expected Move5.2%4.8%5.8%5.3%4.8%
HV 20d20.0%16.7%22.0%22.0%20.7%
HV 60d19.5%18.5%20.6%18.7%19.7%
IV Rank54.9%43.9%66.5%57.0%43.9%
IV Percentile74.8%48.8%92.5%82.1%48.8%
Term Structure0.5%-0.2%1.3%0.3%0.4%
VWIV18.1%14.9%21.2%17.1%17.4%
Skew 25d4.6%4.0%5.7%4.0%4.2%
Skew 10d8.6%4.5%42.7%42.7%7.6%
Call IV 25d16.1%14.9%17.4%16.6%15.2%
Put IV 25d20.7%19.1%22.1%20.6%19.3%
Bid-Ask Spread %69.7458.7597.7096.9768.39
Gamma HHI0.590.370.900.560.53
Net GEX-3.1M-6.4M-1.3M-3.6M-1.4M
Net DEX17.1M4.3M33.0M19.5M4.8M
Net VEX-32.1K-52.4K-11.0K-33.4K-36.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio422.760.007002.000.002.50
Total Volume816.23847,9173235
Total OI6,144.1435,7607,6735,8826,047

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$72.38$75.0018.5%5.3%22.0%57.0%17.1%4.0%0.3%-3.6M19.5M-33.4K0.0096.97N/AN/A03235355,347
2014-05-02$72.05$75.0018.2%5.2%21.7%55.2%15.9%4.2%0.4%-3.6M20.1M-31.5K0.0097.70N/AN/A1305355,225
2014-05-05$72.03$78.0018.2%5.3%19.9%55.1%18.5%5.7%0.5%-3.8M20.4M-28.2K3.3358.75N/AN/A3105465,225
2014-05-06$70.72$78.0019.5%5.5%20.3%63.7%19.1%5.2%0.5%-3.3M26.7M-23.2K0.0064.72N/AN/A0135495,235
2014-05-07$70.43$78.0019.9%5.7%19.9%66.5%17.0%5.4%0.0%-3.1M28.8M-19.7K3.8563.69N/AN/A13505495,243
2014-05-08$69.24$78.0019.4%5.8%18.9%63.0%17.1%4.4%-0.1%-1.7M33.0M-11.0K7002.0071.12N/AN/A17,0025615,264
2014-05-09$70.12$78.0017.2%5.2%16.7%47.8%17.6%5.4%0.9%-5.4M29.8M-23.8K31.5071.44N/AN/A2635626,548
2014-05-12$72.06$78.0018.1%4.8%19.0%54.4%17.7%4.2%1.2%-3.5M12.7M-14.6K1.2464.83N/AN/A25315645,601
2014-05-13$71.29$78.0017.3%4.9%19.4%48.6%14.9%4.1%1.2%-4.7M15.5M-14.5K0.3368.13N/AN/A315865,614
2014-05-14$69.93$78.0019.0%5.4%20.4%60.6%19.1%4.9%1.3%-6.4M24.4M-15.1K0.9770.18N/AN/A5084945895,614
2014-05-15$69.44$78.0019.8%5.7%20.0%66.0%20.0%4.4%1.0%-6.4M28.0M-20.3K112.1064.88N/AN/A707,8471,0915,299
2014-05-16$69.75$75.0018.6%5.3%19.9%57.7%20.8%4.7%1.2%-3.2M24.0M-52.4K10.8871.06N/AN/A8871,1406,533
2014-05-19$70.64$75.0017.8%5.1%20.2%52.0%18.0%4.8%0.2%-2.0M11.6M-49.8K2.4567.10N/AN/A33819735,067
2014-05-20$69.59$74.0018.7%5.4%19.6%58.4%20.6%4.5%0.2%-2.1M14.2M-50.0K0.0071.73N/AN/A0169995,020
2014-05-21$69.80$74.0018.7%5.4%19.5%58.5%17.9%4.9%0.2%-2.1M13.4M-48.9K7.0069.25N/AN/A179995,029
2014-05-22$70.72$74.0017.8%5.1%20.4%52.3%17.4%4.5%0.0%-2.0M10.6M-47.0K1.1968.37N/AN/A47561,0005,033
2014-05-23$71.54$74.0016.7%4.8%19.7%44.7%17.2%5.0%0.3%-1.7M8.3M-44.7K0.6267.30N/AN/A21131,0445,068
2014-05-27$72.91$74.0017.1%4.9%20.7%47.4%21.2%4.3%-0.2%-1.5M4.4M-36.7K6.8262.89N/AN/A342321,0635,074
2014-05-28$72.62$74.0017.3%5.0%20.8%49.0%17.7%4.0%0.1%-1.4M5.0M-37.2K0.1764.14N/AN/A1221,0924,930
2014-05-29$72.87$74.0017.5%5.0%20.7%50.5%0.0%4.1%-0.1%-1.3M4.3M-36.4K2.5061.84N/AN/A4101,1024,932
2014-05-30$72.54$74.0016.6%4.8%20.7%43.9%17.4%4.2%0.4%-1.4M4.8M-36.4K0.0068.39N/AN/A051,1054,942