IWC Options History — July 2014

In July 2014, IWC traded between $70.76 and $77.17. ATM implied volatility averaged 18.1%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.0% (HV 20d: 15.1%). Max pain ranged from $61.00 to $81.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 51.70.

Notable Days

  • 2014-07-16: Highest Volume — 2,411 contracts
  • 2014-07-31: Largest IV spike — 19.7% change
  • 2014-07-31: Highest IV Rank — 78.4%
  • 2014-07-31: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.35$70.76$77.17$77.04$70.76
Max Pain$75.10$61.00$81.00$75.00$61.00
ATM IV18.1%13.0%21.6%15.0%21.6%
Expected Move5.5%3.7%6.5%4.3%6.5%
HV 20d15.1%10.3%17.3%12.3%17.3%
HV 60d17.4%16.9%18.4%18.4%17.4%
IV Rank54.2%19.7%78.4%33.2%78.4%
IV Percentile71.8%4.0%98.0%30.6%98.0%
Term Structure0.9%-0.3%2.7%1.2%-0.1%
VWIV20.7%15.4%26.7%15.4%26.5%
Skew 25d5.1%3.6%6.1%4.2%5.7%
Skew 10d9.9%5.6%15.2%7.7%13.1%
Call IV 25d16.0%12.7%19.4%13.3%19.4%
Put IV 25d21.1%16.7%25.1%17.5%25.1%
Bid-Ask Spread %43.288.98104.1879.349.78
Gamma HHI0.740.490.910.870.59
Net GEX-1.6M-3.4M-595.5K-1.5M-782.2K
Net DEX14.8M2.2M29.4M2.5M13.7M
Net VEX-29.9K-34.8K-20.4K-34.5K-24.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio51.700.00384.50102.000.94
Total Volume435.13622,4112460
Total OI4,497.3643,6036,1504,0773,796

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$77.04$75.0015.0%4.3%12.3%33.2%15.4%4.2%1.2%-1.5M2.5M-34.5K0.0079.34N/AN/A0249283,149
2014-07-02$76.71$76.0013.0%3.7%12.6%19.7%19.1%6.1%1.1%-1.5M2.2M-33.7K102.00104.18N/AN/A11028883,173
2014-07-03$77.17$76.0014.5%4.2%10.3%29.8%0.0%3.6%1.5%-1.5M2.2M-33.2K0.0083.09N/AN/A068893,271
2014-07-07$75.58$79.0016.1%5.0%12.7%40.9%18.0%4.7%0.6%-2.3M6.5M-33.9K0.0055.51N/AN/A01,1038893,276
2014-07-08$74.43$79.0018.2%5.4%13.4%55.1%21.5%5.1%0.4%-3.2M18.7M-34.8K43.5052.22N/AN/A301,3058894,372
2014-07-09$74.30$79.0017.7%5.3%13.5%51.4%19.6%5.0%0.8%-3.4M19.7M-34.3K0.0058.45N/AN/A01559144,474
2014-07-10$73.37$79.0019.7%5.6%14.0%65.0%26.2%6.0%0.3%-2.6M24.1M-29.7K384.5057.35N/AN/A27699144,621
2014-07-11$73.37$79.0019.3%5.5%13.8%62.3%19.7%5.8%0.8%-2.0M21.4M-26.0K0.0554.77N/AN/A3729164,022
2014-07-14$74.00$73.0018.4%5.3%14.2%56.6%0.0%5.8%1.0%-3.0M20.4M-25.3K0.0053.51N/AN/A209494,020
2014-07-15$72.81$73.0019.0%5.4%15.1%60.3%22.2%5.5%0.6%-839.9K23.5M-20.4K34.0057.69N/AN/A268849514,020
2014-07-16$72.60$73.0018.2%5.2%14.8%55.1%17.5%5.3%1.2%-732.0K29.4M-20.5K0.0055.74N/AN/A02,4119764,888
2014-07-17$71.28$74.0021.3%6.1%15.6%76.1%18.5%6.0%-0.3%-595.5K27.9M-25.9K148.5663.28N/AN/A162,3779754,873
2014-07-18$72.54$74.0017.8%5.1%17.2%52.2%21.3%5.4%1.1%-1.5M26.8M-34.6K0.2565.51N/AN/A419795,171
2014-07-21$72.26$0.0019.3%6.3%17.0%62.5%18.2%5.6%0.3%-1.1M10.4M-31.8K0.219.14N/AN/A67149052,698
2014-07-22$72.83$81.0017.4%6.1%17.3%49.3%0.0%5.7%1.2%-1.3M9.3M-34.3K0.539.20N/AN/A30169672,712
2014-07-23$72.94$81.0017.9%6.1%17.1%52.9%0.0%5.0%1.1%-1.3M8.9M-34.5K0.008.98N/AN/A509962,728
2014-07-24$72.71$81.0017.5%6.1%16.8%50.2%0.0%4.7%1.3%-1.3M9.8M-33.0K0.009.17N/AN/A0351,0012,728
2014-07-25$71.86$81.0019.8%5.8%17.2%65.7%0.0%3.8%2.7%-1.1M10.9M-30.6K0.0035.08N/AN/A071,0012,733
2014-07-28$71.39$81.0019.5%6.3%17.0%63.8%26.7%4.7%0.7%-991.6K12.6M-26.5K8.509.87N/AN/A4341,0012,737
2014-07-29$71.65$61.0018.5%6.2%16.8%57.2%26.5%4.4%0.9%-1.1M12.3M-27.6K0.0010.06N/AN/A081,0022,770
2014-07-30$72.17$61.0018.1%6.2%16.3%54.1%0.0%4.5%1.7%-1.3M11.6M-28.4K0.8010.34N/AN/A20161,0022,778
2014-07-31$70.76$61.0021.6%6.5%17.3%78.4%0.0%5.7%-0.1%-782.2K13.7M-24.2K0.949.78N/AN/A31291,0022,794