IWC Options History — August 2014

In August 2014, IWC traded between $70.18 and $73.88. ATM implied volatility averaged 17.5%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.9% (HV 20d: 14.6%). Max pain ranged from $61.00 to $69.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 17.95.

Notable Days

  • 2014-08-19: Highest Volume — 1,473 contracts
  • 2014-08-13: Largest IV drop — 17.2% change
  • 2014-08-01: Highest IV Rank — 80.8%
  • 2014-08-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.19$70.18$73.88$70.18$73.88
Max Pain$68.24$61.00$69.00$61.00$69.00
ATM IV17.5%15.1%22.0%22.0%15.1%
Expected Move6.2%5.9%6.6%6.6%5.9%
HV 20d14.6%10.9%16.9%16.9%10.9%
HV 60d15.5%14.0%17.4%17.4%14.0%
IV Rank50.2%34.1%80.8%80.8%34.1%
IV Percentile57.1%24.6%98.4%98.4%24.6%
Term Structure1.6%-0.1%3.0%0.3%1.8%
VWIV21.0%17.6%26.9%23.7%18.8%
Skew 25d5.6%4.0%7.2%5.7%4.1%
Skew 10d11.9%6.8%17.2%17.2%8.8%
Call IV 25d15.6%13.7%19.3%19.3%13.9%
Put IV 25d21.2%18.0%25.4%25.0%18.0%
Bid-Ask Spread %13.569.7456.6612.1611.29
Gamma HHI0.510.160.730.520.50
Net GEX-776.5K-1.1M-170.1K-632.1K-1.0M
Net DEX9.3M3.0M16.1M14.3M3.0M
Net VEX-27.2K-37.9K-18.0K-22.4K-33.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.950.0084.330.120.80
Total Volume294.52481,4734818
Total OI4,262.7623,1794,9693,8544,969

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$70.18$61.0022.0%6.6%16.9%80.8%23.7%5.7%0.3%-632.1K14.3M-22.4K0.1212.16N/AN/A4351,0312,823
2014-08-04$70.67$61.0018.8%6.5%16.3%59.0%18.9%6.4%1.5%-643.7K14.4M-21.5K5.5010.57N/AN/A4221,0742,826
2014-08-05$70.57$69.0019.4%6.5%15.7%63.1%0.0%7.2%1.3%-596.6K14.7M-20.7K1.6911.64N/AN/A13221,0752,844
2014-08-06$71.15$69.0020.4%6.6%16.1%70.3%18.7%6.8%1.2%-820.8K14.1M-21.8K0.309.74N/AN/A2061,0872,857
2014-08-07$70.51$69.0019.9%6.5%15.9%66.5%0.0%7.1%1.1%-563.7K14.7M-19.9K4.5011.99N/AN/A12541,1072,863
2014-08-08$71.31$69.0019.1%6.6%16.6%61.1%0.0%6.5%1.8%-770.1K14.5M-21.0K0.0011.10N/AN/A1001,0952,917
2014-08-11$72.03$69.0018.9%6.4%16.7%59.6%19.0%6.1%2.5%-1.1M13.8M-20.4K1.5711.15N/AN/A2473891,1052,917
2014-08-12$71.49$69.0018.3%6.5%15.9%55.8%22.7%6.1%2.4%-414.4K16.1M-18.0K1.8212.09N/AN/A50911,3463,109
2014-08-13$71.84$69.0015.2%6.3%16.0%34.3%0.0%6.0%2.4%-170.1K15.4M-18.3K0.0012.34N/AN/A01,0031,3963,051
2014-08-14$72.11$69.0017.7%6.2%14.6%51.8%0.0%5.9%3.0%-288.5K11.1M-20.4K84.3311.70N/AN/A121,0121,3912,587
2014-08-15$71.88$69.0017.4%6.2%13.2%49.8%22.9%6.5%2.9%-531.9K10.3M-24.4K57.9113.11N/AN/A221,2741,3902,686
2014-08-18$72.94$69.0015.8%6.0%14.2%38.6%0.0%5.5%1.6%-811.7K4.1M-30.1K5.0011.23N/AN/A2101,0352,144
2014-08-19$73.19$69.0016.4%6.0%14.0%43.1%26.9%5.6%1.1%-777.9K3.6M-29.9K53.5613.03N/AN/A271,4461,0372,154
2014-08-20$72.60$69.0016.3%6.0%14.3%41.9%17.6%5.1%1.0%-997.1K5.5M-37.9K0.8910.85N/AN/A981,0633,598
2014-08-21$72.71$69.0017.5%5.9%14.2%50.5%0.0%4.0%-0.1%-1.1M5.8M-35.7K0.0056.66N/AN/A081,0723,606
2014-08-22$72.82$69.0016.0%6.0%13.6%39.8%0.0%5.0%1.8%-1.0M5.0M-36.5K39.5012.08N/AN/A41581,0723,614
2014-08-25$73.18$69.0016.2%6.0%13.4%41.2%0.0%4.3%2.0%-1.1M4.6M-36.1K0.5810.30N/AN/A33191,0743,764
2014-08-26$73.88$69.0015.3%5.9%13.7%35.6%0.0%4.3%1.4%-919.2K3.0M-34.5K11.0010.76N/AN/A1111,1073,772
2014-08-27$73.75$69.0015.3%5.9%13.5%35.2%0.0%4.3%1.6%-947.6K3.3M-34.0K54.0010.67N/AN/A21081,1083,783
2014-08-28$73.33$69.0016.3%6.0%11.4%41.9%0.0%4.0%1.3%-1.1M4.2M-34.3K0.0010.23N/AN/A0101,1093,860
2014-08-29$73.88$69.0015.1%5.9%10.9%34.1%18.8%4.1%1.8%-1.0M3.0M-33.3K0.8011.29N/AN/A1081,1093,860