IWC Options History — September 2014

In September 2014, IWC traded between $69.52 and $74.25. ATM implied volatility averaged 18.2%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.5% (HV 20d: 11.7%). Max pain ranged from $69.00 to $71.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 9.55.

Notable Days

  • 2014-09-29: Highest Volume — 1,618 contracts
  • 2014-09-05: Largest IV drop — 15.3% change
  • 2014-09-30: Highest IV Rank — 78.0%
  • 2014-09-29: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.37$69.52$74.25$74.25$69.52
Max Pain$70.05$69.00$71.00$69.00$69.00
ATM IV18.2%14.5%21.6%15.5%21.6%
Expected Move6.1%5.9%6.5%5.9%6.4%
HV 20d11.7%10.2%13.8%10.9%13.4%
HV 60d14.1%13.7%14.6%13.8%14.2%
IV Rank54.9%30.0%78.0%36.7%78.0%
IV Percentile67.9%17.5%97.2%29.0%97.2%
Term Structure1.4%0.4%2.2%2.0%0.4%
VWIV21.7%19.4%23.5%19.4%23.0%
Skew 25d5.5%4.3%6.6%4.3%5.3%
Skew 10d10.5%8.3%12.6%8.3%12.3%
Call IV 25d16.0%13.5%19.7%13.5%19.7%
Put IV 25d21.5%17.7%25.0%17.7%25.0%
Bid-Ask Spread %12.489.9216.5410.5215.81
Gamma HHI0.370.120.690.510.12
Net GEX-1.0M-3.5M77.9K-920.6K-584.7K
Net DEX924.5K-3.2M3.9M2.1M3.2M
Net VEX-63.2K-107.5K-30.2K-30.2K-107.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.550.0488.890.624.40
Total Volume420.429141,618341,220
Total OI6,547.9054,9879,0034,9879,003

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$74.25$69.0015.5%5.9%10.9%36.7%19.4%4.3%2.0%-920.6K2.1M-30.2K0.6210.52N/AN/A21131,1193,868
2014-09-03$73.67$69.0016.0%5.9%11.4%39.7%20.6%4.4%1.7%-1.1M3.3M-31.3K0.6810.79N/AN/A6404381,1393,869
2014-09-04$73.42$69.0017.2%6.1%11.3%47.9%0.0%4.8%1.4%-1.1M2.8M-52.8K2.609.92N/AN/A10261,7794,293
2014-09-05$73.54$69.0014.5%6.0%10.6%30.0%21.1%5.7%2.2%-1.1M2.5M-51.6K53.1411.87N/AN/A73721,7854,319
2014-09-08$73.98$71.0015.6%5.9%10.2%37.3%0.0%5.3%1.9%-950.2K1.3M-48.3K0.0911.17N/AN/A2221,7904,273
2014-09-09$73.17$71.0017.9%6.1%10.6%53.3%21.8%5.6%1.4%-1.2M2.9M-48.8K0.4210.36N/AN/A76321,8094,275
2014-09-10$73.80$71.0015.9%6.0%10.5%39.5%21.6%5.8%2.1%-1.1M1.1M-49.4K0.0410.65N/AN/A2511,8814,301
2014-09-11$74.11$71.0017.4%6.0%10.5%49.3%21.7%5.6%2.2%-913.8K17.6K-48.3K0.0510.35N/AN/A7941,9064,302
2014-09-12$73.34$71.0018.7%6.2%11.3%58.7%21.3%6.0%1.5%-1.2M1.5M-49.8K0.2910.67N/AN/A52151,9854,302
2014-09-15$72.48$71.0020.2%6.2%12.1%68.6%21.2%6.5%0.7%-1.7M3.9M-50.2K0.4311.26N/AN/A2651132,0334,317
2014-09-16$72.70$71.0018.1%6.1%10.9%54.7%19.4%5.8%1.8%-1.9M2.2M-55.1K0.0011.25N/AN/A0482,2984,425
2014-09-17$72.97$71.0017.9%6.1%10.9%53.2%21.3%4.9%1.6%-2.3M177.5K-52.3K0.2513.36N/AN/A200502,2984,452
2014-09-18$73.22$71.0017.3%6.0%10.5%49.1%0.0%5.2%2.0%-1.2M-2.5M-54.1K0.0812.21N/AN/A1312,4964,333
2014-09-19$72.31$71.0017.7%6.1%11.5%51.5%22.1%5.5%1.7%-3.5M1.8M-54.3K2.9413.04N/AN/A2828302,5084,333
2014-09-22$71.12$71.0019.8%6.3%12.8%65.8%22.3%5.1%0.7%-39.9K-575.7K-66.4K0.5913.25N/AN/A5503232,4063,133
2014-09-23$70.51$69.0019.8%6.4%12.9%66.2%22.6%5.4%0.8%-50.8K-630.2K-81.7K0.3413.66N/AN/A6302142,9553,435
2014-09-24$70.89$69.0018.9%6.3%12.5%59.8%23.0%6.2%1.3%77.9K-3.2M-94.8K12.8613.80N/AN/A141803,5773,639
2014-09-25$69.87$69.0021.0%6.4%13.2%74.2%23.2%6.6%0.5%-62.3K-618.1K-97.0K9.8116.54N/AN/A262553,5893,805
2014-09-26$70.47$69.0019.8%6.4%13.8%65.9%23.5%6.0%1.2%-38.4K-1.3M-101.3K12.5015.97N/AN/A121503,6004,060
2014-09-29$70.36$69.0021.0%6.5%13.3%74.3%0.0%6.6%0.8%-68.9K-692.0K-102.9K88.8915.63N/AN/A181,6003,6064,210
2014-09-30$69.52$69.0021.6%6.4%13.4%78.0%23.0%5.3%0.4%-584.7K3.2M-107.5K4.4015.81N/AN/A2269943,6035,400