IWC Options History — November 2014

In November 2014, IWC traded between $72.31 and $74.78. ATM implied volatility averaged 18.0%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.7% (HV 20d: 16.3%). Max pain ranged from $69.00 to $69.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.07.

Notable Days

  • 2014-11-03: Highest Volume — 1,139 contracts
  • 2014-11-13: Largest IV spike — 24.9% change
  • 2014-11-19: Highest IV Rank — 46.4%
  • 2014-11-19: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.76$72.31$74.78$73.60$73.56
Max Pain$69.00$69.00$69.00$69.00$69.00
ATM IV18.0%14.8%20.1%19.8%18.9%
Expected Move6.0%5.6%6.4%6.2%6.0%
HV 20d16.3%12.7%21.9%21.9%13.8%
HV 60d17.0%16.6%17.7%17.0%17.7%
IV Rank36.3%21.6%46.4%44.7%40.6%
IV Percentile57.5%14.3%84.9%81.7%71.4%
Term Structure1.9%0.7%2.9%0.7%0.9%
VWIV22.5%21.3%23.6%23.6%21.4%
Skew 25d4.9%4.0%5.7%4.3%4.6%
Skew 10d10.4%6.8%14.6%7.4%8.1%
Call IV 25d16.4%14.5%18.1%17.9%17.8%
Put IV 25d21.3%19.1%22.7%22.2%22.4%
Bid-Ask Spread %18.6311.7530.4312.0929.30
Gamma HHI0.190.170.240.170.21
Net GEX679.0K555.2K814.3K555.2K642.5K
Net DEX-15.6M-18.8M-11.7M-15.0M-14.8M
Net VEX-101.9K-112.2K-90.1K-112.2K-93.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.001.531.210.00
Total Volume751.42121,1391,1397
Total OI8,245.3167,8258,4138,3117,936

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$73.60$69.0019.8%6.2%21.9%44.7%23.6%4.3%0.7%555.2K-15.0M-112.2K1.2112.09N/AN/A5166235,0563,255
2014-11-04$73.58$69.0019.7%6.3%20.5%44.4%23.6%4.6%0.9%559.4K-14.9M-111.6K1.2511.75N/AN/A5026295,0463,256
2014-11-05$73.51$69.0018.5%6.2%20.0%38.7%23.4%4.0%1.7%574.2K-14.6M-110.7K1.2512.61N/AN/A4465565,0573,264
2014-11-06$73.50$69.0019.0%6.4%16.8%41.3%23.2%4.2%1.3%589.3K-14.8M-110.2K1.2012.63N/AN/A4645565,0663,265
2014-11-07$73.50$69.0016.8%6.2%16.7%30.8%22.7%5.4%2.1%627.9K-14.9M-108.6K1.2612.13N/AN/A4745965,0673,286
2014-11-10$74.17$69.0016.0%5.9%16.2%27.4%22.4%5.7%2.2%691.9K-17.0M-105.2K1.3514.32N/AN/A4375905,0773,308
2014-11-11$74.31$69.0015.6%5.9%15.4%25.6%22.0%5.3%2.3%724.6K-16.9M-99.8K1.3313.97N/AN/A4435904,9052,920
2014-11-12$74.77$69.0014.8%5.8%15.3%21.6%22.1%5.0%2.9%724.7K-18.8M-102.0K1.4013.56N/AN/A4225905,0853,313
2014-11-13$74.00$69.0018.5%6.0%15.9%38.8%22.8%5.6%2.6%693.0K-16.7M-104.1K1.5012.48N/AN/A3895845,0953,313
2014-11-14$73.92$69.0018.1%6.0%15.3%37.1%0.0%5.0%2.6%734.7K-16.4M-102.9K0.0013.96N/AN/A205,0943,317
2014-11-17$73.10$69.0019.1%6.1%16.0%41.6%22.5%5.3%2.5%708.1K-14.3M-101.5K1.5014.88N/AN/A3905855,0923,317
2014-11-18$73.49$69.0019.1%6.1%15.8%41.5%22.6%5.4%2.3%719.5K-15.5M-100.7K1.5314.45N/AN/A3936015,0943,319
2014-11-19$72.31$69.0020.1%6.4%16.1%46.4%0.0%5.4%2.5%634.6K-11.7M-101.2K0.5225.12N/AN/A21115,0603,330
2014-11-20$73.29$69.0018.6%6.1%16.0%39.2%22.4%5.6%2.9%757.0K-14.2M-98.7K1.5128.14N/AN/A3965995,0563,328
2014-11-21$73.37$69.0018.1%6.0%15.9%37.1%22.2%4.8%2.5%714.0K-14.8M-97.5K1.5225.19N/AN/A3956015,0373,326
2014-11-24$74.33$69.0016.8%5.8%16.4%31.1%21.3%4.5%1.1%691.8K-16.2M-92.6K0.2128.05N/AN/A3984,8143,065
2014-11-25$74.28$69.0017.5%5.8%12.7%34.3%21.4%4.3%0.9%743.7K-16.4M-92.3K1.4428.90N/AN/A3314764,8403,073
2014-11-26$74.78$69.0016.1%5.6%12.8%27.7%0.0%4.6%1.1%814.3K-17.9M-90.1K0.3630.43N/AN/A1144,8543,075
2014-11-28$73.56$69.0018.9%6.0%13.8%40.6%0.0%4.6%0.9%642.5K-14.8M-93.8K0.0029.30N/AN/A704,8633,073