IWC Options History — December 2014

In December 2014, IWC traded between $72.28 and $77.34. ATM implied volatility averaged 20.5%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.7% (HV 20d: 19.8%). Max pain ranged from $69.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.32.

Notable Days

  • 2014-12-26: Highest Volume — 994 contracts
  • 2014-12-10: Largest IV spike — 22.7% change
  • 2014-12-16: Highest IV Rank — 70.4%
  • 2014-12-15: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.85$72.28$77.34$72.28$76.98
Max Pain$70.71$69.00$75.00$69.00$75.00
ATM IV20.5%16.8%25.3%22.4%20.2%
Expected Move6.2%5.5%7.0%6.5%6.1%
HV 20d19.8%14.7%23.0%14.7%19.8%
HV 60d19.2%18.1%20.2%18.1%19.1%
IV Rank48.4%31.0%70.4%56.7%46.6%
IV Percentile75.3%31.3%97.2%94.4%81.3%
Term Structure0.8%-1.0%2.1%-0.4%1.1%
VWIV22.4%19.4%25.0%23.0%24.1%
Skew 25d5.9%4.2%7.6%4.2%5.7%
Skew 10d12.5%7.9%17.9%7.9%17.0%
Call IV 25d18.1%15.3%23.3%19.8%18.9%
Put IV 25d24.0%20.4%29.9%24.0%24.7%
Bid-Ask Spread %38.1326.3359.2327.4251.52
Gamma HHI0.220.140.390.180.14
Net GEX753.9K434.4K1.6M482.1K576.0K
Net DEX-17.4M-24.0M-11.1M-11.1M-20.8M
Net VEX-80.3K-93.0K-67.8K-93.0K-70.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.351.731.540.35
Total Volume745.2730994776183
Total OI7,661.2276,6738,2217,9336,811

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$72.28$69.0022.4%6.5%14.7%56.7%23.0%4.2%-0.4%482.1K-11.1M-93.0K1.5427.42N/AN/A3054714,8603,073
2014-12-02$73.29$69.0020.4%6.1%15.5%47.5%22.6%4.7%-0.1%624.1K-13.7M-90.8K1.5227.08N/AN/A3054644,8633,075
2014-12-03$74.09$69.0019.2%5.9%16.0%42.0%22.6%5.4%-0.6%765.0K-15.9M-88.3K1.5426.33N/AN/A3054704,8623,073
2014-12-04$73.56$69.0018.8%5.9%16.2%40.4%0.0%5.1%0.7%715.4K-14.8M-89.2K0.0029.70N/AN/A004,8613,079
2014-12-05$74.36$69.0017.8%5.9%16.7%35.8%21.5%5.3%1.2%881.3K-17.2M-86.0K1.3636.61N/AN/A3204344,8613,079
2014-12-08$73.36$69.0021.9%6.2%17.4%54.5%22.2%5.9%0.7%695.4K-14.5M-86.5K1.4827.77N/AN/A3074544,8783,093
2014-12-09$75.10$69.0019.7%5.8%19.1%44.2%21.6%5.8%1.5%990.3K-19.1M-81.1K1.1830.41N/AN/A3874564,8883,124
2014-12-10$73.61$69.0024.1%6.4%20.4%65.0%23.2%6.3%0.9%711.5K-15.3M-86.3K1.2130.91N/AN/A4114974,9283,126
2014-12-11$73.85$69.0022.7%6.6%20.3%58.3%23.7%6.3%-0.1%742.1K-15.7M-86.9K1.4030.80N/AN/A3574985,0193,176
2014-12-12$73.31$69.0024.4%7.0%20.2%66.2%24.5%6.9%0.6%645.0K-14.1M-86.8K1.4029.36N/AN/A3554975,0123,176
2014-12-15$72.42$69.0025.2%7.0%20.6%70.0%24.7%7.6%-0.6%449.3K-11.3M-83.8K1.5128.75N/AN/A3405145,0123,173
2014-12-16$72.51$69.0025.3%6.9%20.2%70.4%25.0%6.6%-1.0%434.4K-11.8M-83.2K1.5228.91N/AN/A3385135,0183,193
2014-12-17$74.78$69.0022.5%6.6%23.0%57.3%24.2%7.0%0.5%1.4M-18.3M-78.2K1.5132.36N/AN/A3405135,0183,203
2014-12-18$76.00$69.0021.0%6.4%22.7%50.7%22.6%7.1%1.0%1.6M-22.9M-72.7K1.4139.32N/AN/A3534994,9843,191
2014-12-19$76.29$69.0019.5%6.2%22.4%43.7%21.8%6.5%1.9%1.3M-24.0M-71.4K1.7332.18N/AN/A2143704,9873,199
2014-12-22$76.71$0.0017.8%5.7%22.4%35.7%21.6%6.5%2.0%542.9K-19.0M-76.1K1.1250.86N/AN/A4535094,3292,344
2014-12-23$76.17$75.0018.0%5.7%22.2%36.6%20.4%5.4%1.3%600.2K-19.1M-75.9K1.1251.33N/AN/A4635194,4212,349
2014-12-24$76.45$75.0017.9%5.7%22.2%35.9%20.3%5.1%1.8%611.7K-20.1M-73.2K1.1559.23N/AN/A4615294,4412,364
2014-12-26$77.22$75.0016.8%5.5%22.4%31.0%20.8%5.0%2.1%604.9K-21.6M-69.3K1.1455.50N/AN/A4655294,4312,374
2014-12-29$77.34$75.0018.2%5.6%21.3%37.6%20.7%5.5%1.1%586.7K-21.7M-67.8K1.1957.46N/AN/A4465294,4262,374
2014-12-30$77.10$75.0018.3%5.6%20.1%37.8%19.4%5.3%1.3%593.0K-21.2M-70.1K0.3555.04N/AN/A1764,4272,372
2014-12-31$76.98$75.0020.2%6.1%19.8%46.6%24.1%5.7%1.1%576.0K-20.8M-70.2K0.0051.52N/AN/A01834,4332,378