IWC Options History — January 2015

In January 2015, IWC traded between $73.46 and $76.74. ATM implied volatility averaged 22.8%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.4% (HV 20d: 19.5%). Max pain ranged from $75.00 to $76.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2015-01-15: Highest Volume — 1,998 contracts
  • 2015-01-12: Largest IV spike — 27.0% change
  • 2015-01-06: Highest IV Rank — 78.7%
  • 2015-01-15: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.22$73.46$76.74$76.74$73.68
Max Pain$75.85$75.00$76.00$76.00$76.00
ATM IV22.8%18.5%27.1%20.4%24.9%
Expected Move6.6%5.5%7.5%6.2%7.1%
HV 20d19.5%17.8%21.9%19.6%21.9%
HV 60d18.6%18.0%19.2%18.6%19.2%
IV Rank55.6%33.8%78.7%47.5%63.8%
IV Percentile86.8%59.5%98.0%82.1%95.2%
Term Structure0.1%-1.6%1.6%0.7%-1.6%
VWIV23.1%18.4%27.5%23.9%27.5%
Skew 25d7.2%6.1%8.6%7.4%6.5%
Skew 10d16.3%11.8%24.2%12.2%11.8%
Call IV 25d19.6%16.9%22.2%17.7%22.2%
Put IV 25d26.8%23.2%29.5%25.1%28.7%
Bid-Ask Spread %60.6646.9375.6248.9374.95
Gamma HHI0.150.130.160.140.14
Net GEX795.4K482.7K1.0M551.5K920.1K
Net DEX-20.4M-24.4M-14.5M-19.4M-18.4M
Net VEX-76.5K-84.6K-67.6K-72.4K-72.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.003.181.250.57
Total Volume1,017.5551,9981,0351,385
Total OI7,932.66,9658,3326,9658,173

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$76.74$76.0020.4%6.2%19.6%47.5%23.9%7.4%0.7%551.5K-19.4M-72.4K1.2548.93N/AN/A4605754,4332,532
2015-01-05$76.13$76.0024.4%6.9%19.7%66.4%20.0%8.6%0.5%491.4K-18.0M-74.0K0.0046.93N/AN/A4104,4372,648
2015-01-06$74.50$76.0027.1%7.3%21.0%78.7%25.0%7.8%-1.1%482.7K-14.5M-77.8K3.1849.85N/AN/A11354,4672,648
2015-01-07$75.30$76.0024.0%6.8%20.7%64.6%0.0%7.6%0.3%500.2K-16.3M-74.8K0.0056.42N/AN/A60124,4592,672
2015-01-08$76.56$76.0019.2%6.2%19.8%42.2%23.4%7.7%0.6%687.9K-22.4M-76.2K0.4254.49N/AN/A1,3075455,0612,675
2015-01-09$76.19$76.0018.5%6.3%18.4%39.0%22.6%7.0%0.1%781.2K-23.0M-79.0K0.4055.52N/AN/A1,3735515,3122,682
2015-01-12$75.76$76.0023.5%6.6%18.5%62.3%24.1%7.6%1.6%840.8K-22.9M-84.0K0.4152.69N/AN/A1,3605535,6392,688
2015-01-13$75.27$76.0025.6%6.7%18.5%72.0%24.1%7.0%0.3%840.4K-21.5M-84.6K0.3856.04N/AN/A1,3925235,6432,689
2015-01-14$75.50$76.0024.5%7.0%17.8%66.7%25.2%7.8%0.3%798.4K-21.5M-81.9K0.3853.77N/AN/A1,4205335,5392,689
2015-01-15$73.46$75.0026.1%7.5%20.7%74.3%26.0%7.8%-0.7%700.5K-16.4M-84.6K0.4150.02N/AN/A1,4155835,5392,693
2015-01-16$75.06$75.0023.4%6.7%19.1%55.6%23.0%7.6%0.2%770.6K-20.2M-81.0K0.3361.11N/AN/A48165,5422,741
2015-01-20$74.52$75.0023.5%6.7%18.2%56.1%22.5%7.6%-0.3%850.8K-19.8M-79.9K1.8958.99N/AN/A38725,4162,601
2015-01-21$73.87$76.0023.9%6.8%18.3%58.3%20.8%7.1%-0.4%856.7K-17.8M-79.6K0.0059.05N/AN/A705,4532,662
2015-01-22$75.05$76.0020.2%5.8%19.2%38.8%21.7%6.1%0.5%956.7K-21.5M-75.9K0.5669.25N/AN/A9105065,4572,662
2015-01-23$75.35$76.0020.5%5.9%19.2%40.3%21.5%6.5%0.2%969.4K-22.5M-73.2K0.5669.46N/AN/A9075065,4832,662
2015-01-26$75.95$76.0019.3%5.5%19.4%33.8%19.6%6.3%0.7%1.0M-24.4M-67.6K1.6074.66N/AN/A585,4932,660
2015-01-27$75.70$76.0020.7%5.9%19.0%41.2%18.4%6.6%0.6%962.0K-24.1M-68.2K0.0075.62N/AN/A505,4982,668
2015-01-28$74.47$76.0024.3%7.0%19.7%60.3%24.9%6.5%-0.8%935.2K-20.0M-72.7K0.5070.89N/AN/A8974455,5002,668
2015-01-29$75.43$76.0022.3%6.4%20.4%49.6%25.0%6.7%-0.1%965.5K-22.6M-69.2K0.5174.60N/AN/A8714455,4992,669
2015-01-30$73.68$76.0024.9%7.1%21.9%63.8%27.5%6.5%-1.6%920.1K-18.4M-72.6K0.5774.95N/AN/A8805055,5042,669