IWC Options History — February 2015

In February 2015, IWC traded between $74.17 and $78.48. ATM implied volatility averaged 19.1%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.3% (HV 20d: 18.8%). Max pain ranged from $69.00 to $76.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.37.

Notable Days

  • 2015-02-06: Highest Volume — 1,806 contracts
  • 2015-02-10: Largest IV drop — 12.7% change
  • 2015-02-02: Highest IV Rank — 60.6%
  • 2015-02-02: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.55$74.17$78.48$74.17$77.98
Max Pain$70.11$69.00$76.00$76.00$69.00
ATM IV19.1%15.3%24.3%24.3%15.5%
Expected Move5.5%4.4%7.0%7.0%4.4%
HV 20d18.8%14.2%22.7%22.1%14.2%
HV 60d19.4%18.4%19.9%19.2%18.4%
IV Rank32.6%12.0%60.6%60.6%13.4%
IV Percentile52.8%4.8%92.9%92.9%6.0%
Term Structure1.4%-0.4%3.3%-0.4%1.4%
VWIV20.9%13.6%25.8%22.0%14.8%
Skew 25d5.8%4.4%7.2%5.8%4.7%
Skew 10d13.3%7.5%20.3%13.9%7.5%
Call IV 25d16.7%12.5%21.4%21.4%13.3%
Put IV 25d22.5%17.9%27.2%27.2%17.9%
Bid-Ask Spread %67.0647.0390.9676.5180.53
Gamma HHI0.190.150.260.150.24
Net GEX1.1M887.3K1.3M968.0K1.1M
Net DEX-28.5M-36.6M-19.3M-19.3M-35.3M
Net VEX-48.1K-69.0K-22.4K-69.0K-26.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.061.400.060.26
Total Volume1,274.526121,806590926
Total OI8,246.5267,9708,5188,2388,023

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$74.17$76.0024.3%7.0%22.1%60.6%22.0%5.8%-0.4%968.0K-19.3M-69.0K0.0676.51N/AN/A555355,5092,729
2015-02-03$75.23$76.0021.9%6.3%22.7%47.5%25.8%5.3%-0.0%887.3K-20.9M-62.1K0.6578.86N/AN/A8255405,2062,764
2015-02-04$74.63$76.0021.6%6.2%21.5%46.0%25.1%5.7%-0.1%890.0K-20.1M-62.1K0.6490.96N/AN/A8245305,2062,764
2015-02-05$76.04$69.0020.0%6.0%22.2%37.5%23.1%7.0%1.2%932.3K-23.6M-57.7K0.6448.12N/AN/A8265305,2062,773
2015-02-06$75.66$69.0021.6%6.2%21.4%46.0%23.0%7.2%0.6%924.0K-22.8M-58.5K0.3647.03N/AN/A1,3264805,2102,773
2015-02-09$75.26$69.0022.6%6.4%21.4%51.6%23.0%6.2%1.0%1.0M-24.1M-65.0K0.3649.16N/AN/A1,3264805,7082,783
2015-02-10$75.55$69.0019.8%5.9%21.4%36.2%23.3%6.6%1.8%1.1M-24.8M-63.0K0.3650.63N/AN/A1,3094715,7092,783
2015-02-11$75.69$69.0020.4%5.9%21.3%39.7%23.1%6.5%2.1%1.1M-25.7M-58.8K0.3659.77N/AN/A1,3174715,7102,784
2015-02-12$76.40$69.0020.1%5.8%21.5%37.8%22.0%6.8%1.5%1.2M-28.0M-55.7K0.3559.41N/AN/A1,3274715,7012,784
2015-02-13$76.91$69.0018.3%5.2%18.8%28.4%21.9%6.0%2.9%1.2M-30.5M-48.8K0.2262.31N/AN/A1,3272945,7082,784
2015-02-17$77.03$69.0018.8%5.4%17.4%31.2%21.8%5.6%2.3%1.2M-31.2M-46.8K0.2368.88N/AN/A1,3323015,7062,787
2015-02-18$77.36$69.0018.6%5.3%17.1%30.0%21.5%5.6%2.2%1.2M-32.3M-43.5K0.2376.86N/AN/A1,3323015,7212,797
2015-02-19$77.57$69.0018.0%5.1%16.7%26.5%18.9%5.7%1.9%1.3M-33.4M-38.8K0.1265.01N/AN/A4155,6602,796
2015-02-20$77.50$69.0017.7%5.1%15.9%25.2%18.0%5.7%3.3%1.1M-32.9M-38.7K1.4067.26N/AN/A575,6442,801
2015-02-23$77.30$69.0017.3%5.0%16.0%23.0%20.6%5.1%0.9%1.2M-32.3M-36.2K0.1568.49N/AN/A1,2331895,5082,534
2015-02-24$77.57$69.0015.6%4.5%15.8%13.6%20.8%4.6%1.5%1.2M-33.8M-30.9K0.1576.54N/AN/A1,2521895,5182,536
2015-02-25$78.03$69.0015.3%4.4%15.8%12.0%13.6%4.4%1.4%1.1M-34.4M-30.3K0.2673.30N/AN/A7241895,4972,536
2015-02-26$78.48$69.0015.6%4.5%14.4%13.9%14.6%5.6%1.5%1.1M-36.6M-22.4K0.2674.48N/AN/A7371895,4902,536
2015-02-27$77.98$69.0015.5%4.4%14.2%13.4%14.8%4.7%1.4%1.1M-35.3M-26.0K0.2680.53N/AN/A7371895,4872,536