IWC Options History — May 2015

In May 2015, IWC traded between $76.82 and $79.72. ATM implied volatility averaged 17.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.8% (HV 20d: 15.2%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.49.

Notable Days

  • 2015-05-15: Highest Volume — 1,780 contracts
  • 2015-05-13: Largest IV drop — 18.4% change
  • 2015-05-12: Highest IV Rank — 47.0%
  • 2015-05-06: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.65$76.82$79.72$78.00$79.59
Max Pain$75.25$75.00$80.00$80.00$75.00
ATM IV17.0%14.6%21.8%16.8%15.7%
Expected Move4.8%4.2%5.7%4.8%4.5%
HV 20d15.2%11.3%16.0%14.1%11.3%
HV 60d13.8%13.1%13.9%13.6%13.8%
IV Rank21.3%8.3%47.0%20.1%14.6%
IV Percentile31.0%2.8%83.3%27.0%15.9%
Term Structure1.6%0.4%3.0%2.0%0.5%
VWIV15.7%12.4%24.0%17.9%15.0%
Skew 25d4.9%3.3%6.6%3.9%4.6%
Skew 10d11.0%6.6%16.0%9.6%11.7%
Call IV 25d14.6%13.1%17.0%15.3%13.9%
Put IV 25d19.5%17.2%23.3%19.2%18.6%
Bid-Ask Spread %81.2668.3590.8286.7490.82
Gamma HHI0.360.280.420.330.42
Net GEX-305.1K-728.3K500.2K-549.5K-126.0K
Net DEX-540.2K-2.5M2.5M1.2M-2.4M
Net VEX-10.7K-14.8K-7.1K-14.8K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.255.122.220.49
Total Volume628.6501,780976584
Total OI1,989.151,5122,2902,2511,740

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$78.00$80.0016.8%4.8%14.1%20.1%17.9%3.9%2.0%-549.5K1.2M-14.8K2.2286.74N/AN/A3036739751,276
2015-05-04$78.34$75.0017.6%5.3%14.2%24.5%24.0%5.8%2.2%-563.2K745.8K-14.0K1.1373.73N/AN/A15179251,283
2015-05-05$76.82$75.0019.4%5.5%15.7%34.1%17.1%5.5%1.8%-476.6K2.5M-13.6K2.2169.36N/AN/A3156979901,300
2015-05-06$77.03$75.0021.1%5.7%15.4%43.3%17.3%6.4%1.3%-496.8K2.4M-13.3K2.2268.35N/AN/A3156989901,300
2015-05-07$77.51$75.0019.5%5.4%15.6%34.6%16.9%6.6%1.9%-536.5K1.5M-12.9K2.2671.36N/AN/A3096989901,300
2015-05-08$78.11$75.0017.0%5.3%15.9%21.1%0.0%5.6%2.1%-652.5K837.0K-12.1K0.0075.81N/AN/A009231,300
2015-05-11$78.36$75.0018.8%5.2%15.8%31.1%18.3%5.1%2.1%-663.7K-70.9K-10.4K0.2577.22N/AN/A829231,300
2015-05-12$78.23$75.0021.8%5.2%15.8%47.0%15.3%5.1%1.9%-603.2K528.1K-10.1K2.3876.16N/AN/A2916939721,302
2015-05-13$77.98$75.0017.8%5.1%15.3%25.6%15.8%5.1%2.4%-728.3K543.5K-9.4K2.3875.92N/AN/A2916939721,302
2015-05-14$78.84$75.0016.4%4.7%16.0%18.2%14.1%5.2%2.5%-574.5K-530.7K-8.3K2.4079.06N/AN/A2916989721,302
2015-05-15$78.90$75.0015.8%4.5%15.4%14.8%14.2%4.6%3.0%500.2K-620.2K-7.1K5.1282.60N/AN/A2911,4899721,304
2015-05-18$79.69$75.0015.0%4.3%15.7%10.7%15.4%4.3%2.2%-61.6K-2.2M-10.2K0.7185.73N/AN/A3525851661
2015-05-19$79.47$75.0016.0%4.6%15.7%16.1%0.0%4.8%1.2%-56.5K-2.0M-11.0K0.0085.30N/AN/A00886683
2015-05-20$79.66$75.0014.6%4.2%15.8%8.3%12.4%4.1%1.3%-90.8K-2.5M-10.6K0.4788.82N/AN/A291138936683
2015-05-21$79.33$75.0015.6%4.5%15.6%13.9%12.6%3.6%1.0%-74.8K-2.4M-10.4K0.4786.93N/AN/A291138943681
2015-05-22$79.16$75.0015.1%4.3%15.6%11.3%12.9%4.2%1.1%-80.7K-2.3M-10.1K0.5686.18N/AN/A343192943681
2015-05-26$78.71$75.0016.2%4.6%14.7%16.9%15.8%4.5%0.7%-48.8K-1.3M-9.3K0.4986.14N/AN/A3911921,006735
2015-05-27$79.55$75.0014.8%4.2%15.1%9.5%14.4%4.5%1.3%-127.6K-2.1M-9.1K0.4989.09N/AN/A3911921,006735
2015-05-28$79.72$75.0015.0%4.3%14.9%10.8%13.3%3.3%0.4%-90.4K-2.4M-7.9K0.4989.84N/AN/A3911921,005735
2015-05-29$79.59$75.0015.7%4.5%11.3%14.6%15.0%4.6%0.5%-126.0K-2.4M-8.8K0.4990.82N/AN/A3911931,005735