IWC Options History — June 2015

In June 2015, IWC traded between $79.67 and $84.23. ATM implied volatility averaged 16.7%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 6.5% (HV 20d: 10.2%). Max pain ranged from $75.00 to $89.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2015-06-19: Highest Volume — 1,187 contracts
  • 2015-06-29: Largest IV spike — 39.0% change
  • 2015-06-29: Highest IV Rank — 52.1%
  • 2015-06-29: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.02$79.67$84.23$79.67$81.42
Max Pain$82.86$75.00$89.00$75.00$88.00
ATM IV16.7%13.6%22.7%16.3%21.6%
Expected Move4.8%3.9%6.5%4.7%6.2%
HV 20d10.2%9.0%13.7%11.0%13.7%
HV 60d13.1%11.8%13.9%13.8%12.9%
IV Rank19.8%3.1%52.1%17.6%45.8%
IV Percentile29.2%0.8%88.9%25.8%81.0%
Term Structure1.0%-2.1%2.5%0.3%-2.1%
VWIV18.9%12.6%22.9%15.6%22.5%
Skew 25d5.4%3.9%6.3%4.3%6.2%
Skew 10d13.1%9.2%16.5%13.5%10.4%
Call IV 25d14.2%12.0%18.8%14.4%18.2%
Put IV 25d19.6%16.0%25.0%18.7%24.4%
Bid-Ask Spread %75.3662.7393.4690.9777.43
Gamma HHI0.440.120.800.430.31
Net GEX-58.6K-235.4K434.2K-151.7K32.2K
Net DEX-2.9M-5.7M170.0K-2.5M164.3K
Net VEX-5.7K-8.2K-2.6K-8.2K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.090.830.500.68
Total Volume593.727121,187588532
Total OI1,397.6825471,8671,752578

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$79.67$75.0016.3%4.7%11.0%17.6%15.6%4.3%0.3%-151.7K-2.5M-8.2K0.5090.97N/AN/A3931951,017735
2015-06-02$80.04$77.0017.3%5.0%11.0%22.9%18.6%4.3%-0.8%-134.6K-2.6M-7.6K0.0993.46N/AN/A111964738
2015-06-03$81.20$75.0015.1%4.3%9.0%11.0%12.6%4.9%1.4%-111.3K-3.8M-7.2K0.4993.25N/AN/A4021961,016739
2015-06-04$80.70$78.0017.8%4.9%9.6%25.5%18.1%6.0%1.6%-99.8K-3.5M-6.8K0.5363.22N/AN/A3731961,015740
2015-06-05$81.36$78.0016.4%4.7%9.7%17.9%17.7%5.9%1.6%-160.5K-4.2M-5.7K0.5364.42N/AN/A3731961,013740
2015-06-08$81.36$78.0018.9%5.0%9.5%31.9%21.0%5.8%1.2%-120.6K-4.1M-5.5K0.5863.28N/AN/A3722161,013740
2015-06-09$80.99$78.0017.7%5.0%9.8%25.3%21.8%6.1%1.5%-197.3K-3.8M-5.6K0.6362.73N/AN/A3722351,013762
2015-06-10$82.03$78.0015.9%4.6%10.4%15.7%21.8%6.1%1.9%-161.2K-4.4M-4.8K0.6467.77N/AN/A3812451,013782
2015-06-11$82.06$78.0015.9%4.5%10.3%15.3%19.8%5.5%1.9%-171.0K-4.6M-4.6K0.6472.37N/AN/A3812451,012792
2015-06-12$81.96$78.0015.7%4.5%9.8%14.7%19.9%5.3%2.2%-233.8K-4.8M-4.2K0.6471.03N/AN/A3812451,012792
2015-06-15$81.95$78.0017.0%4.9%9.9%21.5%20.2%5.7%1.3%-198.4K-4.6M-3.8K0.7068.77N/AN/A3812681,012792
2015-06-16$82.20$89.0017.0%4.9%9.4%21.4%19.1%6.0%1.5%-129.0K-4.8M-3.4K0.7071.40N/AN/A3812681,012815
2015-06-17$82.33$89.0016.8%4.8%9.3%20.5%20.2%5.8%1.5%-235.4K-4.9M-2.9K0.8073.74N/AN/A3863091,012815
2015-06-18$83.37$89.0015.5%4.4%10.0%13.2%19.3%5.6%1.6%434.2K-5.7M-2.8K0.8373.87N/AN/A3903221,011856
2015-06-19$83.42$89.0014.8%4.3%9.8%9.9%18.0%5.2%2.5%-21.5K-5.2M-2.6K0.8177.54N/AN/A654533993869
2015-06-22$83.99$88.0013.9%4.0%9.7%4.7%16.2%4.6%1.1%68.2K-466.2K-7.3K0.6980.08N/AN/A313217318229
2015-06-23$84.23$88.0013.6%3.9%9.2%3.1%16.9%3.9%1.3%77.7K-502.6K-7.3K0.7083.59N/AN/A313219319230
2015-06-24$83.47$88.0015.4%4.4%9.8%12.8%17.5%4.6%0.9%69.9K-381.3K-7.2K0.7479.48N/AN/A313231319232
2015-06-25$83.24$88.0015.6%4.5%9.9%14.0%17.7%4.7%0.7%64.4K-260.0K-7.2K0.7480.01N/AN/A313231318244
2015-06-26$82.69$88.0016.4%4.7%10.3%17.9%18.9%6.1%0.2%57.1K-210.2K-7.2K0.7379.36N/AN/A316231318244
2015-06-29$80.83$88.0022.7%6.5%13.5%52.1%22.9%6.3%-2.1%33.2K170.0K-6.5K0.6870.21N/AN/A316216321244
2015-06-30$81.42$88.0021.6%6.2%13.7%45.8%22.5%6.2%-2.1%32.2K164.3K-6.5K0.6877.43N/AN/A316216321257