IWC Options History — July 2015

In July 2015, IWC traded between $77.34 and $82.10. ATM implied volatility averaged 17.8%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.8% (HV 20d: 15.0%). Max pain ranged from $79.00 to $88.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2015-07-01: Highest Volume — 535 contracts
  • 2015-07-10: Largest IV drop — 23.0% change
  • 2015-07-09: Highest IV Rank — 68.6%
  • 2015-07-09: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.96$77.34$82.10$81.46$78.29
Max Pain$80.68$79.00$88.00$88.00$79.00
ATM IV17.8%14.5%25.8%20.5%15.0%
Expected Move5.0%4.2%6.3%5.9%4.3%
HV 20d15.0%12.7%16.8%12.7%14.8%
HV 60d13.5%12.8%14.3%12.9%12.8%
IV Rank25.7%8.0%68.6%40.1%10.5%
IV Percentile38.9%2.0%96.8%77.0%6.3%
Term Structure0.9%-1.5%1.8%-1.3%1.6%
VWIV18.7%14.1%25.9%21.4%14.6%
Skew 25d5.6%4.5%8.2%4.7%5.1%
Skew 10d11.8%7.4%19.7%7.6%11.7%
Call IV 25d14.9%12.2%18.3%17.8%12.2%
Put IV 25d20.5%17.3%25.7%22.5%17.3%
Bid-Ask Spread %73.6458.2592.3478.2592.34
Gamma HHI0.220.110.350.300.11
Net GEX30.4K-6.6K107.3K30.7K-5.4K
Net DEX313.9K-118.4K721.4K153.1K650.9K
Net VEX-6.0K-7.5K-4.8K-6.5K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.731.710.730.82
Total Volume380.273314535535349
Total OI653.273578709578694

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$81.46$88.0020.5%5.9%12.7%40.1%21.4%4.7%-1.3%30.7K153.1K-6.5K0.7378.25N/AN/A309226321257
2015-07-02$80.41$85.0021.8%6.2%13.4%47.1%22.3%6.4%-1.5%22.9K309.7K-6.1K1.7177.95N/AN/A133227322268
2015-07-06$80.54$79.0019.8%5.6%13.0%36.2%25.9%6.8%0.9%10.3K362.8K-5.8K1.7158.25N/AN/A133227324270
2015-07-07$80.36$79.0020.5%5.8%13.0%40.0%23.9%6.8%1.0%4.7K406.2K-5.6K1.5960.91N/AN/A148235324270
2015-07-08$79.01$79.0024.7%6.2%14.2%62.5%24.5%7.3%0.1%-3.0K584.2K-5.3K1.2064.98N/AN/A198238344265
2015-07-09$79.49$79.0025.8%6.3%13.5%68.6%23.8%8.2%0.0%24.7K303.1K-6.8K1.1958.97N/AN/A200238404268
2015-07-10$80.57$79.0019.9%5.3%14.5%36.8%22.7%7.1%1.1%37.7K113.2K-7.0K1.2360.03N/AN/A200245405268
2015-07-13$81.61$79.0017.2%4.6%15.3%22.6%19.5%5.4%1.1%76.9K-118.4K-7.2K1.4065.78N/AN/A193270405276
2015-07-14$82.10$79.0014.9%4.5%15.5%10.4%16.9%6.2%1.5%101.2K-117.1K-7.5K1.4070.45N/AN/A193270406301
2015-07-15$81.31$79.0016.7%4.8%15.8%19.6%16.8%4.9%0.7%65.4K65.8K-7.3K1.3572.32N/AN/A193261406301
2015-07-16$81.88$79.0015.1%4.3%16.0%11.0%14.1%6.0%1.3%107.3K-65.3K-7.2K1.0674.41N/AN/A193205406302
2015-07-17$81.64$82.0014.8%4.2%15.3%9.4%14.2%4.8%1.4%65.8K55.2K-7.1K1.0675.76N/AN/A193205406303
2015-07-20$80.56$82.0014.9%4.3%15.9%10.4%15.2%5.1%1.5%45.0K86.5K-6.2K0.7775.27N/AN/A177137383214
2015-07-21$80.57$82.0015.2%4.3%15.6%11.5%14.8%4.7%1.5%35.5K195.7K-6.1K0.7677.82N/AN/A181137386232
2015-07-22$80.53$82.0014.5%4.2%15.5%8.0%14.4%4.5%1.6%37.1K209.1K-6.1K0.7677.96N/AN/A182139390232
2015-07-23$79.55$82.0015.9%4.6%15.7%15.5%16.5%5.0%1.5%25.5K307.4K-6.0K0.7775.69N/AN/A182140394234
2015-07-24$78.17$82.0017.6%5.0%16.6%24.5%17.8%5.0%1.1%800615.7K-5.1K0.7974.11N/AN/A178140394245
2015-07-27$77.34$80.0019.3%5.5%16.8%34.0%20.7%5.2%0.9%1.8K681.1K-4.9K0.7976.90N/AN/A178140438245
2015-07-28$77.86$80.0016.7%4.8%15.5%19.9%19.2%4.6%1.2%-2.8K670.8K-4.8K0.8478.98N/AN/A179150438245
2015-07-29$77.85$80.0015.8%4.5%15.1%15.1%16.7%4.7%1.3%-6.1K721.4K-4.8K0.7885.97N/AN/A182142439255
2015-07-30$77.97$80.0015.1%4.3%15.2%11.2%16.4%4.5%1.8%-6.6K714.8K-4.8K0.8087.07N/AN/A178142437255
2015-07-31$78.29$79.0015.0%4.3%14.8%10.5%14.6%5.1%1.6%-5.4K650.9K-4.9K0.8292.34N/AN/A192157439255