IWC Options History — August 2015

In August 2015, IWC traded between $70.57 and $77.98. ATM implied volatility averaged 21.9%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 7.3% (HV 20d: 14.6%). Max pain ranged from $79.00 to $83.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2015-08-10: Highest Volume — 341 contracts
  • 2015-08-24: Largest IV spike — 43.7% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.33$70.57$77.98$77.91$74.28
Max Pain$82.43$79.00$83.00$79.00$83.00
ATM IV21.9%14.8%38.9%15.0%27.5%
Expected Move6.3%4.2%11.1%4.3%7.9%
HV 20d14.6%11.7%20.4%14.8%20.4%
HV 60d13.8%12.7%16.2%12.8%16.1%
IV Rank40.1%9.5%100.0%10.6%55.9%
IV Percentile63.3%4.8%100.0%6.7%96.8%
Term Structure-0.3%-6.1%2.6%2.6%-1.8%
VWIV19.5%14.4%29.0%14.4%20.9%
Skew 25d7.4%3.5%16.4%3.5%11.6%
Skew 10d13.5%9.6%21.3%9.8%21.0%
Call IV 25d18.4%12.7%29.1%14.3%22.6%
Put IV 25d25.8%16.9%45.4%17.8%34.2%
Bid-Ask Spread %74.4362.3695.1891.4476.98
Gamma HHI0.120.090.150.110.11
Net GEX-9.4K-18.3K-3.2K-6.0K-4.0K
Net DEX1.0M689.3K1.3M713.5K1.1M
Net VEX-3.6K-5.0K-2.1K-5.0K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.000.800.800.67
Total Volume272.61903411295
Total OI720.095676739719717

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$77.91$79.0015.0%4.3%14.8%10.6%0.0%3.5%2.6%-6.0K713.5K-5.0K0.0091.44N/AN/A01449270
2015-08-04$77.72$79.0014.8%4.2%14.8%9.5%14.4%3.7%2.3%-11.0K730.1K-4.9K0.8095.18N/AN/A182146449271
2015-08-05$77.98$79.0015.1%4.3%13.7%11.1%15.0%4.3%1.3%-10.0K689.3K-4.9K0.8095.10N/AN/A182146451271
2015-08-06$77.29$83.0017.9%5.2%13.8%26.1%16.1%5.3%1.3%-12.3K844.6K-4.6K0.8064.47N/AN/A182146451271
2015-08-07$76.41$83.0018.7%5.5%13.0%30.5%17.6%6.1%1.0%-18.3K995.4K-4.1K0.8062.36N/AN/A182146451271
2015-08-10$77.20$83.0016.1%5.2%12.6%16.4%16.7%5.4%1.3%-16.1K895.9K-4.3K0.7565.20N/AN/A195146451271
2015-08-11$76.48$83.0019.3%5.6%12.4%33.5%15.8%5.8%0.5%-12.1K943.7K-4.1K0.0065.26N/AN/A10464274
2015-08-12$76.46$83.0019.4%5.6%12.2%34.1%18.2%5.3%1.4%-14.3K989.6K-3.9K0.7463.58N/AN/A188139463274
2015-08-13$75.99$83.0018.8%5.4%11.7%31.3%17.5%5.5%1.3%-11.3K985.1K-3.9K0.7466.27N/AN/A188139463275
2015-08-14$76.39$83.0018.4%5.3%12.1%28.7%17.3%6.3%1.7%-8.5K1.0M-3.7K0.7471.23N/AN/A188139464275
2015-08-17$76.97$83.0017.7%5.1%12.1%25.3%17.2%6.0%1.5%-7.9K928.3K-3.8K0.7572.34N/AN/A186139464275
2015-08-18$76.54$83.0017.5%5.0%12.1%24.2%17.5%5.6%1.7%-10.0K984.4K-3.5K0.7572.10N/AN/A186139457275
2015-08-19$75.98$83.0018.9%5.4%12.2%31.9%0.0%5.8%0.5%-10.1K1.1M-3.2K0.0075.38N/AN/A00447272
2015-08-20$74.27$83.0022.5%6.5%13.7%51.1%20.1%6.4%-0.6%-15.4K1.2M-2.9K0.7568.73N/AN/A186139457275
2015-08-21$73.72$83.0027.1%7.8%12.8%75.3%23.4%9.7%-4.2%-4.3K1.3M-2.9K0.6863.66N/AN/A186126454285
2015-08-24$71.18$83.0038.9%11.1%17.0%100.0%29.0%16.4%-6.1%-3.2K1.2M-2.6K0.6467.81N/AN/A174112433243
2015-08-25$70.57$83.0031.7%9.1%16.6%72.2%27.0%9.5%-2.8%-7.7K1.3M-2.3K0.6481.92N/AN/A176112433246
2015-08-26$71.80$83.0029.7%8.5%18.3%64.6%24.8%12.6%-3.8%-8.8K1.3M-2.1K0.6279.98N/AN/A198122435246
2015-08-27$72.96$83.0028.0%8.0%19.5%57.8%22.8%10.0%-3.2%-3.8K1.2M-3.0K0.6281.60N/AN/A189117457256
2015-08-28$73.92$83.0026.6%7.6%20.2%52.5%20.0%10.8%-1.6%-3.3K1.1M-3.2K0.6282.40N/AN/A189118458258
2015-08-31$74.28$83.0027.5%7.9%20.4%55.9%20.9%11.6%-1.8%-4.0K1.1M-3.3K0.6776.98N/AN/A177118458259