IWC Options History — September 2015

In September 2015, IWC traded between $68.77 and $75.98. ATM implied volatility averaged 25.9%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.0% (HV 20d: 21.9%). Max pain ranged from $71.00 to $83.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2015-09-30: Highest Volume — 497 contracts
  • 2015-09-02: Largest IV drop — 19.3% change
  • 2015-09-01: Highest IV Rank — 75.6%
  • 2015-09-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.30$68.77$75.98$72.31$69.72
Max Pain$75.90$71.00$83.00$83.00$75.00
ATM IV25.9%20.3%32.6%32.6%28.1%
Expected Move7.4%5.8%9.3%9.3%8.1%
HV 20d21.9%17.8%23.8%22.2%19.5%
HV 60d17.6%17.0%18.8%17.0%18.8%
IV Rank49.9%28.2%75.6%75.6%58.3%
IV Percentile89.2%67.5%99.6%99.6%95.6%
Term Structure-0.3%-1.9%1.3%-0.5%-1.6%
VWIV28.2%23.4%32.6%26.8%29.0%
Skew 25d7.8%2.7%11.8%7.2%11.3%
Skew 10d15.7%0.7%26.4%20.7%11.8%
Call IV 25d22.8%18.1%29.4%29.0%22.8%
Put IV 25d30.6%25.6%36.2%36.2%34.1%
Bid-Ask Spread %74.9364.8388.0580.9088.05
Gamma HHI0.120.100.150.100.15
Net GEX2.3K-10.7K15.0K-1.7K3.9K
Net DEX919.0K264.2K1.5M1.1M655.8K
Net VEX-3.5K-5.1K-2.4K-3.2K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.661.540.661.54
Total Volume318.1430497300497
Total OI655.905414906730642

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$72.31$83.0032.6%9.3%22.2%75.6%26.8%7.2%-0.5%-1.7K1.1M-3.2K0.6680.90N/AN/A181119471259
2015-09-02$73.55$83.0026.3%7.5%23.3%51.2%23.4%5.3%0.6%-2.2K1.1M-3.2K0.7787.85N/AN/A181139475260
2015-09-03$73.51$71.0026.8%7.4%23.2%53.4%31.2%9.8%0.1%-2.9K1.1M-3.3K0.7766.32N/AN/A181140475270
2015-09-04$73.14$71.0029.5%8.2%22.9%63.7%32.6%11.8%-0.6%-4.4K1.2M-3.1K0.7764.96N/AN/A181140475271
2015-09-08$74.33$71.0029.2%7.6%23.5%62.6%0.0%10.7%-0.3%-2.7K1.1M-3.3K0.0069.85N/AN/A00475271
2015-09-09$73.77$71.0025.1%7.2%23.4%46.9%29.2%7.6%0.2%-3.2K1.1M-3.2K0.7769.70N/AN/A182140475271
2015-09-10$74.03$71.0025.3%7.2%23.5%47.4%31.0%10.4%0.5%-1.5K1.2M-2.7K0.7764.83N/AN/A181140478270
2015-09-11$74.32$71.0024.7%7.1%23.5%45.1%29.4%8.0%0.9%-9031.2M-2.8K0.8266.57N/AN/A181148478270
2015-09-14$74.02$75.0025.4%7.3%23.4%47.8%28.2%7.7%-0.4%-3.3K1.2M-2.7K0.8266.35N/AN/A181148478278
2015-09-15$74.60$75.0023.8%6.8%23.4%41.9%0.0%11.8%-1.1%8081.2M-2.6K0.0072.52N/AN/A02478278
2015-09-16$75.25$75.0023.4%6.7%23.6%40.4%27.7%6.8%-0.4%15.0K1.2M-2.4K1.0568.31N/AN/A216227478279
2015-09-17$75.98$78.0020.3%5.8%23.8%28.2%26.8%7.5%0.6%2.1K1.1M-4.6K1.1784.29N/AN/A216252528355
2015-09-18$75.29$78.0023.3%6.7%22.5%39.9%28.4%9.5%-0.6%14.5K1.5M-4.3K1.2168.07N/AN/A208252526380
2015-09-21$74.81$78.0022.0%6.3%22.4%34.9%25.3%6.8%0.6%14.3K264.2K-4.2K1.4074.13N/AN/A110154230184
2015-09-22$73.80$78.0024.5%7.0%18.9%44.3%27.8%7.7%-1.3%9.2K391.7K-3.9K1.4073.29N/AN/A110154230184
2015-09-23$73.60$78.0022.8%6.5%18.6%38.0%27.6%6.9%1.3%7.7K429.1K-3.7K1.1973.71N/AN/A129154230184
2015-09-24$73.34$78.0024.6%7.0%17.8%44.7%27.9%8.3%-0.8%10.9K432.0K-3.8K1.1981.42N/AN/A129154249184
2015-09-25$71.53$78.0025.9%7.4%19.1%49.7%25.3%2.7%-0.8%4.4K498.5K-3.6K1.1885.56N/AN/A131154249184
2015-09-28$69.60$78.0030.2%8.7%20.5%66.5%29.6%3.3%-1.9%-1.7K648.5K-3.1K1.3981.99N/AN/A181251252184
2015-09-29$68.77$78.0030.2%8.7%20.5%66.6%28.6%2.9%-1.3%-10.7K807.3K-4.5K1.3584.86N/AN/A186251302284
2015-09-30$69.72$75.0028.1%8.1%19.5%58.3%29.0%11.3%-1.6%3.9K655.8K-5.1K1.5488.05N/AN/A196301357285