IWC Options History — October 2015

In October 2015, IWC traded between $68.90 and $74.92. ATM implied volatility averaged 21.9%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.1% (HV 20d: 23.0%). Max pain ranged from $64.00 to $75.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.67.

Notable Days

  • 2015-10-16: Highest Volume — 591 contracts
  • 2015-10-16: Largest IV spike — 34.4% change
  • 2015-10-01: Highest IV Rank — 61.6%
  • 2015-10-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.16$68.90$74.92$68.90$73.48
Max Pain$68.45$64.00$75.00$75.00$70.00
ATM IV21.9%18.1%28.9%28.9%20.7%
Expected Move6.2%5.2%8.3%8.3%5.9%
HV 20d23.0%18.5%25.2%18.5%22.6%
HV 60d20.4%18.7%22.0%18.7%21.9%
IV Rank34.4%19.5%61.6%61.6%29.9%
IV Percentile71.4%45.2%96.0%96.0%70.2%
Term Structure-0.1%-3.0%2.1%-1.0%2.1%
VWIV23.0%17.5%27.4%26.7%18.5%
Skew 25d6.6%2.6%11.7%4.1%6.7%
Skew 10d11.3%-17.6%24.8%6.6%12.4%
Call IV 25d18.2%14.3%25.8%25.8%16.2%
Put IV 25d24.8%21.0%30.8%29.9%23.0%
Bid-Ask Spread %92.5868.36124.5489.01107.29
Gamma HHI0.130.120.150.140.15
Net GEX27.0K-1.0K47.5K-1.0K33.3K
Net DEX81.8K-200.0K716.3K716.3K36.4K
Net VEX-5.2K-6.0K-4.3K-5.3K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.362.011.432.00
Total Volume512.59115591511513
Total OI776.545682813682796

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$68.90$75.0028.9%8.3%18.5%61.6%26.7%4.1%-1.0%-1.0K716.3K-5.3K1.4389.01N/AN/A210301367315
2015-10-02$70.31$75.0025.2%7.2%20.3%47.1%26.6%11.5%-0.3%5.8K638.1K-5.1K1.5592.86N/AN/A210326381315
2015-10-05$72.33$64.0023.3%6.6%22.9%39.6%0.0%8.4%0.1%10.2K348.7K-5.6K0.3668.36N/AN/A114381370
2015-10-06$71.91$64.0024.3%6.8%22.1%43.8%27.0%6.2%-0.4%12.4K317.3K-6.0K1.4969.15N/AN/A221330392384
2015-10-07$73.08$64.0020.9%6.5%22.9%30.7%27.4%9.4%0.0%16.2K194.9K-5.8K1.4970.63N/AN/A221330392384
2015-10-08$73.74$64.0018.1%6.0%23.1%19.5%25.9%7.4%0.7%24.6K65.4K-5.7K1.4976.04N/AN/A221330392384
2015-10-09$74.05$64.0020.0%5.9%23.1%27.1%24.7%7.8%0.1%29.7K-55.8K-6.0K1.5076.53N/AN/A221331392384
2015-10-12$73.84$64.0023.7%6.0%23.1%41.5%24.7%7.3%-0.1%29.7K-37.5K-5.7K1.5274.43N/AN/A221335392389
2015-10-13$73.03$64.0025.3%6.2%23.2%47.4%25.0%7.1%-0.8%23.7K23.7K-5.6K1.6383.82N/AN/A221360392389
2015-10-14$72.13$69.0021.9%6.3%23.2%34.5%24.4%11.7%-1.5%22.0K70.5K-5.4K1.6399.75N/AN/A221360387414
2015-10-15$74.14$69.0018.3%5.2%25.2%20.3%17.5%4.7%0.8%28.8K66.5K-4.9K1.6099.94N/AN/A225360387414
2015-10-16$74.23$70.0024.5%7.0%25.0%44.6%22.4%10.0%-3.0%27.1K69.7K-5.2K1.63106.20N/AN/A225366393420
2015-10-19$74.12$70.0021.1%6.1%24.9%31.3%21.5%7.3%-2.8%31.9K-46.7K-5.1K1.58102.51N/AN/A209331378395
2015-10-20$73.99$70.0020.8%6.0%24.5%30.3%22.3%5.1%0.2%31.7K-49.1K-5.1K1.9686.70N/AN/A169331378395
2015-10-21$73.13$70.0020.5%5.9%24.8%29.2%20.5%4.6%1.4%32.3K-54.2K-5.1K1.9699.49N/AN/A169332388395
2015-10-22$73.38$70.0020.0%5.7%24.8%26.9%21.0%5.3%1.3%31.6K12.4K-5.0K1.9599.76N/AN/A170332388396
2015-10-23$74.33$70.0024.2%6.9%23.4%43.4%20.4%3.6%1.2%40.7K-80.8K-4.7K2.0198.03N/AN/A170342389396
2015-10-26$73.67$70.0019.8%5.7%21.1%26.1%20.7%2.6%0.6%35.8K-37.0K-4.9K2.01104.03N/AN/A170342389406
2015-10-27$72.67$70.0021.0%6.0%21.3%31.0%20.5%5.5%-1.8%33.9K-27.7K-5.3K2.01103.63N/AN/A170342389406
2015-10-28$74.92$70.0019.1%5.5%23.2%23.4%23.7%5.3%0.1%47.5K-200.0K-4.6K2.01124.54N/AN/A170342389406
2015-10-29$74.09$70.0020.0%5.7%23.1%26.8%22.0%3.4%0.5%45.8K-171.6K-4.5K2.01104.01N/AN/A170342389406
2015-10-30$73.48$70.0020.7%5.9%22.6%29.9%18.5%6.7%2.1%33.3K36.4K-4.3K2.00107.29N/AN/A171342390406