IWC Options History — November 2015

In November 2015, IWC traded between $72.95 and $76.55. ATM implied volatility averaged 19.6%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.7% (HV 20d: 21.3%). Max pain ranged from $70.00 to $72.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.84.

Notable Days

  • 2015-11-19: Highest Volume — 1,111 contracts
  • 2015-11-19: Largest IV drop — 21.5% change
  • 2015-11-17: Highest IV Rank — 50.7%
  • 2015-11-17: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.00$72.95$76.55$75.30$76.23
Max Pain$71.70$70.00$72.00$70.00$72.00
ATM IV19.6%15.8%26.1%17.5%17.2%
Expected Move5.6%4.5%7.5%5.0%4.9%
HV 20d21.3%18.0%22.3%22.0%18.0%
HV 60d21.9%20.3%23.2%22.4%20.3%
IV Rank25.5%10.8%50.7%17.3%16.3%
IV Percentile53.8%17.9%92.9%36.1%33.3%
Term Structure0.7%-3.2%3.9%0.2%1.2%
VWIV20.6%15.8%29.2%16.3%16.7%
Skew 25d4.4%-14.3%10.0%4.5%10.0%
Skew 10d10.0%-14.3%17.1%11.6%10.4%
Call IV 25d17.7%13.8%41.3%13.8%13.9%
Put IV 25d22.1%18.3%27.1%18.3%23.8%
Bid-Ask Spread %92.6374.82116.02103.22107.86
Gamma HHI0.170.130.480.170.13
Net GEX96.1K16.9K325.9K54.6K153.3K
Net DEX-753.2K-2.4M374.2K-314.4K-2.4M
Net VEX-9.0K-17.4K-3.9K-3.9K-17.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.007.332.230.00
Total Volume516.701,1115558
Total OI1,204.057971,8287971,796

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$75.30$70.0017.5%5.0%22.0%17.3%16.3%4.5%0.2%54.6K-314.4K-3.9K2.23103.22N/AN/A172383391406
2015-11-03$76.09$70.0017.5%5.0%22.0%17.4%15.8%6.8%1.5%60.1K-454.1K-4.1K2.1695.31N/AN/A177383392451
2015-11-04$75.83$70.0019.2%5.5%21.5%24.0%17.9%3.0%-0.4%54.8K-457.9K-4.9K2.16107.97N/AN/A177383397451
2015-11-05$75.71$72.0018.7%5.5%21.4%22.0%21.0%5.0%2.0%56.2K-448.5K-4.2K2.2974.82N/AN/A177406397451
2015-11-06$76.48$72.0017.5%5.3%21.6%17.6%20.5%4.7%2.3%73.8K-469.7K-4.0K7.3387.69N/AN/A322397464
2015-11-09$75.64$72.0021.3%5.6%22.0%31.9%0.0%4.5%1.5%65.6K-329.1K-4.3K0.0086.58N/AN/A00386444
2015-11-10$75.35$72.0020.9%5.8%21.6%30.7%22.6%6.5%0.3%56.5K-139.3K-4.3K2.3079.58N/AN/A161370386464
2015-11-11$75.68$72.0019.6%5.6%21.0%25.4%21.7%6.9%-0.0%59.1K-198.1K-4.0K2.3083.62N/AN/A161370386464
2015-11-12$73.43$72.0021.8%6.2%21.8%33.9%21.7%4.3%0.2%31.4K209.4K-4.0K2.3080.02N/AN/A161370386464
2015-11-13$72.95$72.0023.1%6.6%21.9%39.0%24.5%7.0%-0.4%16.9K374.2K-4.0K1.7394.56N/AN/A286496386464
2015-11-16$73.30$72.0024.7%7.1%22.0%45.1%0.0%5.7%-2.1%33.1K162.3K-7.2K0.0092.01N/AN/A1260511580
2015-11-17$73.12$72.0026.1%7.5%22.0%50.7%29.2%-14.3%-0.2%51.5K-329.0K-10.1K2.11116.02N/AN/A235496637600
2015-11-18$74.14$72.0024.1%6.9%22.2%42.7%21.2%6.2%-3.2%112.6K-745.0K-10.1K1.1493.41N/AN/A434496713600
2015-11-19$73.70$72.0018.9%5.4%22.3%22.7%20.4%4.4%1.1%325.9K-848.3K-10.5K0.9388.55N/AN/A577534913600
2015-11-20$74.29$72.0018.0%5.2%22.0%19.3%19.3%2.9%3.2%121.5K-1.1M-14.4K1.2192.30N/AN/A5026091,053775
2015-11-23$74.67$72.0017.9%5.1%21.8%18.9%0.0%3.3%-0.3%135.6K-1.4M-17.2K0.0087.75N/AN/A030928739
2015-11-24$75.31$72.0016.0%4.6%21.3%11.4%0.0%6.8%3.9%136.6K-1.7M-16.9K0.0084.31N/AN/A40928759
2015-11-25$76.14$72.0016.5%4.7%18.8%13.4%19.6%4.8%2.4%164.7K-2.2M-16.6K1.4898.83N/AN/A327483932779
2015-11-27$76.55$72.0015.8%4.5%18.3%10.8%16.7%4.4%1.5%157.5K-2.3M-17.4K1.4898.20N/AN/A328487932879
2015-11-30$76.23$72.0017.2%4.9%18.0%16.3%0.0%10.0%1.2%153.3K-2.4M-17.3K0.00107.86N/AN/A80933863