IWC Options History — December 2015

In December 2015, IWC traded between $70.54 and $76.65. ATM implied volatility averaged 20.1%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.7% (HV 20d: 17.4%). Max pain ranged from $72.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.94.

Notable Days

  • 2015-12-18: Highest Volume — 942 contracts
  • 2015-12-03: Largest IV spike — 23.7% change
  • 2015-12-14: Highest IV Rank — 47.3%
  • 2015-12-14: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.12$70.54$76.65$76.65$72.30
Max Pain$73.14$72.00$75.00$72.00$73.00
ATM IV20.1%16.6%25.3%16.6%20.2%
Expected Move5.7%4.8%7.2%4.8%5.8%
HV 20d17.4%15.9%18.5%16.0%17.9%
HV 60d20.4%18.7%21.5%20.3%18.8%
IV Rank27.3%14.0%47.3%14.0%28.0%
IV Percentile58.7%28.2%89.7%28.2%63.1%
Term Structure0.4%-1.5%2.0%-0.0%0.4%
VWIV19.1%16.6%22.6%17.1%19.0%
Skew 25d5.4%2.5%7.7%3.9%5.3%
Skew 10d10.5%5.6%15.9%8.7%15.9%
Call IV 25d17.4%12.7%21.9%12.7%17.4%
Put IV 25d22.8%16.6%29.3%16.6%22.7%
Bid-Ask Spread %85.8271.43105.50105.5094.40
Gamma HHI0.170.120.220.140.21
Net GEX111.9K53.0K212.4K152.4K110.7K
Net DEX-530.3K-2.6M925.1K-2.6M-234.8K
Net VEX-17.8K-18.7K-16.2K-16.2K-17.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.092.921.452.92
Total Volume675.95509420631
Total OI1,816.7271,5632,0621,8041,608

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$76.65$72.0016.6%4.8%16.0%14.0%0.0%3.9%-0.0%152.4K-2.6M-16.2K0.00105.50N/AN/A00941863
2015-12-02$76.07$72.0017.2%4.9%15.9%16.4%17.1%3.9%0.4%160.1K-2.2M-17.0K1.4599.27N/AN/A336487941883
2015-12-03$74.84$75.0021.3%5.4%16.9%32.1%17.8%4.3%1.9%129.3K-1.6M-17.5K1.7292.90N/AN/A283487941883
2015-12-04$75.26$75.0018.4%5.5%17.0%20.7%18.5%5.2%2.0%130.9K-1.7M-18.5K1.7279.20N/AN/A2834871,017933
2015-12-07$73.87$75.0021.5%5.7%17.7%32.9%21.8%5.1%-0.9%99.6K-1.2M-18.6K0.0993.10N/AN/A1111,017913
2015-12-08$73.60$72.0022.9%5.8%17.4%38.2%20.2%6.0%-0.1%113.2K-827.0K-18.3K1.9575.58N/AN/A2945741,027934
2015-12-09$72.82$73.0021.6%6.2%17.7%33.4%20.8%6.1%1.6%118.4K-425.1K-18.7K1.9578.63N/AN/A2945741,024955
2015-12-10$72.80$73.0020.9%6.0%17.6%30.4%20.2%7.3%0.6%107.5K-426.8K-18.5K1.9571.43N/AN/A2945741,024955
2015-12-11$71.04$73.0024.5%7.0%16.4%44.6%22.6%4.7%-0.8%60.7K442.0K-17.9K1.9572.13N/AN/A2945741,024955
2015-12-14$70.54$73.0025.3%7.2%16.4%47.3%22.6%7.6%-1.5%59.7K925.1K-16.9K1.8577.28N/AN/A3105741,024955
2015-12-15$71.54$73.0021.6%6.2%17.2%33.1%20.8%6.8%1.0%99.2K528.5K-17.0K1.8373.57N/AN/A3135741,040955
2015-12-16$72.80$73.0019.9%5.7%18.5%26.4%19.1%7.7%0.4%138.1K-288.3K-17.0K2.1981.51N/AN/A2906351,043955
2015-12-17$72.32$73.0020.8%6.0%17.8%30.0%19.1%4.8%0.3%212.4K187.9K-17.7K2.1982.37N/AN/A2906351,0451,017
2015-12-18$71.82$73.0020.8%6.0%17.8%30.2%18.9%5.2%0.5%53.0K847.0K-17.0K1.8780.02N/AN/A3286141,0451,017
2015-12-21$71.97$73.0020.2%5.8%17.6%27.7%18.7%6.1%-0.6%70.3K108.6K-18.4K1.8180.84N/AN/A207374788775
2015-12-22$72.49$73.0019.2%5.5%17.7%23.8%17.3%4.3%0.6%80.7K33.5K-18.1K1.8188.44N/AN/A207374789775
2015-12-23$73.55$73.0017.0%4.9%18.2%15.3%17.5%5.7%0.4%102.2K-652.0K-17.9K1.8490.35N/AN/A203374789775
2015-12-24$73.31$73.0017.1%4.9%17.7%15.9%16.6%6.4%1.6%104.1K-676.7K-18.2K2.5389.01N/AN/A148374791775
2015-12-28$72.76$73.0019.7%5.6%17.6%25.7%18.6%3.7%-0.0%106.3K-465.1K-18.3K2.4989.34N/AN/A148369812775
2015-12-29$73.41$73.0018.1%5.2%18.0%19.5%16.8%5.9%0.6%122.7K-754.9K-17.9K2.3494.03N/AN/A158369812778
2015-12-30$72.99$73.0017.0%4.9%17.8%15.6%16.9%2.5%1.1%129.6K-641.3K-17.7K2.3299.08N/AN/A158367822778
2015-12-31$72.30$73.0020.2%5.8%17.9%28.0%19.0%5.3%0.4%110.7K-234.8K-17.4K2.9294.40N/AN/A161470822786