IWC Options History — January 2016

In January 2016, IWC traded between $62.01 and $70.34. ATM implied volatility averaged 28.7%, placing in the 60.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.7% (HV 20d: 23.0%). Max pain ranged from $64.00 to $70.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 2.03.

Notable Days

  • 2016-01-15: Highest Volume — 2,169 contracts
  • 2016-01-07: Largest IV spike — 18.4% change
  • 2016-01-11: Highest IV Rank — 90.9%
  • 2016-01-20: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.81$62.01$70.34$70.34$63.74
Max Pain$68.11$64.00$70.00$70.00$64.00
ATM IV28.7%25.4%36.5%26.3%26.0%
Expected Move7.7%6.4%8.7%6.6%7.4%
HV 20d23.0%18.6%26.9%19.4%26.9%
HV 60d20.8%19.2%22.1%19.3%21.1%
IV Rank60.7%48.0%90.9%51.3%50.1%
IV Percentile94.2%86.9%99.6%93.7%86.9%
Term Structure-1.4%-3.7%1.1%0.1%-2.9%
VWIV26.7%20.3%30.4%20.9%27.6%
Skew 25d6.9%2.6%13.0%5.6%9.5%
Skew 10d12.4%4.2%25.6%11.2%12.1%
Call IV 25d23.6%19.6%27.2%20.4%21.2%
Put IV 25d30.5%24.9%37.9%26.0%30.7%
Bid-Ask Spread %79.3965.7489.5868.2789.50
Gamma HHI0.220.140.520.190.15
Net GEX-162.1K-577.1K43.1K17.8K-134.0K
Net DEX5.0M836.2K10.4M1.3M3.6M
Net VEX-19.0K-21.0K-16.4K-17.7K-20.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.031.365.441.661.39
Total Volume1,318.6847052,1697051,413
Total OI2,756.3681,7253,6791,7252,912

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$70.34$70.0026.3%6.6%19.4%51.3%20.9%5.6%0.1%17.8K1.3M-17.7K1.6668.27N/AN/A265440825900
2016-01-05$70.28$70.0025.4%6.4%19.2%48.0%20.3%5.3%-0.1%43.1K836.2K-19.7K1.6665.74N/AN/A265440929910
2016-01-06$69.47$70.0025.6%6.7%18.6%48.5%20.9%5.9%-0.9%16.2K1.3M-18.4K1.6671.07N/AN/A265440929910
2016-01-07$67.41$70.0030.3%7.5%20.9%66.7%20.8%5.8%1.1%-28.4K2.2M-16.4K5.4467.03N/AN/A2651,441929910
2016-01-08$66.08$70.0031.4%7.5%21.6%71.2%27.1%4.6%0.8%-531.7K6.9M-19.8K2.4370.24N/AN/A2907061,0291,911
2016-01-11$65.57$70.0036.5%7.6%21.5%90.9%26.8%3.7%-0.5%-577.1K9.5M-17.8K1.7377.54N/AN/A4107091,0542,176
2016-01-12$65.53$70.0032.4%6.6%20.3%75.1%25.6%4.5%1.1%-426.9K10.4M-17.1K1.4576.45N/AN/A4626721,1742,179
2016-01-13$63.16$70.0027.2%7.8%23.4%55.0%27.6%2.6%-1.3%-166.1K10.0M-18.8K2.0381.74N/AN/A4639401,3412,181
2016-01-14$64.36$70.0026.9%7.7%24.0%53.8%28.3%10.5%-2.2%-165.0K9.9M-21.0K3.5780.14N/AN/A4661,6621,4222,257
2016-01-15$62.85$70.0028.8%8.3%23.3%61.2%29.4%10.3%-3.5%-110.0K7.4M-18.6K3.6581.94N/AN/A4661,7031,4251,767
2016-01-19$62.01$70.0029.8%8.5%23.4%64.9%30.4%7.3%-0.4%-100.2K4.2M-17.0K1.7282.65N/AN/A4678021,4081,200
2016-01-20$62.50$70.0030.5%8.7%24.0%67.5%30.3%13.0%0.6%-125.6K4.3M-18.5K1.7085.33N/AN/A4738021,4191,316
2016-01-21$62.76$70.0029.5%8.4%24.1%63.6%29.8%8.5%-3.5%-131.6K4.2M-19.1K1.5381.91N/AN/A5248021,3371,361
2016-01-22$63.90$64.0026.7%7.7%25.2%52.9%28.4%8.2%-2.2%-136.1K3.8M-20.0K1.4383.06N/AN/A5447771,3881,361
2016-01-25$62.59$64.0027.7%7.9%24.5%56.8%27.7%3.7%-3.1%-131.9K4.0M-20.1K1.3683.71N/AN/A6048231,4481,378
2016-01-26$63.54$64.0027.0%7.7%25.8%54.1%28.6%11.5%-2.8%-121.2K3.7M-20.7K1.3686.27N/AN/A6058231,5081,378
2016-01-27$62.55$64.0027.9%8.0%25.9%57.4%27.9%5.1%-3.7%-133.0K4.0M-19.6K1.3989.58N/AN/A5908231,5091,378
2016-01-28$62.70$64.0029.6%8.5%25.5%64.0%28.3%6.0%-3.4%-138.2K4.1M-19.3K1.3986.34N/AN/A5908231,5341,378
2016-01-29$63.74$64.0026.0%7.4%26.9%50.1%27.6%9.5%-2.9%-134.0K3.6M-20.4K1.3989.50N/AN/A5908231,5341,378