IWC Options History — February 2016

In February 2016, IWC traded between $59.45 and $64.41. ATM implied volatility averaged 26.7%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.5% (HV 20d: 24.1%). Max pain ranged from $64.00 to $74.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.13.

Notable Days

  • 2016-02-05: Highest Volume — 1,500 contracts
  • 2016-02-24: Largest IV drop — 27.9% change
  • 2016-02-08: Highest IV Rank — 84.3%
  • 2016-02-11: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.19$59.45$64.41$64.41$63.76
Max Pain$72.50$64.00$74.00$64.00$74.00
ATM IV26.7%18.3%34.8%26.2%21.7%
Expected Move7.5%5.2%9.3%7.5%6.2%
HV 20d24.1%19.9%27.6%27.6%19.9%
HV 60d21.7%21.1%22.2%21.1%22.0%
IV Rank52.8%20.5%84.3%51.1%33.6%
IV Percentile82.1%46.0%99.2%87.3%66.7%
Term Structure-1.0%-4.2%5.1%-3.1%0.3%
VWIV26.3%19.4%33.0%27.9%22.0%
Skew 25d6.8%3.6%9.7%8.5%5.0%
Skew 10d13.6%1.6%21.2%11.3%8.3%
Call IV 25d23.8%18.8%29.1%22.1%20.0%
Put IV 25d30.6%24.8%37.6%30.6%25.0%
Bid-Ask Spread %93.3686.5699.6488.3992.99
Gamma HHI0.210.130.340.160.32
Net GEX-166.7K-305.5K-103.0K-145.8K-128.0K
Net DEX4.6M3.4M6.2M3.4M3.6M
Net VEX-17.5K-21.0K-14.6K-20.0K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.791.441.370.85
Total Volume1,271.651,0191,5001,4251,124
Total OI2,992.52,7803,1132,9242,878

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$64.41$64.0026.2%7.5%27.6%51.1%27.9%8.5%-3.1%-145.8K3.4M-20.0K1.3788.39N/AN/A6018241,5461,378
2016-02-02$63.00$64.0027.8%8.0%27.1%57.2%27.7%3.6%-3.9%-136.3K3.7M-19.9K1.4186.56N/AN/A6018451,5461,379
2016-02-03$63.05$64.0026.5%7.6%27.1%52.3%27.1%7.6%-2.6%-175.3K4.2M-20.8K1.4491.59N/AN/A6128821,5451,484
2016-02-04$63.09$74.0026.2%7.1%27.1%51.0%19.4%6.8%0.7%-178.3K4.1M-21.0K1.4488.19N/AN/A6128831,5561,524
2016-02-05$61.51$74.0028.9%8.4%26.6%61.3%27.8%3.6%-4.2%-173.3K4.6M-20.0K1.4388.73N/AN/A6178831,5561,525
2016-02-08$60.44$74.0034.8%8.9%26.4%84.3%25.4%5.7%-3.6%-168.0K5.6M-16.5K1.3895.93N/AN/A6178511,5611,525
2016-02-09$59.99$74.0034.8%9.0%26.4%84.2%26.4%8.7%-3.4%-168.9K5.7M-16.3K1.3394.95N/AN/A6178191,5611,526
2016-02-10$59.93$74.0031.2%9.0%26.4%70.5%26.9%5.3%-3.1%-177.9K5.6M-16.5K1.2794.97N/AN/A6177821,5611,529
2016-02-11$59.45$74.0032.5%9.3%23.5%75.4%33.0%8.4%-3.2%-165.9K6.2M-14.6K1.1593.85N/AN/A5836711,5611,540
2016-02-12$60.32$74.0031.4%9.0%23.0%71.0%32.4%8.7%-2.1%-198.9K5.9M-15.7K1.1595.26N/AN/A5836711,5681,541
2016-02-16$61.83$74.0030.8%8.8%23.7%68.9%28.2%8.1%-3.7%-305.5K5.2M-16.1K1.1796.79N/AN/A5746711,5681,540
2016-02-17$62.52$74.0023.9%6.9%23.6%42.2%28.3%9.7%1.0%-256.4K4.7M-17.1K1.1096.74N/AN/A5746291,5681,540
2016-02-18$62.24$74.0028.0%8.0%23.5%58.0%24.8%6.4%-2.0%-218.9K4.4M-18.5K1.1090.90N/AN/A5746291,5681,545
2016-02-19$62.59$74.0022.7%6.5%23.5%37.4%27.2%8.5%2.7%-103.0K4.8M-16.5K0.9490.86N/AN/A6185841,5681,545
2016-02-22$63.10$74.0021.2%6.1%22.8%31.5%27.7%7.8%2.6%-121.3K3.6M-17.5K0.9097.35N/AN/A5665111,5581,222
2016-02-23$62.49$74.0025.4%7.3%21.8%47.8%23.4%3.7%-1.1%-108.0K3.9M-16.5K0.8199.38N/AN/A5664601,5591,222
2016-02-24$62.97$74.0018.3%5.2%21.3%20.5%27.2%9.3%5.1%-127.1K4.3M-15.5K0.8092.41N/AN/A5664531,5591,233
2016-02-25$63.30$74.0020.9%6.0%20.6%30.5%22.5%4.7%2.7%-133.2K4.1M-16.5K0.7999.64N/AN/A5774531,5591,266
2016-02-26$63.81$74.0020.2%5.8%20.7%28.0%20.6%5.6%0.7%-143.4K3.8M-16.7K0.8791.82N/AN/A6075261,5741,266
2016-02-29$63.76$74.0021.7%6.2%19.9%33.6%22.0%5.0%0.3%-128.0K3.6M-17.0K0.8592.99N/AN/A6075171,6041,274