IWC Options History — March 2016

In March 2016, IWC traded between $64.60 and $68.29. ATM implied volatility averaged 19.0%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.6% (HV 20d: 18.4%). Max pain ranged from $64.00 to $74.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2016-03-01: Highest Volume — 1,124 contracts
  • 2016-03-08: Largest IV spike — 35.0% change
  • 2016-03-08: Highest IV Rank — 51.8%
  • 2016-03-09: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.50$64.60$68.29$64.60$68.29
Max Pain$64.91$64.00$74.00$74.00$64.00
ATM IV19.0%15.6%26.4%17.5%16.3%
Expected Move5.4%4.5%6.2%5.0%4.7%
HV 20d18.4%16.5%21.2%20.1%20.6%
HV 60d22.6%22.1%23.4%22.2%22.7%
IV Rank22.7%8.1%51.8%17.5%10.7%
IV Percentile44.8%11.9%84.1%36.9%19.4%
Term Structure1.2%-0.3%2.8%2.7%1.1%
VWIV18.9%13.2%21.6%17.8%13.2%
Skew 25d8.1%0.4%33.1%33.1%5.8%
Skew 10d15.7%5.6%46.7%46.7%8.4%
Call IV 25d16.7%14.4%19.3%17.8%15.1%
Put IV 25d24.8%18.4%50.9%50.9%20.8%
Bid-Ask Spread %86.3771.9896.3193.6295.18
Gamma HHI0.260.110.420.410.13
Net GEX-48.7K-220.1K125.2K-182.7K125.2K
Net DEX1.1M-962.6K3.5M3.5M-962.6K
Net VEX-16.0K-18.5K-13.5K-16.8K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.551.070.851.07
Total Volume947.1827891,1241,124960
Total OI2,406.7271,4852,9262,8781,603

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$64.60$74.0017.5%5.0%20.1%17.5%17.8%33.1%2.7%-182.7K3.5M-16.8K0.8593.62N/AN/A6075171,6041,274
2016-03-02$65.39$74.0018.1%5.2%18.7%19.8%18.2%25.9%1.0%-187.9K2.8M-17.4K0.8194.11N/AN/A6074901,6041,274
2016-03-03$66.08$64.0019.2%5.5%18.9%23.9%20.0%6.5%0.4%-165.4K2.1M-18.0K0.8175.17N/AN/A6074901,6041,269
2016-03-04$66.35$64.0022.6%5.7%18.9%37.0%19.3%6.5%0.3%-118.0K1.6M-18.5K0.6479.19N/AN/A6224001,6041,269
2016-03-07$67.49$64.0019.6%5.8%16.5%25.3%21.6%9.0%1.2%-107.3K1.3M-18.0K0.6479.11N/AN/A6223961,6191,279
2016-03-08$66.09$64.0026.4%6.1%17.1%51.8%20.4%6.3%0.9%-116.2K1.8M-18.0K0.6379.72N/AN/A6223931,6191,281
2016-03-09$66.31$64.0021.5%6.2%16.5%32.9%21.1%5.5%0.1%-125.0K1.9M-17.8K0.5672.10N/AN/A6273511,6191,289
2016-03-10$65.61$64.0020.6%5.9%17.3%29.5%21.1%5.1%2.8%-175.9K2.4M-17.4K0.5779.44N/AN/A6203511,6241,291
2016-03-11$66.91$64.0019.1%5.5%17.4%23.4%20.7%7.1%1.2%-151.8K1.5M-17.0K0.5879.41N/AN/A6043511,6251,291
2016-03-14$66.69$64.0019.7%5.6%17.4%25.7%20.7%6.6%0.3%-109.5K1.5M-16.8K0.5871.98N/AN/A6043511,6251,291
2016-03-15$65.52$64.0020.0%5.7%17.6%26.9%20.8%4.7%1.0%-178.9K2.2M-15.6K0.6081.62N/AN/A6043611,6251,291
2016-03-16$65.77$64.0018.0%5.2%17.3%19.3%19.2%4.7%2.5%-220.1K2.3M-15.7K0.6096.31N/AN/A6043611,6251,301
2016-03-17$66.39$64.0017.4%5.0%17.3%17.2%18.4%7.5%2.8%-153.4K1.8M-15.1K0.5589.80N/AN/A6043341,6251,301
2016-03-18$67.37$64.0017.7%5.1%17.7%18.2%18.3%7.7%1.8%102.6K1.1M-15.4K0.7992.29N/AN/A5724541,6051,303
2016-03-21$67.64$64.0017.7%5.1%17.6%18.2%18.3%5.4%0.2%109.3K-772.7K-15.2K0.9089.80N/AN/A418376874611
2016-03-22$67.33$64.0017.9%5.1%17.2%18.9%17.2%6.0%1.0%104.4K-638.9K-14.7K0.9191.23N/AN/A418381874621
2016-03-23$65.79$64.0018.3%5.3%19.6%20.6%17.7%0.4%1.6%87.4K-30.3K-13.8K0.8991.86N/AN/A418371874636
2016-03-24$65.92$64.0018.4%5.3%19.6%18.9%19.3%5.9%1.1%82.0K215.1K-13.5K0.8988.12N/AN/A418371874641
2016-03-28$65.93$64.0018.8%5.4%19.4%20.5%21.4%7.6%1.1%87.0K62.4K-13.5K1.0393.17N/AN/A419433874641
2016-03-29$67.64$64.0015.6%4.5%21.2%8.1%15.2%7.9%1.5%108.4K-443.0K-14.3K1.0293.29N/AN/A428436874718
2016-03-30$67.95$64.0017.6%5.0%20.9%15.8%15.6%2.8%-0.3%114.9K-829.0K-14.7K1.0293.72N/AN/A429436881721
2016-03-31$68.29$64.0016.3%4.7%20.6%10.7%13.2%5.8%1.1%125.2K-962.6K-14.5K1.0795.18N/AN/A463497882721