IWC Options History — April 2016

In April 2016, IWC traded between $66.97 and $71.50. ATM implied volatility averaged 17.2%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.5% (HV 20d: 17.7%). Max pain ranged from $64.00 to $68.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2016-04-01: Highest Volume — 960 contracts
  • 2016-04-13: Largest IV drop — 24.4% change
  • 2016-04-12: Highest IV Rank — 30.2%
  • 2016-04-07: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.40$66.97$71.50$68.31$70.23
Max Pain$67.76$64.00$68.00$64.00$68.00
ATM IV17.2%15.5%21.2%15.8%18.0%
Expected Move4.9%4.4%5.6%4.5%5.2%
HV 20d17.7%13.8%20.4%20.3%15.0%
HV 60d20.0%17.8%22.7%22.7%17.9%
IV Rank14.4%7.6%30.2%8.9%17.4%
IV Percentile27.5%9.9%62.7%15.1%35.7%
Term Structure0.5%-1.0%2.0%2.0%-0.3%
VWIV17.5%14.9%19.2%14.9%17.7%
Skew 25d5.1%1.1%8.4%8.4%1.1%
Skew 10d11.5%5.9%17.7%15.5%9.8%
Call IV 25d14.8%12.5%17.5%12.5%17.5%
Put IV 25d19.9%17.1%23.1%20.9%18.6%
Bid-Ask Spread %86.1474.9097.8297.4691.07
Gamma HHI0.120.110.150.110.13
Net GEX120.6K75.8K158.6K99.8K139.4K
Net DEX-1.3M-2.6M-177.4K-564.3K-1.7M
Net VEX-14.6K-16.2K-11.8K-16.1K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.851.071.070.98
Total Volume847.714770960960782
Total OI1,795.4291,7411,8301,7831,802

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$68.31$64.0015.8%4.5%20.3%8.9%14.9%8.4%2.0%99.8K-564.3K-16.1K1.0797.46N/AN/A463497916867
2016-04-04$68.00$67.0018.5%5.3%20.4%19.6%17.5%6.3%0.4%96.8K-677.5K-16.2K0.9274.98N/AN/A479440916867
2016-04-05$67.26$68.0019.7%5.6%20.0%24.2%17.8%5.8%0.1%79.4K-205.9K-15.9K0.9274.90N/AN/A479440932884
2016-04-06$68.16$68.0016.7%5.0%18.9%12.2%16.7%7.0%0.6%98.1K-454.0K-15.4K0.9276.04N/AN/A479441932874
2016-04-07$66.97$68.0020.3%5.6%20.1%26.7%18.3%4.7%0.6%75.8K-177.4K-15.5K0.9275.39N/AN/A479441932878
2016-04-08$67.45$68.0018.2%5.5%19.8%18.2%18.1%4.0%0.7%83.0K-324.5K-15.6K0.9576.50N/AN/A479457932878
2016-04-11$67.44$68.0018.3%5.6%18.6%18.5%18.3%5.2%0.7%81.5K-355.1K-15.3K0.8581.46N/AN/A479405932898
2016-04-12$67.96$68.0021.2%5.2%18.7%30.2%17.6%7.5%0.7%82.7K-225.5K-15.5K0.8579.83N/AN/A479405909918
2016-04-13$69.51$68.0016.1%4.6%18.8%9.8%18.9%7.8%1.4%128.4K-1.2M-15.3K0.8782.60N/AN/A466405909918
2016-04-14$69.62$68.0016.5%4.7%18.8%11.6%18.8%5.7%0.8%141.9K-1.4M-15.3K0.8780.12N/AN/A466405911918
2016-04-15$69.73$68.0016.1%4.6%18.7%10.1%19.2%4.7%0.5%120.0K-1.5M-15.1K0.8785.77N/AN/A467405910918
2016-04-18$70.35$68.0016.3%4.7%18.3%10.6%17.2%7.0%0.7%134.8K-1.8M-14.0K0.9687.59N/AN/A400386878863
2016-04-19$70.35$68.0017.2%4.9%18.3%14.2%16.2%3.0%-1.0%136.2K-1.9M-13.9K0.9689.62N/AN/A401386879871
2016-04-20$70.54$68.0015.5%4.4%18.1%7.6%17.8%5.1%0.9%142.7K-2.0M-13.9K1.0191.84N/AN/A401404880871
2016-04-21$70.46$68.0017.1%4.9%15.5%13.7%16.3%4.3%-0.2%142.9K-1.9M-14.2K1.0192.42N/AN/A401404880889
2016-04-22$70.98$68.0015.7%4.5%15.5%8.3%17.6%6.5%0.4%144.0K-2.2M-13.7K1.0391.40N/AN/A393404880889
2016-04-25$70.57$68.0015.9%4.6%15.9%9.2%16.9%2.5%1.3%146.7K-2.1M-13.7K0.9692.98N/AN/A393377882889
2016-04-26$71.33$68.0016.0%4.6%13.8%9.7%17.4%4.1%-0.2%158.6K-2.6M-11.8K0.9694.44N/AN/A393377882918
2016-04-27$71.50$68.0015.8%4.5%13.8%9.0%18.2%3.1%0.2%151.3K-2.5M-13.1K0.9597.82N/AN/A395377882918
2016-04-28$70.64$68.0016.5%4.7%14.7%11.6%16.7%3.7%0.6%148.9K-2.3M-12.7K0.9594.70N/AN/A395377884918
2016-04-29$70.23$68.0018.0%5.2%15.0%17.4%17.7%1.1%-0.3%139.4K-1.7M-13.5K0.9891.07N/AN/A395387884918