IWC Options History — May 2016

In May 2016, IWC traded between $67.34 and $71.29. ATM implied volatility averaged 17.5%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.5% (HV 20d: 14.0%). Max pain ranged from $68.00 to $68.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2016-05-24: Highest Volume — 815 contracts
  • 2016-05-03: Largest IV spike — 17.6% change
  • 2016-05-19: Highest IV Rank — 24.8%
  • 2016-05-19: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.09$67.34$71.29$70.73$71.29
Max Pain$68.00$68.00$68.00$68.00$68.00
ATM IV17.5%14.4%19.9%15.8%16.2%
Expected Move5.0%4.1%5.7%4.5%4.6%
HV 20d14.0%12.0%15.8%14.9%15.3%
HV 60d16.8%16.3%17.9%17.9%16.8%
IV Rank15.7%3.4%24.8%8.7%10.3%
IV Percentile30.5%0.8%52.8%11.9%15.5%
Term Structure1.2%-0.6%3.0%0.9%1.0%
VWIV18.3%14.7%19.8%18.2%16.3%
Skew 25d4.9%1.6%7.0%4.8%3.4%
Skew 10d10.7%6.6%15.1%13.9%9.9%
Call IV 25d15.7%12.0%17.9%15.0%14.5%
Put IV 25d20.6%17.3%23.4%19.8%17.9%
Bid-Ask Spread %88.1077.4396.5394.3296.53
Gamma HHI0.150.130.200.140.19
Net GEX121.1K10.5K229.9K166.8K229.9K
Net DEX-831.4K-2.7M738.1K-1.9M-2.7M
Net VEX-10.9K-13.5K-7.5K-13.2K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.941.360.981.36
Total Volume769.286731815782794
Total OI1,869.5711,8121,9201,8121,920

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$70.73$68.0015.8%4.5%14.9%8.7%18.2%4.8%0.9%166.8K-1.9M-13.2K0.9894.32N/AN/A395387884928
2016-05-03$69.69$68.0018.6%5.3%15.4%19.7%19.0%2.1%-0.4%132.4K-1.4M-13.0K1.0195.65N/AN/A395400884928
2016-05-04$69.07$68.0019.7%5.6%15.2%24.2%19.6%3.8%-0.6%107.7K-911.8K-13.5K1.0193.55N/AN/A395400884956
2016-05-05$68.56$68.0018.1%5.3%14.0%17.7%19.8%2.9%1.5%99.8K-719.1K-13.4K1.0180.31N/AN/A395400884956
2016-05-06$68.43$68.0019.0%5.5%13.8%21.3%19.8%5.4%1.4%92.6K-302.7K-13.1K0.9477.43N/AN/A395370884956
2016-05-09$68.92$68.0017.8%5.1%14.0%16.5%19.8%6.9%1.7%113.6K-635.7K-12.8K1.0279.64N/AN/A362369884973
2016-05-10$69.34$68.0017.2%5.0%13.9%14.4%17.6%5.6%2.4%128.4K-1.0M-12.0K1.0282.52N/AN/A362369891974
2016-05-11$68.62$68.0017.6%5.0%12.0%15.9%18.6%3.9%1.2%121.0K-847.6K-12.0K1.0283.97N/AN/A362369891974
2016-05-12$68.00$68.0018.3%5.2%12.3%18.6%19.0%3.2%1.8%79.2K-76.0K-11.4K1.0286.27N/AN/A362369891974
2016-05-13$67.70$68.0017.8%5.1%12.3%16.8%19.2%6.0%1.1%67.4K92.5K-11.2K1.0284.47N/AN/A362369891974
2016-05-16$68.55$68.0016.8%4.8%12.8%12.8%18.7%6.6%2.1%90.4K-229.5K-10.6K1.0285.96N/AN/A362369891974
2016-05-17$68.37$68.0018.1%5.2%12.7%18.0%19.1%5.5%1.7%91.1K-208.7K-10.6K1.0287.22N/AN/A362369891974
2016-05-18$67.83$68.0019.2%5.5%12.9%22.3%19.7%6.7%0.5%54.3K291.4K-10.4K1.0885.84N/AN/A362391891974
2016-05-19$67.34$68.0019.9%5.7%13.0%24.8%19.6%4.0%1.9%10.5K738.1K-9.9K1.0884.72N/AN/A362391891996
2016-05-20$68.27$68.0017.1%4.9%13.8%13.8%18.1%5.3%3.0%73.6K22.6K-9.6K1.1187.48N/AN/A362401891996
2016-05-23$68.66$68.0018.3%5.2%14.0%18.5%18.4%6.0%1.1%109.6K-302.1K-9.7K1.3592.22N/AN/A346468866998
2016-05-24$70.19$68.0015.9%4.5%15.7%9.0%15.4%7.0%0.7%182.2K-1.6M-9.2K1.3592.00N/AN/A3474688661,046
2016-05-25$70.45$68.0016.2%4.6%15.8%10.2%16.5%5.2%1.1%189.2K-1.8M-9.2K1.3290.64N/AN/A3474588671,046
2016-05-26$70.26$68.0016.7%4.8%15.2%12.2%16.3%1.6%0.2%177.1K-1.9M-9.1K1.3293.41N/AN/A3474588671,044
2016-05-27$70.66$68.0014.4%4.1%15.2%3.4%14.7%6.8%1.5%226.8K-2.1M-8.3K1.3295.98N/AN/A3474578671,044
2016-05-31$71.29$68.0016.2%4.6%15.3%10.3%16.3%3.4%1.0%229.9K-2.7M-7.5K1.3696.53N/AN/A3374578671,053