IWC Options History — June 2016

In June 2016, IWC traded between $67.40 and $73.29. ATM implied volatility averaged 18.6%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.5% (HV 20d: 15.1%). Max pain ranged from $68.00 to $75.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.77.

Notable Days

  • 2016-06-14: Highest Volume — 796 contracts
  • 2016-06-24: Largest IV spike — 26.2% change
  • 2016-06-27: Highest IV Rank — 52.0%
  • 2016-06-27: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.01$67.40$73.29$71.63$70.30
Max Pain$71.73$68.00$75.00$68.00$75.00
ATM IV18.6%12.0%26.0%14.0%18.4%
Expected Move5.4%4.0%7.4%4.0%5.3%
HV 20d15.1%11.3%22.2%14.3%22.2%
HV 60d15.5%13.7%17.4%16.5%17.3%
IV Rank23.9%0.0%52.0%1.8%23.8%
IV Percentile38.7%0.0%81.7%0.8%38.1%
Term Structure0.7%-1.6%2.6%2.6%0.9%
VWIV18.1%15.7%25.0%16.0%16.9%
Skew 25d5.3%3.2%7.1%5.4%6.3%
Skew 10d13.0%9.0%19.3%11.9%12.9%
Call IV 25d16.8%13.1%23.8%13.2%16.2%
Put IV 25d22.1%18.0%30.9%18.6%22.5%
Bid-Ask Spread %85.5977.8796.5596.5594.69
Gamma HHI0.190.120.350.190.15
Net GEX159.7K-52.2K452.2K244.3K-38.5K
Net DEX-1.7M-4.5M1.2M-2.9M808.0K
Net VEX-5.9K-7.8K-3.7K-7.2K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.771.352.241.352.07
Total Volume700.364574796795592
Total OI1,408.9093181,9671,922693

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$71.63$68.0014.0%4.0%14.3%1.8%16.0%5.4%2.6%244.3K-2.9M-7.2K1.3596.55N/AN/A3384578691,053
2016-06-02$71.89$70.0015.0%4.6%13.8%5.7%16.9%5.8%1.8%237.6K-3.2M-6.8K1.3579.46N/AN/A3384578701,053
2016-06-03$71.74$70.0015.3%4.7%13.4%7.0%16.9%3.8%1.1%268.6K-3.4M-6.1K1.3581.92N/AN/A3384578701,053
2016-06-06$72.51$70.0012.0%4.3%13.6%0.0%16.9%6.9%1.8%272.4K-3.8M-5.4K1.4284.15N/AN/A3224578711,053
2016-06-07$72.67$70.0015.1%4.6%13.5%11.3%16.5%4.8%1.5%263.7K-4.2M-5.2K1.4283.46N/AN/A3224578841,053
2016-06-08$73.29$70.0016.1%4.6%13.7%15.0%17.3%5.5%1.1%331.0K-4.5M-4.5K1.4282.68N/AN/A3224578841,053
2016-06-09$72.65$70.0016.4%4.7%13.4%16.1%16.4%3.2%1.5%296.5K-4.4M-4.5K1.4285.34N/AN/A3224578841,053
2016-06-10$71.77$70.0017.6%5.1%13.9%20.8%17.9%4.7%1.2%317.7K-3.6M-5.2K1.4379.68N/AN/A3224618841,053
2016-06-13$70.90$70.0020.7%5.9%14.6%32.3%20.4%5.1%-0.4%307.5K-2.7M-5.2K1.4080.65N/AN/A3304618851,057
2016-06-14$70.69$70.0021.3%6.1%14.2%34.5%21.1%4.3%0.2%452.2K-2.7M-4.9K1.4177.87N/AN/A3304668951,067
2016-06-15$70.75$70.0020.5%5.9%14.2%31.5%19.2%4.9%-0.4%400.9K-2.9M-4.9K1.4185.09N/AN/A3234578951,072
2016-06-16$70.73$70.0019.4%5.6%13.7%27.7%18.8%6.6%1.2%441.2K-2.5M-4.4K2.0280.82N/AN/A2505068841,072
2016-06-17$70.39$70.0020.9%6.0%13.5%32.9%19.6%5.9%0.5%-1.5K-3.1M-3.8K2.0281.93N/AN/A2505068851,072
2016-06-20$71.28$70.0019.3%5.5%13.4%26.9%15.7%4.2%0.0%1.6K-28.7K-3.7K2.2486.49N/AN/A177397113205
2016-06-21$71.21$75.0020.1%5.8%13.4%30.1%16.7%4.3%0.1%-33.9K610.8K-7.8K2.2484.21N/AN/A178398219455
2016-06-22$70.79$75.0020.3%5.8%11.3%30.7%18.4%6.7%0.2%-29.6K611.1K-7.7K2.2487.34N/AN/A178398220456
2016-06-23$71.89$75.0018.4%5.3%12.4%23.5%16.2%4.1%0.5%-28.1K467.5K-7.7K2.2491.95N/AN/A178398220456
2016-06-24$69.75$75.0023.2%6.6%16.7%41.5%19.4%7.0%-1.0%-44.1K891.5K-7.4K2.1589.71N/AN/A185398220456
2016-06-27$67.40$75.0026.0%7.4%20.4%52.0%25.0%7.1%-1.6%-49.4K1.2M-7.0K2.1686.53N/AN/A185399227456
2016-06-28$68.45$75.0022.2%6.4%21.0%38.0%17.9%5.3%-0.6%-52.2K1.2M-6.8K2.0790.08N/AN/A193399227457
2016-06-29$69.57$75.0018.1%5.2%21.8%22.8%17.1%5.3%2.6%-44.4K915.6K-7.1K2.0792.39N/AN/A193399235457
2016-06-30$70.30$75.0018.4%5.3%22.2%23.8%16.9%6.3%0.9%-38.5K808.0K-7.0K2.0794.69N/AN/A193399236457