IWC Options History — July 2016

In July 2016, IWC traded between $70.42 and $74.32. ATM implied volatility averaged 16.3%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 5.5% (HV 20d: 21.8%). Max pain ranged from $64.00 to $75.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 3.68.

Notable Days

  • 2016-07-06: Highest Volume — 599 contracts
  • 2016-07-08: Largest IV drop — 30.5% change
  • 2016-07-05: Highest IV Rank — 31.0%
  • 2016-07-07: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.06$70.42$74.32$71.34$74.05
Max Pain$64.55$64.00$75.00$75.00$64.00
ATM IV16.3%13.1%20.3%16.6%15.0%
Expected Move4.7%4.2%5.5%4.8%4.3%
HV 20d21.8%14.3%24.3%22.9%14.3%
HV 60d17.5%17.1%17.7%17.1%17.1%
IV Rank15.9%3.8%31.0%16.9%11.0%
IV Percentile15.9%0.4%55.2%16.7%3.2%
Term Structure0.8%-0.6%1.5%0.8%1.0%
VWIV16.4%14.5%18.1%15.1%14.5%
Skew 25d4.1%1.6%8.2%4.1%5.2%
Skew 10d9.5%5.4%15.5%5.4%13.4%
Call IV 25d14.8%12.1%18.4%15.1%13.0%
Put IV 25d18.8%17.0%22.8%19.2%18.2%
Bid-Ask Spread %85.8972.2198.8198.8196.47
Gamma HHI0.210.140.280.150.28
Net GEX1.4K-40.5K44.5K-24.3K44.5K
Net DEX-86.6K-501.6K711.0K529.1K-470.8K
Net VEX-6.2K-7.2K-5.6K-7.2K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.682.004.882.073.85
Total Volume505453599592475
Total OI695.35672713693713

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$71.34$75.0016.6%4.8%22.9%16.9%15.1%4.1%0.8%-24.3K529.1K-7.2K2.0798.81N/AN/A193399236457
2016-07-05$70.51$64.0020.3%5.5%22.8%31.0%16.8%3.1%0.4%-40.5K647.7K-7.0K2.0775.92N/AN/A193399236457
2016-07-06$70.42$64.0019.4%5.4%22.8%27.4%17.7%5.1%1.5%-35.3K711.0K-6.8K2.0072.21N/AN/A200399236457
2016-07-07$70.44$64.0018.8%5.5%22.5%25.2%16.6%4.7%0.6%-24.5K593.5K-6.9K2.0073.44N/AN/A200399244457
2016-07-08$72.26$64.0013.1%4.8%24.3%3.8%14.9%6.4%1.4%564215.6K-6.7K2.0078.30N/AN/A200399244457
2016-07-11$72.98$64.0015.6%4.8%24.2%13.3%17.1%7.1%0.6%5.0K78.0K-6.4K4.6279.04N/AN/A86397236457
2016-07-12$74.01$64.0017.7%4.9%24.1%21.2%17.8%8.2%-0.6%-17.4K-253.0K-6.4K4.2281.12N/AN/A94397243460
2016-07-13$73.58$64.0016.0%4.6%24.2%14.9%16.7%1.8%0.9%-11.8K-194.6K-6.3K4.2284.45N/AN/A94397239460
2016-07-14$73.51$64.0017.2%4.9%24.2%19.2%18.1%1.6%0.3%-16.7K-206.3K-6.2K4.2284.80N/AN/A94397241460
2016-07-15$73.77$64.0015.8%4.5%24.2%13.8%16.7%4.0%0.5%-8.1K-204.8K-6.1K4.2286.19N/AN/A94397241460
2016-07-18$74.03$64.0015.4%4.4%24.1%12.7%16.6%4.0%1.1%4.8K-300.4K-5.9K4.8885.31N/AN/A77376233439
2016-07-19$73.36$64.0015.6%4.5%24.1%13.4%16.1%1.8%1.1%7.1K-248.7K-5.8K4.1987.84N/AN/A90377233439
2016-07-20$73.92$64.0015.0%4.3%24.2%10.9%16.1%4.8%1.3%19.8K-322.2K-6.0K4.1988.28N/AN/A90377247440
2016-07-21$73.54$64.0015.7%4.5%24.1%13.6%16.6%2.8%1.0%9.8K-326.3K-6.0K4.1988.81N/AN/A90377247440
2016-07-22$73.90$64.0014.6%4.2%23.6%9.7%15.6%4.0%1.1%11.0K-345.8K-6.0K4.1986.88N/AN/A90377256440
2016-07-25$73.44$64.0016.3%4.7%20.7%15.9%17.2%2.8%0.7%17.9K-318.7K-5.9K4.1991.92N/AN/A90377256440
2016-07-26$73.83$64.0015.9%4.6%15.5%14.4%17.0%4.5%1.1%17.1K-362.7K-5.8K4.6090.56N/AN/A82377256440
2016-07-27$74.32$64.0016.1%4.6%15.0%15.3%15.6%3.2%0.6%37.0K-451.4K-5.6K3.8595.64N/AN/A98377257440
2016-07-28$74.02$64.0015.8%4.5%14.5%14.1%16.0%2.1%1.0%32.1K-501.6K-5.8K3.8591.83N/AN/A98377273440
2016-07-29$74.05$64.0015.0%4.3%14.3%11.0%14.5%5.2%1.0%44.5K-470.8K-5.7K3.8596.47N/AN/A98377273440