IWC Options History — August 2016

In August 2016, IWC traded between $73.20 and $76.65. ATM implied volatility averaged 15.0%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.3% (HV 20d: 10.7%). Max pain ranged from $64.00 to $73.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 3.74.

Notable Days

  • 2016-08-15: Highest Volume — 709 contracts
  • 2016-08-05: Largest IV drop — 14.8% change
  • 2016-08-26: Highest IV Rank — 17.7%
  • 2016-08-26: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.28$73.20$76.65$73.82$76.20
Max Pain$71.83$64.00$73.00$64.00$73.00
ATM IV15.0%12.9%16.4%15.5%14.7%
Expected Move4.3%4.1%4.7%4.5%4.2%
HV 20d10.7%9.1%13.7%13.7%9.4%
HV 60d16.6%16.1%17.2%17.0%16.1%
IV Rank11.3%3.2%17.7%13.1%10.8%
IV Percentile6.8%0.4%23.0%6.3%4.8%
Term Structure1.6%-0.1%3.5%0.3%2.0%
VWIV16.7%14.3%18.1%15.9%17.3%
Skew 25d3.8%-0.1%6.5%2.1%1.4%
Skew 10d8.0%3.6%11.9%9.8%4.7%
Call IV 25d12.8%11.4%16.3%14.4%13.3%
Put IV 25d16.7%14.4%19.4%16.5%14.7%
Bid-Ask Spread %96.3986.20101.8998.19101.89
Gamma HHI0.280.210.330.260.33
Net GEX12.8K-26.3K34.1K32.7K34.1K
Net DEX-616.6K-909.3K-34.3K-515.8K-823.7K
Net VEX-3.7K-5.4K-2.3K-5.4K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.742.285.983.855.98
Total Volume551.6960709475649
Total OI669.522658713713661

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$73.82$64.0015.5%4.5%13.7%13.1%15.9%2.1%0.3%32.7K-515.8K-5.4K3.8598.19N/AN/A98377273440
2016-08-02$73.20$64.0016.1%4.6%13.3%15.1%16.0%-0.1%1.4%11.8K-363.9K-5.4K3.8998.88N/AN/A97377273440
2016-08-03$73.71$64.0014.2%4.1%13.4%8.2%14.3%6.3%1.2%-26.3K-34.3K-4.9K2.3098.92N/AN/A214492207451
2016-08-04$73.69$73.0015.1%4.5%13.4%11.6%17.8%4.7%3.5%-20.3K-141.7K-5.0K2.3086.20N/AN/A214492214451
2016-08-05$74.91$73.0012.9%4.1%11.6%3.2%17.7%6.5%2.4%-166-403.3K-4.7K2.2989.32N/AN/A215493214451
2016-08-08$75.03$73.0014.6%4.4%11.1%9.6%17.7%4.2%2.1%-1.6K-493.7K-4.3K2.2992.08N/AN/A215493215452
2016-08-09$75.28$73.0013.9%4.3%10.1%6.9%16.5%5.1%2.6%8.7K-586.4K-4.1K2.2991.56N/AN/A215493215452
2016-08-10$74.72$73.0014.9%4.3%10.3%10.8%15.7%3.7%2.6%3.7K-523.5K-4.0K2.2994.27N/AN/A215493215452
2016-08-11$75.12$73.0015.2%4.4%10.4%11.9%16.7%4.9%2.1%3.0K-582.7K-3.9K2.2992.04N/AN/A215493215452
2016-08-12$75.18$73.0014.7%4.2%10.4%10.1%16.3%5.0%2.9%11.7K-632.2K-3.6K2.2992.39N/AN/A215493215452
2016-08-15$75.87$73.0015.2%4.3%10.7%11.6%16.8%5.8%1.6%20.3K-771.7K-3.4K2.2894.36N/AN/A216493215452
2016-08-16$75.48$73.0015.1%4.3%10.3%11.3%16.4%3.3%2.2%17.2K-736.8K-3.4K4.4498.39N/AN/A111493215452
2016-08-17$75.26$73.0015.3%4.4%10.2%12.2%0.0%4.0%1.9%11.6K-684.8K-3.3K0.0098.02N/AN/A01215452
2016-08-18$75.78$73.0014.5%4.1%10.1%9.1%0.0%3.9%1.9%14.2K-842.4K-2.9K3.0095.59N/AN/A39215453
2016-08-19$75.68$73.0014.4%4.1%10.1%8.8%16.9%3.7%2.9%13.9K-830.2K-3.4K4.4497.09N/AN/A112497228462
2016-08-22$75.77$73.0014.8%4.2%9.7%10.3%17.6%3.4%-0.1%21.0K-692.1K-3.1K5.7097.65N/AN/A87496203461
2016-08-23$76.33$73.0015.8%4.5%9.8%14.2%18.1%2.4%0.3%22.4K-797.9K-2.9K5.3999.93N/AN/A92496203461
2016-08-24$75.81$73.0014.4%4.1%10.1%9.8%0.0%2.8%1.9%19.9K-684.6K-3.1K0.00101.20N/AN/A00198462
2016-08-25$75.87$73.0015.6%4.5%9.9%14.5%15.8%4.2%0.2%18.9K-680.5K-3.0K5.3998.68N/AN/A92496198462
2016-08-26$75.93$73.0016.4%4.7%9.9%17.7%16.9%3.0%0.3%23.9K-676.1K-2.9K5.29100.37N/AN/A92487198462
2016-08-29$76.22$73.0016.0%4.6%9.8%16.3%17.5%4.1%0.3%25.1K-774.0K-2.7K5.2999.62N/AN/A92487198463
2016-08-30$76.65$73.0015.3%4.4%9.1%13.5%17.1%4.0%0.9%27.7K-909.3K-2.3K5.29100.24N/AN/A92487198463
2016-08-31$76.20$73.0014.7%4.2%9.4%10.8%17.3%1.4%2.0%34.1K-823.7K-2.5K5.98101.89N/AN/A93556198463