IWC Options History — September 2016

In September 2016, IWC traded between $74.97 and $78.65. ATM implied volatility averaged 16.5%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.0% (HV 20d: 14.5%). Max pain ranged from $72.00 to $75.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 5.34.

Notable Days

  • 2016-09-16: Highest Volume — 793 contracts
  • 2016-09-13: Largest IV spike — 51.0% change
  • 2016-09-13: Highest IV Rank — 60.9%
  • 2016-09-14: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.90$74.97$78.65$75.67$78.19
Max Pain$74.19$72.00$75.00$73.00$75.00
ATM IV16.5%9.8%26.1%16.5%15.9%
Expected Move4.7%3.7%5.7%4.7%4.5%
HV 20d14.5%9.1%18.4%9.9%18.4%
HV 60d15.5%13.6%17.3%16.1%14.1%
IV Rank23.9%0.0%60.9%18.3%22.8%
IV Percentile27.0%0.0%86.5%25.4%20.2%
Term Structure1.4%0.1%4.3%1.0%0.1%
VWIV20.1%16.9%22.2%16.9%19.1%
Skew 25d5.1%-0.1%8.1%-0.1%6.8%
Skew 10d10.1%1.8%17.0%1.8%12.9%
Call IV 25d14.3%11.9%17.5%14.9%12.4%
Put IV 25d19.4%14.6%24.2%14.8%19.1%
Bid-Ask Spread %88.9177.64102.20102.2097.14
Gamma HHI0.270.200.530.280.24
Net GEX-54.1K-240.9K41.0K9.5K-74.5K
Net DEX-225.4K-1.1M431.9K-623.1K285.6K
Net VEX-3.6K-5.2K-2.1K-3.2K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.342.056.346.184.87
Total Volume567226793646446
Total OI623.81282859734514

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$75.67$73.0016.5%4.7%9.9%18.3%16.9%-0.1%1.0%9.5K-623.1K-3.2K6.18102.20N/AN/A90556202532
2016-09-02$76.59$73.0012.8%3.7%9.1%3.0%18.1%2.6%4.3%11.3K-829.4K-2.8K6.18101.51N/AN/A90556201532
2016-09-06$76.97$72.0014.6%4.6%9.2%10.4%19.7%5.9%1.3%5.1K-880.4K-2.6K6.1880.08N/AN/A90556201532
2016-09-07$77.75$72.009.8%4.1%9.7%0.0%20.6%6.6%2.5%9.5K-1.1M-2.1K6.1182.62N/AN/A91556201532
2016-09-08$77.81$72.0012.9%4.3%9.1%11.7%19.6%3.9%1.6%-7.7K-1.1M-2.1K5.5081.43N/AN/A101556201532
2016-09-09$75.73$72.0018.5%5.1%13.7%32.7%20.4%5.5%0.9%41.0K-821.3K-2.8K5.3977.64N/AN/A119642211532
2016-09-12$76.34$74.0017.3%5.0%13.9%28.0%21.2%8.1%1.0%-93.8K-524.9K-3.1K5.1378.32N/AN/A129662211618
2016-09-13$74.97$75.0026.1%5.6%15.1%60.9%21.3%4.6%1.1%-91.1K7.9K-3.7K5.2679.62N/AN/A126663221638
2016-09-14$75.03$75.0019.8%5.7%15.0%37.5%22.2%7.8%0.2%-86.1K-114.4K-3.4K5.2678.29N/AN/A126663217639
2016-09-15$75.96$75.0017.9%5.1%15.6%30.6%20.9%6.6%1.2%-83.9K-461.9K-3.2K5.2586.75N/AN/A126662218639
2016-09-16$76.18$75.0017.9%5.1%15.4%30.3%20.7%6.5%0.8%-240.9K-630.4K-3.0K5.0579.33N/AN/A131662218640
2016-09-19$76.55$75.0017.0%4.9%15.5%27.1%19.4%5.5%0.9%-25.4K-659-3.0K2.0590.56N/AN/A7515497188
2016-09-20$76.76$75.0017.5%5.0%15.5%28.8%21.1%5.4%1.1%-21.3K-35.0K-2.9K2.1886.89N/AN/A7115597188
2016-09-21$77.50$75.0016.8%4.8%15.7%26.4%20.6%5.4%0.8%-24.0K-65.7K-2.8K5.2795.26N/AN/A7137493189
2016-09-22$78.65$75.0013.4%3.8%16.1%13.4%21.0%6.0%2.4%-77.0K321.7K-5.2K6.3491.54N/AN/A5937493419
2016-09-23$78.33$75.0015.1%4.3%16.3%20.0%20.7%3.2%1.5%-72.9K302.9K-5.1K6.3492.24N/AN/A5937492419
2016-09-26$77.12$75.0016.9%4.9%17.4%26.8%21.5%4.9%0.9%-77.3K422.6K-5.2K6.3492.10N/AN/A5937492420
2016-09-27$77.41$75.0016.7%4.8%17.4%25.7%21.2%4.6%2.3%-78.1K431.9K-5.2K6.3496.46N/AN/A5937492420
2016-09-28$78.20$75.0015.2%4.4%17.6%20.3%19.9%4.1%2.0%-83.0K310.4K-4.8K5.8795.08N/AN/A6337092420
2016-09-29$77.18$75.0016.9%4.9%18.2%26.8%17.0%3.2%1.0%-76.2K416.9K-4.9K5.07101.96N/AN/A7337087420
2016-09-30$78.19$75.0015.9%4.5%18.4%22.8%19.1%6.8%0.1%-74.5K285.6K-4.6K4.8797.14N/AN/A7637094420