IWC Options History — October 2016

In October 2016, IWC traded between $73.56 and $78.37. ATM implied volatility averaged 18.5%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.7% (HV 20d: 14.8%). Max pain ranged from $75.00 to $76.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.10.

Notable Days

  • 2016-10-19: Highest Volume — 473 contracts
  • 2016-10-26: Largest IV spike — 21.0% change
  • 2016-10-31: Highest IV Rank — 44.1%
  • 2016-10-31: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.22$73.56$78.37$77.88$73.73
Max Pain$75.86$75.00$76.00$75.00$76.00
ATM IV18.5%16.1%21.6%17.2%21.6%
Expected Move5.4%4.6%6.2%4.9%6.2%
HV 20d14.8%11.2%18.1%18.1%11.3%
HV 60d13.5%12.9%13.9%13.3%13.5%
IV Rank32.5%23.6%44.1%27.8%44.1%
IV Percentile51.2%24.2%80.2%36.1%80.2%
Term Structure0.0%-1.3%1.5%0.3%-1.3%
VWIV18.2%16.0%20.7%18.6%20.7%
Skew 25d5.5%2.4%7.8%3.4%6.0%
Skew 10d11.1%5.0%17.1%14.1%5.0%
Call IV 25d16.3%13.0%19.9%14.9%19.9%
Put IV 25d21.8%18.2%26.0%18.3%26.0%
Bid-Ask Spread %88.3879.7099.1997.2889.31
Gamma HHI0.230.180.270.210.24
Net GEX-62.6K-91.0K-44.7K-65.2K-65.8K
Net DEX440.5K118.7K859.3K331.0K859.3K
Net VEX-4.3K-4.8K-3.4K-4.7K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.103.165.044.913.60
Total Volume422.667330473449331
Total OI511.905428563517437

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$77.88$75.0017.2%4.9%18.1%27.8%18.6%3.4%0.3%-65.2K331.0K-4.7K4.9197.28N/AN/A7637397420
2016-10-04$77.70$75.0017.0%4.9%18.1%27.2%18.5%2.4%0.3%-63.1K304.6K-4.8K5.0499.19N/AN/A74373105423
2016-10-05$78.19$75.0016.7%4.8%17.9%25.9%20.5%7.8%1.5%-62.1K229.5K-4.6K5.0498.84N/AN/A74373105423
2016-10-06$77.92$76.0016.3%5.1%17.9%24.4%18.4%6.3%-0.6%-58.8K244.7K-4.5K4.9780.94N/AN/A75373105423
2016-10-07$77.46$76.0016.7%5.3%15.0%25.9%18.2%4.0%0.8%-62.4K295.3K-4.6K4.7281.31N/AN/A79373105423
2016-10-10$78.37$76.0016.1%5.1%15.3%23.6%17.9%5.9%0.5%-44.7K118.7K-4.4K4.7280.46N/AN/A79373116423
2016-10-11$76.90$76.0019.1%5.6%15.4%35.0%19.0%3.7%-0.3%-73.5K335.0K-4.7K4.7583.49N/AN/A79375116423
2016-10-12$76.78$76.0018.5%5.3%15.4%32.7%17.8%6.3%0.3%-71.6K347.8K-4.6K4.3188.30N/AN/A87375116427
2016-10-13$76.18$76.0020.3%5.8%15.2%39.3%19.2%5.6%0.2%-79.4K491.6K-4.7K4.3180.53N/AN/A87375126427
2016-10-14$75.84$76.0019.1%5.5%15.2%35.0%18.1%5.6%0.1%-82.3K521.4K-4.6K4.3179.70N/AN/A87375126427
2016-10-17$75.40$76.0020.5%5.9%15.2%40.0%18.5%7.1%-0.1%-91.0K577.9K-4.3K3.8786.74N/AN/A97375126427
2016-10-18$75.83$76.0019.4%5.6%15.3%35.9%18.0%6.3%-0.2%-64.9K476.5K-4.3K3.8788.36N/AN/A97375136427
2016-10-19$76.28$76.0018.4%5.3%15.1%32.3%16.9%5.8%0.8%-49.6K393.7K-4.2K3.8888.70N/AN/A97376136427
2016-10-20$76.13$76.0017.9%5.1%13.9%30.3%17.1%5.7%0.2%-56.1K414.3K-4.1K3.7784.49N/AN/A97366136427
2016-10-21$75.94$76.0018.0%5.2%13.9%30.6%16.0%6.6%0.2%-54.9K481.9K-4.0K3.4285.46N/AN/A107366135427
2016-10-24$76.20$76.0019.0%5.4%12.9%34.5%17.6%6.2%0.4%-45.0K361.4K-4.0K3.1993.68N/AN/A79252115313
2016-10-25$75.58$76.0016.1%4.6%13.1%23.8%17.1%3.5%1.2%-50.6K424.6K-3.9K3.1692.22N/AN/A80253115313
2016-10-26$74.80$76.0019.5%5.6%12.8%36.4%17.7%5.9%-1.3%-57.4K592.8K-3.8K3.1690.11N/AN/A80253116314
2016-10-27$74.03$76.0019.5%5.6%12.5%36.5%18.9%5.9%-1.3%-57.8K670.4K-3.7K3.5893.90N/AN/A72258116314
2016-10-28$73.56$76.0020.7%5.9%11.2%40.8%18.7%5.4%-1.1%-59.1K777.7K-3.6K3.5892.90N/AN/A72258117320
2016-10-31$73.73$76.0021.6%6.2%11.3%44.1%20.7%6.0%-1.3%-65.8K859.3K-3.4K3.6089.31N/AN/A72259117320