IWC Options History — November 2016

In November 2016, IWC traded between $71.29 and $84.33. ATM implied volatility averaged 20.2%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.0% (HV 20d: 18.2%). Max pain ranged from $76.00 to $83.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.23.

Notable Days

  • 2016-11-15: Highest Volume — 703 contracts
  • 2016-11-09: Largest IV drop — 36.4% change
  • 2016-11-04: Highest IV Rank — 66.3%
  • 2016-11-02: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.93$71.29$84.33$72.81$82.39
Max Pain$78.76$76.00$83.00$76.00$83.00
ATM IV20.2%14.2%27.5%24.0%18.9%
Expected Move5.5%4.1%7.1%6.9%5.4%
HV 20d18.2%11.6%21.7%11.9%19.7%
HV 60d16.4%13.7%17.8%13.7%17.7%
IV Rank38.8%16.7%66.3%53.2%34.2%
IV Percentile57.8%3.6%92.1%84.1%59.1%
Term Structure-0.3%-3.1%3.1%-1.8%-0.1%
VWIV20.2%15.2%24.2%22.7%19.3%
Skew 25d5.6%1.1%9.1%6.3%1.1%
Skew 10d11.3%5.0%20.4%6.3%7.6%
Call IV 25d17.0%14.0%22.2%21.6%18.0%
Put IV 25d22.6%18.1%27.9%27.9%19.1%
Bid-Ask Spread %89.6465.92101.6188.5698.91
Gamma HHI0.300.190.460.240.38
Net GEX-9.6K-65.4K82.0K-62.0K-1.2K
Net DEX-159.9K-1.1M1.1M932.0K-422.5K
Net VEX-3.1K-3.7K-2.3K-3.3K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.231.176.193.606.11
Total Volume459.619331703331619
Total OI556.19438729438611

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$72.81$76.0024.0%6.9%11.9%53.2%22.7%6.3%-1.8%-62.0K932.0K-3.3K3.6088.56N/AN/A72259117321
2016-11-02$72.07$76.0024.9%7.1%11.6%56.5%22.3%4.4%-3.1%-64.8K1.0M-3.1K3.17101.61N/AN/A81257117321
2016-11-03$71.29$77.0027.3%6.5%11.8%65.4%21.7%8.1%-0.5%-63.6K1.1M-3.1K3.1777.88N/AN/A81257117321
2016-11-04$71.74$77.0027.5%6.6%12.4%66.3%21.8%8.6%-1.9%-59.7K1.1M-2.9K3.0365.92N/AN/A88267117321
2016-11-07$72.86$77.0026.4%6.0%13.1%62.2%20.4%9.1%-1.7%-60.8K968.4K-3.0K3.0376.91N/AN/A88267129331
2016-11-08$73.31$77.0026.2%5.8%12.2%61.4%19.3%7.0%-0.6%-63.9K889.2K-3.0K3.0380.73N/AN/A88267129331
2016-11-09$75.75$77.0016.7%4.8%17.4%25.8%20.4%9.0%1.0%-65.4K533.4K-3.2K2.7388.23N/AN/A98268129331
2016-11-10$77.64$77.0017.1%4.9%19.4%27.4%21.1%8.5%0.7%-30.0K3.1K-3.2K2.6286.69N/AN/A106278140333
2016-11-11$79.96$77.0017.8%5.1%21.7%30.1%24.2%9.0%0.4%-20.5K-379.0K-3.1K2.7885.51N/AN/A111309148343
2016-11-14$80.74$77.0019.7%5.6%21.6%37.1%20.6%5.8%-0.5%-39.0K-519.5K-2.7K1.1786.78N/AN/A272319149374
2016-11-15$81.19$80.0018.3%5.2%21.6%31.7%19.6%4.7%0.3%40.9K-727.3K-3.7K1.5993.08N/AN/A271432309391
2016-11-16$81.34$80.0017.7%5.1%21.6%29.6%19.3%3.5%0.3%41.4K-785.3K-3.4K1.2388.91N/AN/A271332319391
2016-11-17$81.76$80.0018.9%5.4%21.5%34.0%19.1%5.3%-0.6%82.0K-924.1K-3.4K1.1890.71N/AN/A281332319399
2016-11-18$82.35$80.0018.2%5.2%21.4%31.5%21.1%4.0%-0.3%9.3K-1.1M-3.5K1.8291.38N/AN/A182332330399
2016-11-21$82.57$80.0019.1%5.5%21.4%35.0%20.8%5.0%-1.8%17.1K-570.0K-3.2K3.9394.57N/AN/A75295227358
2016-11-22$83.33$80.0014.2%4.1%21.0%16.7%15.2%3.7%3.1%359-949.2K-2.3K3.6396.18N/AN/A84305227358
2016-11-23$83.90$80.0015.5%4.5%20.2%21.5%17.9%3.5%1.2%21.9K-1.1M-2.3K4.0799.08N/AN/A75305233368
2016-11-25$84.33$80.0017.0%4.9%19.3%27.2%17.1%4.0%0.3%55.4K-1.0M-2.8K3.5595.38N/AN/A86305232368
2016-11-28$83.20$80.0019.2%5.5%20.1%35.2%19.7%1.1%-0.7%51.9K-916.1K-3.0K6.1998.21N/AN/A86532243368
2016-11-29$82.97$83.0018.8%5.4%20.3%33.9%20.9%5.9%0.1%9.7K-570.3K-3.3K6.1197.15N/AN/A87532243368
2016-11-30$82.39$83.0018.9%5.4%19.7%34.2%19.3%1.1%-0.1%-1.2K-422.5K-3.2K6.1198.91N/AN/A87532243368