IWC Options History — December 2016

In December 2016, IWC traded between $81.74 and $87.43. ATM implied volatility averaged 17.5%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.3% (HV 20d: 15.1%). Max pain ranged from $79.00 to $84.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.18.

Notable Days

  • 2016-12-16: Highest Volume — 1,170 contracts
  • 2016-12-14: Largest IV drop — 26.7% change
  • 2016-12-13: Highest IV Rank — 55.1%
  • 2016-12-02: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.70$81.74$87.43$81.74$85.62
Max Pain$82.67$79.00$84.00$83.00$84.00
ATM IV17.5%14.5%24.5%18.4%17.5%
Expected Move4.9%4.4%5.4%5.3%5.0%
HV 20d15.1%12.9%19.5%19.5%13.6%
HV 60d16.9%16.3%17.8%17.7%16.5%
IV Rank28.7%17.7%55.1%32.2%28.7%
IV Percentile39.2%6.0%83.7%54.8%43.7%
Term Structure1.5%-0.7%2.6%-0.7%1.0%
VWIV18.0%15.5%21.1%17.3%16.7%
Skew 25d3.9%1.6%6.2%1.7%3.5%
Skew 10d8.8%3.0%14.3%3.0%5.8%
Call IV 25d15.5%13.9%18.4%18.2%16.2%
Put IV 25d19.4%17.7%21.7%19.9%19.6%
Bid-Ask Spread %90.1079.5999.3799.3793.65
Gamma HHI0.310.170.460.390.21
Net GEX-32.4K-94.5K70.0K-14.1K-55.7K
Net DEX-221.6K-1.5M517.4K-291.5K502.7K
Net VEX-4.4K-6.9K-2.3K-3.0K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.183.026.756.053.02
Total Volume691.3335171,170620539
Total OI619.143561693611582

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$81.74$83.0018.4%5.3%19.5%32.2%17.3%1.7%-0.7%-14.1K-291.5K-3.0K6.0599.37N/AN/A88532243368
2016-12-02$82.18$83.0018.8%5.4%18.4%33.9%21.1%2.7%-0.6%-12.0K-257.6K-3.0K6.0598.65N/AN/A88532244368
2016-12-05$83.65$79.0016.4%4.6%18.8%24.8%20.3%6.2%2.5%-16.3K-556.8K-2.6K6.7579.59N/AN/A79533244368
2016-12-06$84.73$79.0015.1%4.5%18.7%19.8%18.9%4.9%2.6%49.2K-978.6K-2.6K6.0789.64N/AN/A92558244369
2016-12-07$85.47$79.0014.5%4.7%18.7%17.7%18.6%4.2%1.9%70.0K-1.2M-2.6K6.0786.89N/AN/A92558254394
2016-12-08$86.75$79.0017.7%4.9%16.4%29.5%19.0%5.5%1.9%48.4K-1.5M-2.3K3.0390.95N/AN/A228691253394
2016-12-09$86.96$81.0018.7%4.7%15.0%33.3%18.3%4.4%2.6%-89.6K-947.9K-2.8K3.0389.80N/AN/A228691239419
2016-12-12$86.21$81.0022.2%5.1%13.0%46.5%19.3%3.7%1.3%-79.5K-864.8K-2.5K3.1194.97N/AN/A227705239419
2016-12-13$86.20$84.0024.5%5.3%12.9%55.1%19.6%3.4%1.2%-94.5K-672.4K-3.0K3.1185.64N/AN/A227705238453
2016-12-14$85.46$84.0018.0%5.1%13.5%30.6%19.0%3.0%1.8%-29.1K-277.0K-2.8K5.5789.05N/AN/A127707238455
2016-12-15$85.92$84.0017.9%5.1%13.5%30.4%20.0%5.5%0.9%-69.1K-379.5K-2.7K5.1681.72N/AN/A137707238455
2016-12-16$85.90$84.0017.2%4.9%13.5%27.9%17.6%4.7%1.9%9.2K-247.8K-2.5K5.9283.59N/AN/A1691,001223455
2016-12-19$86.66$84.0015.4%4.4%13.6%21.0%16.5%5.0%1.9%-51.8K517.4K-6.9K3.0289.04N/AN/A131395146415
2016-12-20$87.43$84.0016.1%4.6%13.8%23.6%17.5%4.3%1.5%-46.6K344.6K-6.7K3.6288.69N/AN/A112405146415
2016-12-21$87.21$84.0016.0%4.6%13.7%23.3%16.1%3.1%2.4%-46.2K315.6K-6.8K3.0289.38N/AN/A134405148425
2016-12-22$86.08$84.0015.8%4.5%14.6%22.6%17.3%2.8%2.3%-56.2K411.6K-6.9K3.0289.49N/AN/A134405158425
2016-12-23$86.50$84.0016.4%4.7%14.6%24.7%15.5%4.1%1.9%-54.7K453.0K-6.8K3.0288.99N/AN/A134405157425
2016-12-27$87.04$84.0016.0%4.6%13.6%23.1%16.0%4.8%1.4%-41.6K262.8K-6.5K3.0293.16N/AN/A134405157425
2016-12-28$86.14$84.0016.6%4.8%14.3%25.5%16.8%1.6%1.6%-47.5K351.6K-6.3K3.0296.15N/AN/A134405157425
2016-12-29$85.93$84.0017.7%5.1%14.0%29.5%17.1%3.8%1.1%-51.7K422.2K-6.5K3.0293.73N/AN/A134405157425
2016-12-30$85.62$84.0017.5%5.0%13.6%28.7%16.7%3.5%1.0%-55.7K502.7K-6.4K3.0293.65N/AN/A134405157425