IWC Options History — January 2017

In January 2017, IWC traded between $83.78 and $87.74. ATM implied volatility averaged 16.6%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.0% (HV 20d: 14.7%). Max pain ranged from $76.00 to $85.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 3.09.

Notable Days

  • 2017-01-20: Highest Volume — 561 contracts
  • 2017-01-04: Largest IV drop — 24.0% change
  • 2017-01-03: Highest IV Rank — 35.2%
  • 2017-01-03: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.32$83.78$87.74$86.06$84.20
Max Pain$81.10$76.00$85.00$85.00$82.00
ATM IV16.6%14.2%19.2%19.2%17.2%
Expected Move4.8%4.2%5.5%5.5%4.9%
HV 20d14.7%13.5%16.7%13.6%16.7%
HV 60d16.9%16.5%17.3%16.5%17.1%
IV Rank26.9%16.7%35.2%35.2%29.7%
IV Percentile35.2%4.4%66.7%66.7%46.4%
Term Structure0.6%-0.3%1.7%0.3%1.0%
VWIV17.2%13.1%20.0%18.3%15.2%
Skew 25d3.1%-0.1%5.4%1.5%3.7%
Skew 10d7.5%2.5%14.4%6.1%10.3%
Call IV 25d15.6%13.6%18.3%17.1%15.6%
Put IV 25d18.7%15.5%20.1%18.7%19.4%
Bid-Ask Spread %89.4575.21101.1596.9394.70
Gamma HHI0.280.200.380.220.31
Net GEX-81.1K-121.1K-16.8K-56.6K-113.5K
Net DEX613.3K159.0K948.3K474.3K839.6K
Net VEX-4.9K-6.0K-4.0K-6.0K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.092.723.783.113.18
Total Volume518.55454561539485
Total OI555.1469598585502

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$86.06$85.0019.2%5.5%13.6%35.2%18.3%1.5%0.3%-56.6K474.3K-6.0K3.1196.93N/AN/A131408157428
2017-01-04$87.74$85.0014.6%4.2%13.9%18.0%15.2%5.0%1.5%-16.8K159.0K-5.6K3.0999.76N/AN/A132408163428
2017-01-05$86.54$76.0017.1%5.0%14.4%27.3%19.9%3.7%0.2%-33.9K278.8K-5.8K3.0976.19N/AN/A132408164428
2017-01-06$86.17$76.0016.2%5.2%14.3%24.2%20.0%3.8%0.4%-39.5K367.1K-5.8K3.1075.21N/AN/A132409164428
2017-01-09$85.41$76.0017.7%5.3%13.5%29.6%19.3%3.9%-0.3%-58.1K562.4K-5.4K3.1078.79N/AN/A132409164429
2017-01-10$86.22$76.0014.2%4.6%14.0%16.7%17.3%4.9%0.9%-60.3K542.3K-5.2K3.0383.35N/AN/A132400164429
2017-01-11$86.06$82.0017.5%5.0%13.6%30.8%19.0%3.5%0.4%-44.2K461.5K-5.2K3.0385.35N/AN/A132400164430
2017-01-12$85.13$82.0017.3%5.0%14.2%30.1%18.0%1.4%1.0%-84.0K682.4K-5.1K2.8486.36N/AN/A141400164430
2017-01-13$85.89$82.0016.6%4.8%14.2%27.4%19.1%5.1%0.5%-68.3K584.5K-5.1K2.8484.81N/AN/A141400154430
2017-01-17$84.61$82.0017.2%4.9%15.1%29.6%18.7%3.4%0.7%-65.9K682.9K-4.9K2.7487.69N/AN/A146400164430
2017-01-18$84.57$82.0017.7%5.1%15.1%31.6%18.2%3.3%0.4%-87.1K803.5K-4.8K2.8486.67N/AN/A141400164430
2017-01-19$83.99$82.0017.8%5.1%14.8%32.1%16.9%2.5%-0.1%-106.9K894.2K-4.6K2.8490.02N/AN/A141401164430
2017-01-20$84.02$82.0017.1%4.9%14.3%29.1%17.5%4.9%0.3%-120.2K928.8K-4.6K2.7285.05N/AN/A151410167431
2017-01-23$83.78$82.0016.7%4.8%14.3%27.4%17.6%0.6%0.4%-109.3K948.3K-4.4K3.7895.90N/AN/A9535999370
2017-01-24$85.08$82.0015.1%4.3%14.9%21.2%16.3%5.4%1.4%-121.1K797.1K-4.2K3.7893.57N/AN/A9535999370
2017-01-25$86.11$82.0015.3%4.4%15.5%22.2%14.2%2.1%0.8%-110.0K506.2K-4.2K3.1591.03N/AN/A11736999370
2017-01-26$85.48$82.0015.5%4.4%15.5%22.9%13.1%-0.1%1.7%-112.2K372.5K-4.4K3.1598.13N/AN/A117369122380
2017-01-27$85.51$82.0015.2%4.4%15.1%21.7%14.5%2.5%0.7%-110.3K580.3K-4.4K3.2198.30N/AN/A115369111380
2017-01-30$83.81$82.0017.5%5.0%16.6%30.8%14.8%-0.1%-0.0%-103.0K801.1K-4.4K3.18101.15N/AN/A116369122380
2017-01-31$84.20$82.0017.2%4.9%16.7%29.7%15.2%3.7%1.0%-113.5K839.6K-4.0K3.1894.70N/AN/A116369122380