IWC Options History — February 2017

In February 2017, IWC traded between $83.73 and $86.36. ATM implied volatility averaged 15.8%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.2% (HV 20d: 13.6%). Max pain ranged from $82.00 to $87.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 3.50.

Notable Days

2017-02-16: Highest Volume — 523 contracts
2017-02-03: Largest IV drop — 11.3% change
2017-02-28: Highest IV Rank — 40.3%
2017-02-07: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.30	$83.73	$86.36	$84.20	$85.08
Max Pain	$86.74	$82.00	$87.00	$82.00	$87.00
ATM IV	15.8%	14.5%	17.1%	16.5%	16.9%
Expected Move	4.6%	4.2%	5.0%	4.7%	4.9%
HV 20d	13.6%	10.6%	16.6%	16.6%	10.6%
HV 60d	14.7%	13.5%	16.9%	16.9%	13.9%
IV Rank	29.3%	21.5%	40.3%	26.7%	40.3%
IV Percentile	26.2%	6.3%	48.0%	35.3%	48.0%
Term Structure	1.2%	-0.8%	2.7%	0.9%	-0.8%
VWIV	15.6%	12.8%	17.5%	14.7%	13.4%
Skew 25d	3.1%	-0.2%	5.9%	2.1%	-0.2%
Skew 10d	7.3%	2.8%	12.9%	9.3%	2.8%
Call IV 25d	14.7%	12.9%	16.6%	15.6%	16.6%
Put IV 25d	17.9%	16.2%	20.0%	17.7%	16.4%
Bid-Ask Spread %	95.29	87.22	105.45	99.71	101.06
Gamma HHI	0.41	0.28	0.59	0.35	0.40
Net GEX	-114.4K	-160.0K	9.4K	-109.8K	-111.9K
Net DEX	540.7K	206.4K	883.7K	705.1K	406.5K
Net VEX	-3.1K	-4.0K	-2.4K	-4.0K	-2.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.50	2.90	4.86	3.18	3.72
Total Volume	477.895	421	523	485	444
Total OI	498.211	439	543	502	500

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$84.20	$82.00	16.5%	4.7%	16.6%	26.7%	14.7%	2.1%	0.9%	-109.8K	705.1K	-4.0K	3.18	99.71	N/A	N/A	116	369	122	380
2017-02-02	$84.00	$87.00	17.1%	4.9%	14.7%	29.2%	17.1%	3.8%	1.5%	-107.1K	749.3K	-4.0K	3.18	87.22	N/A	N/A	116	369	123	380
2017-02-03	$85.07	$87.00	15.2%	4.6%	14.9%	21.5%	17.5%	4.2%	1.3%	-113.6K	627.6K	-3.8K	3.19	88.42	N/A	N/A	116	370	123	380
2017-02-06	$84.58	$87.00	16.2%	4.7%	15.0%	25.5%	16.6%	3.0%	1.2%	-116.7K	587.6K	-3.7K	3.19	91.85	N/A	N/A	116	370	123	381
2017-02-07	$84.15	$87.00	16.1%	5.0%	14.8%	25.4%	17.3%	3.4%	0.8%	-114.0K	691.3K	-3.7K	3.25	88.84	N/A	N/A	116	377	123	381
2017-02-08	$83.73	$87.00	16.9%	4.8%	14.3%	28.3%	16.9%	3.3%	1.4%	-125.8K	883.7K	-3.4K	3.25	89.45	N/A	N/A	116	377	123	389
2017-02-09	$84.70	$87.00	16.1%	4.6%	15.1%	27.7%	17.1%	4.7%	1.2%	-134.5K	735.7K	-3.3K	3.02	90.44	N/A	N/A	125	377	123	389
2017-02-10	$85.33	$87.00	16.1%	4.6%	14.8%	27.8%	17.1%	3.7%	1.7%	-109.3K	575.2K	-3.4K	3.02	90.11	N/A	N/A	125	377	128	389
2017-02-13	$85.53	$87.00	16.0%	4.6%	14.5%	28.9%	17.0%	3.2%	1.9%	-110.0K	388.8K	-3.3K	3.03	91.24	N/A	N/A	125	379	123	389
2017-02-14	$85.96	$87.00	15.5%	4.5%	13.5%	27.3%	16.6%	3.0%	1.7%	-83.7K	419.0K	-3.1K	3.11	92.78	N/A	N/A	125	389	123	391
2017-02-15	$86.36	$87.00	14.7%	4.2%	13.6%	27.2%	14.4%	4.5%	2.4%	-102.4K	251.8K	-2.5K	3.38	98.06	N/A	N/A	115	389	123	401
2017-02-16	$86.15	$87.00	16.3%	4.7%	13.3%	35.5%	15.5%	1.9%	1.1%	-90.9K	272.7K	-2.9K	2.90	96.06	N/A	N/A	134	389	123	401
2017-02-17	$86.15	$87.00	15.3%	4.4%	13.3%	31.4%	14.6%	3.0%	2.7%	9.4K	206.4K	-2.9K	3.38	99.06	N/A	N/A	115	389	142	401
2017-02-21	$86.33	$87.00	15.4%	4.4%	13.2%	31.8%	14.8%	2.1%	0.7%	-143.4K	465.7K	-2.6K	4.85	95.85	N/A	N/A	72	349	76	363
2017-02-22	$86.01	$87.00	14.5%	4.2%	12.3%	26.7%	14.3%	3.4%	1.0%	-160.0K	569.4K	-2.5K	4.86	105.45	N/A	N/A	72	350	86	368
2017-02-23	$85.69	$87.00	15.1%	4.3%	11.5%	30.0%	15.0%	1.6%	0.4%	-145.7K	626.5K	-2.4K	4.27	101.78	N/A	N/A	82	350	86	369
2017-02-24	$85.41	$87.00	15.6%	4.5%	11.3%	33.1%	12.8%	3.1%	0.5%	-150.2K	652.2K	-2.4K	4.07	102.63	N/A	N/A	86	350	96	369
2017-02-27	$86.28	$87.00	15.4%	4.4%	11.9%	32.0%	14.4%	5.9%	0.9%	-154.7K	459.7K	-2.5K	3.72	100.41	N/A	N/A	94	350	110	369
2017-02-28	$85.08	$87.00	16.9%	4.9%	10.6%	40.3%	13.4%	-0.2%	-0.8%	-111.9K	406.5K	-2.6K	3.72	101.06	N/A	N/A	94	350	131	369