IWC Options History — March 2017

In March 2017, IWC traded between $82.19 and $86.87. ATM implied volatility averaged 15.9%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.7% (HV 20d: 14.2%). Max pain ranged from $75.00 to $87.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 5.73.

Notable Days

  • 2017-03-17: Highest Volume — 684 contracts
  • 2017-03-15: Largest IV drop — 30.1% change
  • 2017-03-14: Highest IV Rank — 57.5%
  • 2017-03-24: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.44$82.19$86.87$86.87$85.79
Max Pain$77.74$75.00$87.00$87.00$78.00
ATM IV15.9%13.3%20.0%16.4%13.6%
Expected Move4.5%3.8%5.0%4.7%3.9%
HV 20d14.2%12.3%17.2%12.7%14.5%
HV 60d14.1%13.5%14.7%14.4%14.2%
IV Rank34.5%19.9%57.5%37.3%21.5%
IV Percentile31.5%2.4%89.7%40.5%3.2%
Term Structure1.4%-0.1%2.8%0.6%2.0%
VWIV16.8%14.1%24.4%17.3%15.3%
Skew 25d3.0%-1.1%5.9%5.4%2.3%
Skew 10d8.1%-0.7%15.4%15.4%7.8%
Call IV 25d14.7%11.4%17.0%15.4%13.6%
Put IV 25d17.7%15.3%20.8%20.8%15.9%
Bid-Ask Spread %93.2681.52102.3899.41101.03
Gamma HHI0.360.230.460.460.40
Net GEX-73.0K-126.2K-2.0K-126.2K-68.8K
Net DEX952.1K141.3K1.9M141.3K412.2K
Net VEX-3.2K-3.9K-1.5K-2.5K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.733.789.323.895.07
Total Volume431.565258684465279
Total OI470274746500295

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$86.87$87.0016.4%4.7%12.7%37.3%17.3%5.4%0.6%-126.2K141.3K-2.5K3.8999.41N/AN/A95370131369
2017-03-02$85.98$87.0014.7%4.2%13.4%27.7%16.0%0.9%1.2%-126.0K261.3K-2.5K4.11101.33N/AN/A90370132389
2017-03-03$85.66$87.0015.7%4.5%13.5%33.5%14.7%1.3%-0.1%-121.2K462.6K-2.4K4.11100.92N/AN/A90370132389
2017-03-06$85.10$75.0016.9%4.6%13.0%40.4%16.6%2.7%2.5%-100.7K684.8K-1.9K4.1185.46N/AN/A90370132389
2017-03-07$84.42$75.0016.9%4.8%13.1%40.1%17.6%3.1%1.8%-94.6K783.2K-1.8K4.1182.22N/AN/A90370132389
2017-03-08$83.87$75.0015.3%4.6%13.2%31.5%23.6%2.4%1.8%-69.7K917.5K-1.5K3.7887.05N/AN/A98370132389
2017-03-09$83.44$75.0016.0%5.0%13.2%34.8%24.4%4.7%1.8%-87.3K1.6M-3.8K5.2381.52N/AN/A98513142532
2017-03-10$83.71$75.0015.4%4.5%12.6%31.6%15.9%3.7%2.2%-59.6K1.7M-3.5K4.9882.75N/AN/A104518142532
2017-03-13$84.03$75.0019.1%4.5%12.3%52.7%17.0%4.6%2.2%-55.3K1.7M-3.5K5.0286.88N/AN/A104522149538
2017-03-14$83.55$75.0020.0%4.6%12.4%57.5%16.0%1.6%1.9%-45.3K1.9M-3.4K5.0295.45N/AN/A104522149544
2017-03-15$84.77$75.0014.0%4.0%13.4%23.6%15.4%2.4%2.8%-57.3K1.6M-3.5K5.07100.33N/AN/A103522149544
2017-03-16$84.92$75.0015.8%4.5%13.3%33.9%17.0%3.9%1.7%-27.7K1.6M-3.4K5.5989.55N/AN/A103576148544
2017-03-17$85.35$75.0014.8%4.2%13.4%28.4%14.8%1.0%2.2%-2.0K1.7M-3.8K5.3395.85N/AN/A108576148598
2017-03-20$85.29$75.0015.3%4.4%13.4%31.0%15.4%2.2%1.0%-63.0K573.0K-3.9K6.8591.78N/AN/A3423346236
2017-03-21$83.01$75.0015.3%4.4%16.4%31.0%16.2%-1.1%2.0%-70.6K721.2K-3.9K6.8594.51N/AN/A3423346237
2017-03-22$82.19$75.0017.2%4.9%16.6%41.7%16.1%0.4%0.6%-69.1K892.2K-3.8K9.3289.63N/AN/A2523346237
2017-03-23$82.94$75.0016.6%4.8%17.1%38.7%16.8%5.5%0.8%-71.3K827.9K-3.8K9.3293.19N/AN/A2523346237
2017-03-24$83.34$75.0017.6%5.0%17.2%44.1%16.8%3.8%0.0%-70.6K780.1K-3.8K9.3293.80N/AN/A2523346238
2017-03-27$83.70$84.0015.3%4.4%16.8%30.9%16.9%5.9%1.7%-76.7K856.2K-3.7K9.3298.92N/AN/A2523336238
2017-03-28$84.14$84.0015.6%4.5%16.3%32.6%15.6%4.0%0.5%-76.1K792.3K-3.7K5.1894.00N/AN/A4523336238
2017-03-29$84.65$78.0015.0%4.3%14.5%29.8%16.3%3.5%0.3%-69.3K567.3K-3.7K5.1897.01N/AN/A4523356238
2017-03-30$85.39$78.0013.3%3.8%14.5%19.9%14.1%3.8%1.7%-70.8K484.7K-3.5K5.07102.38N/AN/A4623356238
2017-03-31$85.79$78.0013.6%3.9%14.5%21.5%15.3%2.3%2.0%-68.8K412.2K-3.5K5.07101.03N/AN/A4623357238