IWC Options History — June 2017

In June 2017, IWC traded between $86.09 and $89.28. ATM implied volatility averaged 14.4%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.1% (HV 20d: 13.3%). Max pain ranged from $84.00 to $87.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-06-16: Highest Volume — 335 contracts
  • 2017-06-14: Largest IV drop — 29.4% change
  • 2017-06-13: Highest IV Rank — 49.0%
  • 2017-06-05: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.68$86.09$89.28$86.09$89.28
Max Pain$86.18$84.00$87.00$84.00$86.00
ATM IV14.4%12.7%18.4%14.9%13.3%
Expected Move4.0%3.6%4.5%4.3%3.8%
HV 20d13.3%11.6%15.1%12.4%11.6%
HV 60d13.2%12.3%14.0%13.5%12.3%
IV Rank26.4%16.4%49.0%29.0%19.6%
IV Percentile19.4%0.4%80.6%18.7%5.2%
Term Structure0.8%-1.6%1.9%-1.6%0.5%
VWIV13.8%12.6%14.9%14.9%13.7%
Skew 25d3.9%1.7%7.0%4.0%3.6%
Skew 10d8.5%2.7%12.4%9.6%11.0%
Call IV 25d12.4%10.8%14.8%13.5%11.6%
Put IV 25d16.3%14.1%18.6%17.5%15.3%
Bid-Ask Spread %89.2972.12101.87100.0383.62
Gamma HHI0.270.160.550.520.21
Net GEX20.1K-109.6K71.5K-85.8K70.7K
Net DEX-345.7K-584.7K1.2K1.2K-429.4K
Net VEX-2.6K-3.2K-1.9K-2.5K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.751.231.230.76
Total Volume223.045207335207213
Total OI331.182244417384249

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$86.09$84.0014.9%4.3%12.4%29.0%14.9%4.0%-1.6%-85.8K1.2K-2.5K1.23100.03N/AN/A93114125259
2017-06-02$87.26$84.0014.8%4.2%13.2%28.1%14.7%4.3%0.3%-40.9K-278.6K-2.4K1.21101.87N/AN/A94114128259
2017-06-05$86.44$87.0015.9%4.5%13.6%34.8%14.2%4.5%0.2%-48.6K-253.2K-2.3K1.1073.69N/AN/A104114129255
2017-06-06$86.65$87.0013.1%4.1%13.6%18.8%13.9%3.2%1.4%-109.6K-307.6K-2.2K1.1078.54N/AN/A104114139255
2017-06-07$86.25$87.0016.3%4.4%13.7%36.9%14.3%3.0%0.3%-68.9K-175.4K-2.4K1.1072.12N/AN/A104114139256
2017-06-08$87.44$87.0013.5%4.2%14.4%20.9%14.3%7.0%1.4%-25.9K-360.0K-2.3K1.1284.39N/AN/A103115139256
2017-06-09$88.14$87.0016.8%4.1%14.5%39.7%14.6%4.1%0.5%22.0K-584.7K-2.1K1.1893.74N/AN/A107126141257
2017-06-12$87.45$87.0018.2%4.4%14.7%47.3%14.8%4.7%1.0%-2.1K-456.8K-2.3K1.1882.79N/AN/A107126146269
2017-06-13$88.18$87.0018.4%4.1%14.9%49.0%14.2%3.8%0.8%45.4K-544.5K-2.1K1.1879.46N/AN/A107126146269
2017-06-14$87.78$87.0013.0%3.7%15.1%18.3%13.4%1.7%1.9%41.1K-483.6K-2.0K1.19101.70N/AN/A108128147269
2017-06-15$87.41$86.0014.6%4.2%12.3%27.2%13.6%4.9%1.2%43.6K-423.3K-2.0K1.1989.01N/AN/A108128146271
2017-06-16$87.10$86.0014.6%4.2%12.4%27.4%13.9%2.4%1.3%43.7K-375.1K-1.9K1.1289.90N/AN/A158177146271
2017-06-19$87.73$86.0012.8%3.7%12.6%17.2%13.0%3.3%1.4%58.2K-262.9K-3.2K0.7691.77N/AN/A1199115292
2017-06-20$87.25$86.0013.8%4.0%12.7%22.9%13.1%3.9%0.8%55.6K-273.2K-3.1K0.7687.48N/AN/A1199115294
2017-06-21$87.07$86.0014.0%4.0%12.8%23.9%13.6%3.2%0.8%52.4K-248.2K-3.1K0.7692.14N/AN/A1199115294
2017-06-22$87.62$86.0012.7%3.6%12.9%16.4%13.2%4.4%1.4%59.2K-239.6K-3.1K0.76101.49N/AN/A1209115294
2017-06-23$88.00$86.0013.2%3.8%12.9%19.2%13.0%3.7%1.1%60.7K-266.9K-3.1K0.7699.58N/AN/A1209115394
2017-06-26$89.07$86.0013.1%3.8%13.4%18.8%12.6%2.7%1.2%70.3K-420.2K-2.9K0.7696.28N/AN/A1209115394
2017-06-27$88.31$86.0014.1%4.0%13.5%24.3%13.6%5.1%0.2%62.2K-370.7K-3.0K0.7590.20N/AN/A1219115394
2017-06-28$89.28$86.0012.7%3.6%13.8%16.4%13.9%4.4%1.1%67.5K-437.2K-3.1K0.7688.26N/AN/A1219215494
2017-06-29$89.22$86.0014.0%4.0%12.4%23.7%13.0%3.6%0.5%71.5K-416.5K-3.0K0.7686.30N/AN/A1219215495
2017-06-30$89.28$86.0013.3%3.8%11.6%19.6%13.7%3.6%0.5%70.7K-429.4K-3.0K0.7683.62N/AN/A1219215495