IWC Options History — July 2017

In July 2017, IWC traded between $87.93 and $90.11. ATM implied volatility averaged 13.2%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.8% (HV 20d: 11.4%). Max pain ranged from $81.00 to $86.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2017-07-31: Highest Volume — 270 contracts
  • 2017-07-05: Largest IV spike — 16.7% change
  • 2017-07-06: Highest IV Rank — 29.4%
  • 2017-07-06: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.17$87.93$90.11$89.77$88.39
Max Pain$81.50$81.00$86.00$86.00$81.00
ATM IV13.2%11.8%15.0%11.8%12.7%
Expected Move3.8%3.4%4.3%3.4%3.6%
HV 20d11.4%10.7%12.7%10.9%10.9%
HV 60d12.2%11.7%13.0%12.3%11.8%
IV Rank19.4%11.2%29.4%11.2%16.6%
IV Percentile7.0%0.4%27.4%0.4%4.0%
Term Structure0.7%-0.7%1.6%1.4%0.8%
VWIV13.8%12.0%22.0%14.5%12.6%
Skew 25d3.1%-0.3%6.2%5.2%3.0%
Skew 10d7.5%-0.3%11.8%10.5%9.1%
Call IV 25d12.2%10.4%13.5%10.4%12.3%
Put IV 25d15.3%12.9%17.7%15.7%15.3%
Bid-Ask Spread %92.1434.12108.8297.6134.12
Gamma HHI0.210.140.260.210.14
Net GEX71.9K17.5K109.7K68.8K17.5K
Net DEX-590.8K-857.7K-125.1K-490.7K-125.1K
Net VEX-2.8K-3.1K-2.5K-2.9K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.521.110.570.96
Total Volume244.95221270253270
Total OI280.5249303249303

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$89.77$86.0011.8%3.4%10.9%11.2%14.5%5.2%1.4%68.8K-490.7K-2.9K0.5797.61N/AN/A1619215495
2017-07-05$89.38$86.0013.7%3.9%11.2%22.2%12.7%1.1%0.7%73.9K-604.2K-3.0K0.57104.02N/AN/A1619217495
2017-07-06$87.93$81.0015.0%4.3%12.7%29.4%22.0%4.0%0.5%77.7K-503.2K-2.9K0.5779.82N/AN/A1619217495
2017-07-07$88.91$81.0013.9%4.0%12.4%23.3%12.3%4.4%0.3%84.0K-570.2K-2.9K0.5581.00N/AN/A1669217495
2017-07-10$88.66$81.0013.9%3.9%12.1%23.3%15.2%5.0%0.9%84.9K-587.1K-3.0K0.5282.56N/AN/A1769217995
2017-07-11$88.68$81.0014.4%4.1%11.8%25.9%14.5%3.5%0.2%98.7K-616.5K-3.0K0.5284.89N/AN/A1769218995
2017-07-12$89.35$81.0014.2%4.1%11.7%24.8%14.4%6.2%0.5%89.9K-731.0K-3.0K0.7192.05N/AN/A1299218995
2017-07-13$89.20$81.0013.4%3.8%11.6%20.5%13.1%1.6%0.5%104.5K-757.6K-2.9K0.7196.80N/AN/A1299219095
2017-07-14$89.65$81.0012.3%3.5%11.5%14.2%12.2%2.6%0.9%109.7K-811.9K-2.8K0.7191.19N/AN/A1299219095
2017-07-17$89.49$81.0014.0%4.0%11.4%23.8%15.1%5.4%0.8%91.4K-807.7K-2.7K0.7095.00N/AN/A1319219095
2017-07-18$89.27$81.0013.2%3.8%11.3%19.4%13.6%2.9%1.4%92.0K-777.7K-2.7K0.7197.56N/AN/A1319319195
2017-07-19$89.78$81.0012.6%3.6%11.1%15.6%12.9%3.5%1.6%109.4K-857.7K-2.7K0.7899.41N/AN/A13310419196
2017-07-20$89.75$81.0012.5%3.6%11.1%15.6%13.0%3.1%0.8%79.0K-818.9K-2.7K0.7897.31N/AN/A133104194107
2017-07-21$89.07$81.0012.6%3.6%11.4%15.7%13.7%1.7%1.0%95.8K-693.7K-2.7K0.8598.04N/AN/A134114185107
2017-07-24$89.32$81.0013.5%3.9%11.3%20.7%13.1%3.6%0.9%33.3K-433.5K-2.7K0.8897.36N/AN/A127112156115
2017-07-25$90.11$81.0012.0%3.5%11.0%12.8%12.0%2.2%0.7%36.3K-497.4K-2.7K0.88100.68N/AN/A127112156115
2017-07-26$89.57$81.0012.2%3.5%10.7%13.9%13.1%2.1%-0.7%37.0K-511.8K-2.7K0.88108.82N/AN/A127112157115
2017-07-27$88.51$81.0012.9%3.7%10.9%17.4%12.6%-0.3%0.8%34.5K-434.0K-2.5K1.11101.31N/AN/A127141157115
2017-07-28$88.58$81.0013.7%3.9%10.9%22.1%13.6%2.2%0.3%18.7K-185.7K-3.1K1.04103.37N/AN/A127132157145
2017-07-31$88.39$81.0012.7%3.6%10.9%16.6%12.6%3.0%0.8%17.5K-125.1K-2.9K0.9634.12N/AN/A138132158145