IWC Options History — September 2017

In September 2017, IWC traded between $87.25 and $94.45. ATM implied volatility averaged 11.6%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 2.3% (HV 20d: 9.3%). Max pain ranged from $83.00 to $93.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2017-09-29: Highest Volume — 550 contracts
  • 2017-09-05: Largest IV spike — 26.3% change
  • 2017-09-06: Highest IV Rank — 24.5%
  • 2017-09-07: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.03$87.25$94.45$87.92$94.45
Max Pain$86.30$83.00$93.00$83.00$93.00
ATM IV11.6%10.2%14.1%11.2%10.6%
Expected Move3.4%2.9%4.3%3.2%3.0%
HV 20d9.3%6.8%12.9%12.7%9.8%
HV 60d11.2%10.7%11.8%11.4%11.2%
IV Rank7.2%0.0%24.5%7.8%2.7%
IV Percentile4.3%0.0%21.4%0.4%2.0%
Term Structure1.7%0.9%3.5%1.7%1.8%
VWIV12.4%9.5%14.9%11.4%12.5%
Skew 25d3.8%1.7%6.6%1.7%3.1%
Skew 10d8.4%5.7%12.8%6.3%5.8%
Call IV 25d10.4%7.5%13.3%10.8%9.5%
Put IV 25d14.3%12.0%17.2%12.5%12.6%
Bid-Ask Spread %95.8982.18107.5192.2999.55
Gamma HHI0.150.100.200.120.15
Net GEX21.4K-35.2K62.5K-18.4K-35.2K
Net DEX-68.8K-969.1K505.4K390.5K-969.1K
Net VEX-4.1K-6.1K-2.2K-2.5K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.931.981.961.12
Total Volume410.7308550308550
Total OI444.4370569412530

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$87.92$83.0011.2%3.2%12.7%7.8%11.4%1.7%1.7%-18.4K390.5K-2.5K1.9692.29N/AN/A104204156256
2017-09-05$87.39$87.0014.1%4.2%12.9%24.4%14.9%3.4%0.9%-11.2K413.8K-2.5K1.9882.18N/AN/A104206156256
2017-09-06$87.41$87.0014.1%4.2%12.9%24.5%14.4%4.4%1.2%-16.9K503.3K-2.3K1.9884.57N/AN/A104206145258
2017-09-07$87.26$87.0013.1%4.3%12.3%18.6%14.1%3.2%1.2%-16.2K505.4K-2.2K1.7885.73N/AN/A116206145258
2017-09-08$87.25$87.0013.2%4.2%10.5%12.3%13.6%4.2%1.0%-13.0K435.1K-2.5K1.7888.24N/AN/A116206157258
2017-09-11$88.21$87.0013.0%3.8%11.0%11.3%12.9%5.1%2.2%-24.7K392.8K-2.4K1.2187.82N/AN/A210254157258
2017-09-12$88.52$87.0011.9%3.5%9.4%4.5%12.4%5.3%2.8%33.4K133.0K-4.3K1.2791.68N/AN/A210266252306
2017-09-13$89.04$87.0012.1%3.5%9.1%5.9%12.2%4.0%2.0%32.3K122.0K-4.4K1.2595.35N/AN/A212266252315
2017-09-14$89.03$87.0011.9%3.4%8.8%4.2%11.4%3.7%2.9%43.4K78.9K-4.4K1.25100.14N/AN/A212266254315
2017-09-15$89.60$87.0010.2%2.9%7.0%0.0%10.6%2.9%3.5%62.5K16.5K-4.4K1.2595.62N/AN/A212266254315
2017-09-18$90.48$87.0011.5%3.3%7.3%7.8%12.6%6.0%0.9%48.8K19.2K-4.4K1.1699.56N/AN/A170197172198
2017-09-19$90.43$85.0011.1%3.2%7.1%5.4%12.4%4.4%0.9%45.7K-92.7K-4.5K1.1699.90N/AN/A170197177198
2017-09-20$90.90$85.0010.7%3.1%6.8%3.1%13.6%2.7%1.8%43.9K-126.0K-4.5K1.16107.51N/AN/A170197177198
2017-09-21$90.87$85.0010.2%2.9%6.9%0.0%12.1%2.7%2.1%43.9K-181.1K-4.4K0.9398.61N/AN/A211197177198
2017-09-22$91.01$85.0010.4%3.0%6.9%1.2%11.6%4.0%1.6%59.8K-351.0K-5.3K0.9399.67N/AN/A211197218198
2017-09-25$91.35$85.0010.9%3.1%6.9%4.2%9.5%2.8%1.7%54.9K-428.3K-5.3K0.93102.81N/AN/A212197218198
2017-09-26$91.61$85.0010.3%2.9%6.9%0.5%10.1%3.9%1.7%49.9K-497.0K-5.1K1.02103.60N/AN/A212217219198
2017-09-27$93.82$85.0010.8%3.1%10.1%3.6%12.9%6.6%1.4%24.9K-801.4K-5.6K0.97102.50N/AN/A225219219218
2017-09-28$94.00$85.0010.6%3.0%10.1%2.4%12.1%2.8%1.7%20.3K-940.2K-5.6K1.15100.44N/AN/A241278234220
2017-09-29$94.45$93.0010.6%3.0%9.8%2.7%12.5%3.1%1.8%-35.2K-969.1K-6.1K1.1299.55N/AN/A260290250280