IWC Options History — October 2017

In October 2017, IWC traded between $93.54 and $96.54. ATM implied volatility averaged 13.0%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.5% (HV 20d: 10.4%). Max pain ranged from $93.00 to $97.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2017-10-05: Highest Volume — 2,574 contracts
  • 2017-10-23: Largest IV spike — 15.0% change
  • 2017-10-25: Highest IV Rank — 26.8%
  • 2017-10-25: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.27$93.54$96.54$95.99$94.21
Max Pain$95.82$93.00$97.00$93.00$96.00
ATM IV13.0%11.1%14.8%11.5%14.4%
Expected Move3.8%3.2%4.2%3.3%4.1%
HV 20d10.4%8.6%12.2%10.7%9.0%
HV 60d11.3%10.9%11.5%11.4%11.3%
IV Rank16.2%5.4%26.8%7.8%24.3%
IV Percentile19.4%3.6%44.8%4.4%38.9%
Term Structure0.7%-0.1%1.5%1.4%-0.1%
VWIV13.1%11.7%14.9%14.3%12.8%
Skew 25d3.5%1.1%4.7%2.8%3.8%
Skew 10d8.0%5.5%9.8%6.3%6.8%
Call IV 25d11.8%10.1%13.3%11.0%12.7%
Put IV 25d15.2%12.3%17.4%13.8%16.5%
Bid-Ask Spread %78.3743.20102.24101.8294.93
Gamma HHI0.580.100.720.150.71
Net GEX-902.5K-1.2M16.9K-37.5K-1.2M
Net DEX4.3M-2.2M8.2M-1.4M6.6M
Net VEX-28.6K-36.6K-5.9K-5.9K-29.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.695.320.690.72
Total Volume747.6365032,574583603
Total OI2,133.3185742,5585742,340

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$95.99$93.0011.5%3.3%10.7%7.8%14.3%2.8%1.4%-37.5K-1.4M-5.9K0.69101.82N/AN/A346237282292
2017-10-03$96.16$93.0011.2%3.2%10.0%5.7%14.2%2.2%1.5%16.9K-2.1M-8.7K0.71102.24N/AN/A346246394301
2017-10-04$96.13$93.0012.6%3.6%10.1%13.8%13.4%1.1%0.7%12.5K-2.2M-8.7K0.7799.67N/AN/A366283406310
2017-10-05$96.54$93.0011.1%3.7%9.8%5.4%14.1%4.5%0.8%-40.4K-2.1M-9.5K5.3273.00N/AN/A4072,167426357
2017-10-06$96.12$94.0012.4%4.0%10.2%13.2%14.5%4.2%0.9%-994.6K4.3M-36.6K0.9667.39N/AN/A4123954662,038
2017-10-09$95.87$97.0012.5%4.0%10.2%13.6%14.9%3.6%0.5%-1.0M4.5M-36.2K0.9371.25N/AN/A4173864902,054
2017-10-10$96.27$97.0012.0%3.9%10.2%10.7%14.5%3.9%0.9%-907.3K4.0M-35.9K0.9443.20N/AN/A4093865022,056
2017-10-11$96.43$97.0013.7%3.9%10.3%20.1%14.4%3.6%1.2%-1.0M3.7M-35.2K0.9665.85N/AN/A4053904962,056
2017-10-12$95.95$97.0012.8%3.7%10.7%15.4%13.7%4.0%0.8%-1.1M4.2M-34.9K0.9869.07N/AN/A3963904742,066
2017-10-13$95.38$97.0013.5%3.9%11.1%19.2%12.3%3.9%0.2%-1.1M5.1M-35.2K0.9569.37N/AN/A3513334742,066
2017-10-16$95.35$97.0012.8%3.7%10.9%15.5%12.0%3.5%0.9%-1.2M5.5M-34.2K0.9570.32N/AN/A3513334802,062
2017-10-17$94.70$97.0013.1%3.8%11.4%16.8%12.3%3.4%0.6%-1.2M6.4M-33.8K0.9672.30N/AN/A3513364752,062
2017-10-18$95.27$97.0012.3%3.5%11.4%12.4%11.7%3.3%0.8%-1.2M5.4M-33.2K0.8973.83N/AN/A3513144732,057
2017-10-19$94.89$97.0012.4%3.6%11.6%12.9%11.7%3.0%0.8%-1.2M6.3M-33.0K1.0875.37N/AN/A3513784712,060
2017-10-20$95.28$97.0012.5%3.6%11.6%13.6%11.7%2.6%0.8%-1.1M5.3M-32.3K0.9880.74N/AN/A3883794712,053
2017-10-23$94.48$96.0014.4%4.1%12.2%24.5%11.9%3.8%0.1%-1.1M6.4M-31.6K0.8282.36N/AN/A2772263901,903
2017-10-24$94.51$96.0013.7%3.9%12.2%20.1%12.3%2.9%0.1%-1.1M6.3M-31.4K0.8781.53N/AN/A2892503901,905
2017-10-25$94.27$96.0014.8%4.2%9.0%26.8%13.3%4.0%0.1%-1.0M7.0M-31.4K0.8778.25N/AN/A2902534021,917
2017-10-26$93.92$96.0014.2%4.1%9.1%23.6%12.8%3.9%0.4%-1.1M7.4M-30.7K0.8585.02N/AN/A3002544041,928
2017-10-27$94.77$96.0013.2%3.8%9.5%17.3%12.6%3.8%1.1%-1.2M6.2M-31.3K0.8483.40N/AN/A3002534141,931
2017-10-30$93.54$96.0014.4%4.1%8.6%24.4%13.6%4.7%0.3%-1.1M8.2M-28.8K0.8483.23N/AN/A3002534141,925
2017-10-31$94.21$96.0014.4%4.1%9.0%24.3%12.8%3.8%-0.1%-1.2M6.6M-29.9K0.7294.93N/AN/A3502534141,926