IWC Options History — November 2017

In November 2017, IWC traded between $91.08 and $96.92. ATM implied volatility averaged 14.5%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.4% (HV 20d: 12.2%). Max pain ranged from $95.00 to $96.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2017-11-06: Highest Volume — 638 contracts
  • 2017-11-07: Largest IV spike — 13.3% change
  • 2017-11-15: Highest IV Rank — 37.6%
  • 2017-11-15: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.69$91.08$96.92$93.20$96.65
Max Pain$95.05$95.00$96.00$96.00$95.00
ATM IV14.5%13.5%15.6%15.2%15.2%
Expected Move4.2%3.9%4.5%4.4%4.4%
HV 20d12.2%9.7%14.3%9.7%12.8%
HV 60d11.1%10.5%11.6%11.6%11.5%
IV Rank29.0%20.8%37.6%29.2%35.1%
IV Percentile43.1%25.8%63.9%53.6%59.1%
Term Structure0.8%-1.4%2.9%-0.2%-1.4%
VWIV15.2%12.8%16.9%15.4%13.2%
Skew 25d3.8%2.0%6.0%4.9%2.0%
Skew 10d7.7%5.0%10.6%5.9%7.7%
Call IV 25d13.1%10.1%14.9%14.5%14.9%
Put IV 25d16.8%14.5%19.4%19.4%16.8%
Bid-Ask Spread %63.5238.21101.5088.58101.03
Gamma HHI0.740.640.850.660.82
Net GEX-1.2M-1.7M-771.4K-1.1M-1.4M
Net DEX7.5M1.5M11.8M8.4M1.5M
Net VEX-22.5K-29.9K-17.3K-28.0K-17.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.660.960.660.66
Total Volume560.857471638637514
Total OI2,3882,2912,4712,3952,330

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$93.20$96.0015.2%4.4%9.7%29.2%15.4%4.9%-0.2%-1.1M8.4M-28.0K0.6688.58N/AN/A3842534691,926
2017-11-02$93.84$95.0014.3%4.1%9.9%23.6%16.9%4.1%0.0%-1.1M7.2M-29.9K0.6654.66N/AN/A3842535031,925
2017-11-03$93.75$95.0013.8%4.0%9.8%21.2%16.1%4.3%1.1%-1.2M7.6M-28.8K0.6661.63N/AN/A3842535031,925
2017-11-06$93.79$95.0013.8%3.9%9.8%20.8%14.4%4.0%1.3%-1.2M7.4M-27.8K0.6640.70N/AN/A3842545031,925
2017-11-07$92.10$95.0015.6%4.3%11.3%33.5%16.6%2.8%1.2%-983.8K10.3M-23.6K0.7041.62N/AN/A3652555031,926
2017-11-08$91.73$95.0014.6%4.2%11.3%27.8%16.6%4.6%1.8%-958.4K10.8M-22.7K0.9364.95N/AN/A2802595281,936
2017-11-09$91.86$95.0014.9%4.3%11.3%33.3%16.6%3.8%0.8%-928.3K10.8M-22.7K0.9658.42N/AN/A2692575131,954
2017-11-10$92.26$95.0014.6%4.2%11.4%30.7%15.8%4.6%1.8%-1.1M10.5M-22.6K0.7971.32N/AN/A3152485151,956
2017-11-13$91.81$95.0014.5%4.2%11.5%30.1%15.4%4.5%1.8%-965.1K11.5M-19.3K0.6848.03N/AN/A3672485151,954
2017-11-14$91.42$95.0015.4%4.4%11.4%36.5%16.7%4.2%1.7%-861.2K11.2M-19.6K0.6753.33N/AN/A3702484731,947
2017-11-15$91.08$95.0015.6%4.5%11.0%37.6%16.9%4.2%1.1%-771.4K11.8M-18.3K0.6654.32N/AN/A3702434761,947
2017-11-16$92.94$95.0014.6%4.2%13.6%30.9%16.3%4.2%1.4%-1.2M9.4M-22.6K0.6640.08N/AN/A3682434761,952
2017-11-17$93.26$95.0013.6%3.9%13.5%24.3%14.9%3.6%2.9%-1.3M8.8M-22.4K0.6638.21N/AN/A3682434841,952
2017-11-20$94.04$95.0014.1%4.0%13.6%27.5%14.3%2.7%0.9%-1.4M6.9M-23.1K0.7159.17N/AN/A2781974361,855
2017-11-21$95.14$95.0013.5%3.9%14.3%23.1%14.2%3.4%0.8%-1.6M4.9M-22.9K0.6955.42N/AN/A2791924391,856
2017-11-22$95.31$95.0013.6%3.9%14.2%24.2%12.8%2.1%1.1%-1.6M4.3M-22.4K0.7378.73N/AN/A2792034401,857
2017-11-24$95.14$95.0013.9%4.0%14.2%25.8%13.2%3.6%0.4%-1.5M4.6M-21.9K0.7384.31N/AN/A2792034401,867
2017-11-27$95.09$95.0014.4%4.1%13.8%29.3%13.3%2.4%-0.7%-1.7M4.9M-20.5K0.7340.41N/AN/A2792034401,867
2017-11-28$96.08$95.0014.2%4.1%13.3%28.1%14.3%3.3%-0.1%-1.7M3.5M-19.2K0.6897.46N/AN/A3002034401,867
2017-11-29$96.92$95.0015.3%4.4%13.4%36.0%15.0%6.0%-0.7%-1.4M1.6M-17.8K0.68101.50N/AN/A3002044611,867
2017-11-30$96.65$95.0015.2%4.4%12.8%35.1%13.2%2.0%-1.4%-1.4M1.5M-17.3K0.66101.03N/AN/A3102044611,869