IWC Options History — December 2017

In December 2017, IWC traded between $93.64 and $96.42. ATM implied volatility averaged 14.8%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.4% (HV 20d: 12.3%). Max pain ranged from $92.00 to $95.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2017-12-26: Highest Volume — 662 contracts
  • 2017-12-13: Largest IV drop — 21.0% change
  • 2017-12-04: Highest IV Rank — 63.0%
  • 2017-12-01: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.35$93.64$96.42$95.78$95.71
Max Pain$94.85$92.00$95.00$95.00$95.00
ATM IV14.8%12.4%19.2%16.4%12.5%
Expected Move4.0%3.6%4.7%4.7%3.6%
HV 20d12.3%11.2%13.6%13.2%11.5%
HV 60d11.9%11.3%12.7%11.7%11.4%
IV Rank37.4%22.7%63.0%43.5%23.4%
IV Percentile48.0%10.7%98.8%79.0%11.9%
Term Structure0.8%-1.0%3.0%-1.0%0.9%
VWIV14.0%12.3%16.0%16.0%14.5%
Skew 25d3.4%-0.3%4.7%3.0%-0.3%
Skew 10d7.2%-0.1%10.3%3.0%-0.1%
Call IV 25d12.8%10.1%17.8%17.8%13.1%
Put IV 25d16.2%12.8%20.8%20.8%12.8%
Bid-Ask Spread %65.9336.37103.91100.77101.81
Gamma HHI0.510.150.900.820.19
Net GEX-1.2M-3.8M67.0K-1.5M5.1K
Net DEX2.5M-2.5M10.2M4.0M-975.6K
Net VEX-10.7K-18.8K-5.8K-18.8K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.531.220.671.22
Total Volume501.05307662517646
Total OI1,549.64382,3902,341795

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$95.78$95.0016.4%4.7%13.2%43.5%16.0%3.0%-1.0%-1.5M4.0M-18.8K0.67100.77N/AN/A3102074721,869
2017-12-04$95.48$92.0019.2%4.6%13.2%63.0%14.9%2.2%-0.2%-1.6M3.1M-17.0K0.6983.71N/AN/A3142174721,869
2017-12-05$94.78$95.0016.5%4.4%13.6%44.0%13.8%4.5%0.7%-1.9M5.6M-17.3K0.6947.59N/AN/A3142174741,879
2017-12-06$94.08$95.0018.0%4.5%12.0%54.4%14.5%4.3%1.1%-1.9M7.4M-16.1K0.6943.02N/AN/A3142174741,879
2017-12-07$94.79$95.0015.6%4.3%12.1%37.7%14.1%4.2%1.1%-2.2M6.0M-15.8K0.6742.51N/AN/A3142114741,879
2017-12-08$94.46$95.0016.0%4.2%12.2%40.8%14.1%4.0%1.2%-2.5M6.7M-15.0K0.6736.37N/AN/A3192134741,879
2017-12-11$94.30$95.0017.4%4.1%12.2%50.8%13.9%4.7%1.4%-2.9M7.7M-12.4K0.6537.49N/AN/A3322154791,881
2017-12-12$94.22$95.0017.7%4.0%12.0%52.7%13.8%4.5%1.6%-3.2M8.3M-11.4K0.6552.08N/AN/A3322154871,884
2017-12-13$94.67$95.0014.0%4.0%11.9%26.6%13.7%2.6%-0.1%-3.8M5.2M-10.9K0.6679.59N/AN/A3252154871,884
2017-12-14$93.64$95.0014.0%4.0%12.6%39.4%13.7%4.7%1.0%-2.7M10.2M-8.3K0.7656.99N/AN/A2992274871,884
2017-12-15$95.54$95.0012.4%3.6%12.6%22.7%13.7%3.0%3.0%54.2K-2.5M-6.4K0.7655.45N/AN/A3002274911,899
2017-12-18$96.38$95.0013.0%3.7%12.8%29.0%13.8%4.4%0.7%64.4K-1.4M-6.1K0.5445.61N/AN/A199108289149
2017-12-19$95.86$95.0013.3%3.8%12.8%31.9%14.0%2.8%0.7%59.9K-1.3M-6.1K0.5455.36N/AN/A199108291149
2017-12-20$96.10$95.0014.3%4.1%12.2%42.3%14.0%4.1%0.0%60.1K-1.3M-6.1K0.5347.07N/AN/A204108291149
2017-12-21$96.22$95.0012.7%3.6%12.2%25.4%13.8%2.6%0.6%66.4K-1.4M-6.0K0.5383.73N/AN/A204108296149
2017-12-22$96.06$95.0013.3%3.8%12.2%32.1%13.6%4.4%1.2%62.5K-1.4M-5.9K0.5348.71N/AN/A204109296149
2017-12-26$96.25$95.0012.8%3.7%12.2%26.8%14.1%3.3%1.8%67.0K-1.4M-5.8K1.1698.37N/AN/A307355296150
2017-12-27$96.36$95.0013.1%3.8%11.7%30.0%12.3%1.7%0.4%11.3K-1.0M-9.7K1.1698.44N/AN/A307355397396
2017-12-28$96.42$95.0013.2%3.8%11.2%30.9%13.3%2.8%-0.2%14.5K-980.9K-9.5K1.22103.91N/AN/A291355397396
2017-12-29$95.71$95.0012.5%3.6%11.5%23.4%14.5%-0.3%0.9%5.1K-975.6K-9.2K1.22101.81N/AN/A291355399396