IWC Options History — January 2018

In January 2018, IWC traded between $96.32 and $100.53. ATM implied volatility averaged 13.6%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.4% (HV 20d: 11.2%). Max pain ranged from $95.00 to $99.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2018-01-05: Highest Volume — 659 contracts
  • 2018-01-29: Largest IV spike — 21.0% change
  • 2018-01-31: Highest IV Rank — 72.3%
  • 2018-01-31: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.55$96.32$100.53$96.32$98.00
Max Pain$97.48$95.00$99.00$95.00$99.00
ATM IV13.6%11.3%17.3%13.5%17.3%
Expected Move3.9%3.4%4.9%3.9%4.9%
HV 20d11.2%10.0%12.4%11.2%12.0%
HV 60d11.9%11.3%12.5%11.4%12.0%
IV Rank35.0%11.2%72.3%34.0%72.3%
IV Percentile36.4%5.2%94.4%30.6%94.4%
Term Structure0.6%-1.3%2.3%0.1%-1.3%
VWIV15.0%12.8%17.9%14.2%17.9%
Skew 25d2.7%0.0%4.0%3.8%2.3%
Skew 10d7.2%1.8%15.9%6.5%9.7%
Call IV 25d12.9%10.9%16.7%11.4%16.7%
Put IV 25d15.6%13.6%19.0%15.2%19.0%
Bid-Ask Spread %75.9332.99105.05101.7490.75
Gamma HHI0.220.200.260.200.21
Net GEX56.4K7.3K102.9K10.1K36.4K
Net DEX-1.8M-2.7M-952.1K-952.1K-1.4M
Net VEX-7.1K-8.9K-5.4K-8.9K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.301.231.421.251.25
Total Volume642.143593659656645
Total OI810.238778840795835

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$96.32$95.0013.5%3.9%11.2%34.0%14.2%3.8%0.1%10.1K-952.1K-8.9K1.25101.74N/AN/A292364399396
2018-01-03$96.75$95.0011.8%3.4%11.3%16.8%14.0%2.5%-0.0%7.3K-1.1M-8.9K1.2585.58N/AN/A292364401405
2018-01-04$97.18$97.0012.0%3.7%10.9%18.7%14.1%3.1%0.7%36.2K-1.3M-8.7K1.2556.83N/AN/A292364401405
2018-01-05$97.28$97.0011.8%3.7%10.4%16.8%13.9%3.1%0.8%29.3K-1.4M-8.5K1.2332.99N/AN/A295364401405
2018-01-08$97.21$97.0011.9%3.5%10.2%17.9%12.8%3.4%1.3%32.0K-1.4M-8.0K1.2550.84N/AN/A292364397405
2018-01-09$97.10$97.0011.3%3.6%10.1%11.2%12.8%2.1%1.2%32.1K-1.4M-7.5K1.2555.69N/AN/A292364396405
2018-01-10$97.19$97.0012.7%3.6%10.0%25.5%13.4%2.9%0.5%12.9K-1.3M-7.9K1.2651.56N/AN/A292367396405
2018-01-11$99.20$97.0012.4%3.6%12.0%22.9%15.2%4.0%0.9%96.7K-1.8M-7.8K1.2992.37N/AN/A285367396408
2018-01-12$99.33$97.0014.0%4.0%12.0%38.9%14.3%2.9%0.3%101.0K-2.3M-6.7K1.4298.64N/AN/A258367397408
2018-01-16$98.01$97.0014.4%4.1%12.4%43.6%14.4%0.0%-0.4%73.6K-1.9M-6.6K1.3597.16N/AN/A272367404408
2018-01-17$98.86$97.0013.6%3.9%10.8%35.2%14.3%3.9%1.0%102.9K-2.0M-6.9K1.3597.52N/AN/A272367419408
2018-01-18$98.48$97.0014.5%4.2%10.6%44.1%14.4%2.7%0.5%88.2K-2.0M-6.8K1.3997.36N/AN/A272377419408
2018-01-19$99.67$98.0013.2%3.8%11.0%31.1%15.3%2.9%1.0%65.9K-2.2M-6.5K1.3999.99N/AN/A272377419421
2018-01-22$99.99$98.0014.6%4.2%11.0%45.1%16.3%2.3%0.3%61.0K-2.4M-5.7K1.42105.05N/AN/A245348388390
2018-01-23$100.53$98.0012.7%3.6%11.1%26.1%15.0%2.6%1.0%82.5K-2.7M-5.4K1.3955.60N/AN/A251348389390
2018-01-24$99.97$98.0013.9%4.0%11.3%37.6%15.7%2.8%0.5%68.3K-2.3M-6.1K1.3465.33N/AN/A267358389390
2018-01-25$99.93$99.0014.6%4.2%11.4%45.8%15.8%2.5%0.7%58.4K-2.3M-6.1K1.2665.65N/AN/A283358405410
2018-01-26$100.07$99.0013.1%3.7%11.4%29.4%16.0%0.0%2.3%77.7K-2.4M-6.6K1.26101.69N/AN/A283358421410
2018-01-29$99.50$99.0015.8%4.5%11.7%57.4%17.1%3.1%0.9%63.1K-2.2M-6.5K1.2550.55N/AN/A287358421410
2018-01-30$98.91$99.0016.4%4.7%11.5%63.6%17.7%3.6%-0.4%48.9K-1.9M-6.7K1.2541.57N/AN/A287358425410
2018-01-31$98.00$99.0017.3%4.9%12.0%72.3%17.9%2.3%-1.3%36.4K-1.4M-7.0K1.2590.75N/AN/A287358425410