IWC Options History — March 2018

In March 2018, IWC traded between $94.82 and $101.34. ATM implied volatility averaged 16.2%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 2.1% (HV 20d: 18.3%). Max pain ranged from $93.00 to $93.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.32.

Notable Days

  • 2018-03-14: Highest Volume — 634 contracts
  • 2018-03-14: Largest IV spike — 33.7% change
  • 2018-03-28: Highest IV Rank — 40.4%
  • 2018-03-28: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.40$94.82$101.34$94.82$96.28
Max Pain$93.00$93.00$93.00$93.00$93.00
ATM IV16.2%11.3%20.9%20.3%19.8%
Expected Move4.7%3.8%6.0%5.8%5.7%
HV 20d18.3%15.9%22.6%21.4%19.5%
HV 60d16.4%15.4%17.9%15.4%17.9%
IV Rank22.7%4.2%40.4%38.1%36.1%
IV Percentile69.1%5.6%98.4%98.4%96.4%
Term Structure0.9%-2.1%3.6%-2.1%-1.3%
VWIV19.3%18.0%20.6%20.6%18.0%
Skew 25d5.0%1.5%9.2%5.3%6.2%
Skew 10d10.9%6.3%18.5%8.3%13.7%
Call IV 25d14.4%11.5%18.5%18.4%15.8%
Put IV 25d19.4%13.6%27.0%23.7%22.0%
Bid-Ask Spread %82.2653.29106.1399.3165.31
Gamma HHI0.190.150.220.170.20
Net GEX3.2K-36.6K39.3K33.1K-32.9K
Net DEX-1.1M-2.6M372.5K-407.0K185.6K
Net VEX-7.6K-9.6K-6.9K-9.6K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.321.534.131.534.01
Total Volume533.143380634622406
Total OI675.476455841821500

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$94.82$93.0020.3%5.8%21.4%38.1%20.6%5.3%-2.1%33.1K-407.0K-9.6K1.5399.31N/AN/A246376396425
2018-03-02$96.68$93.0015.5%4.4%22.6%20.0%18.0%4.7%1.9%27.3K-931.5K-9.3K1.5397.67N/AN/A246376396425
2018-03-05$97.63$0.0015.1%4.5%21.9%18.5%0.0%5.4%0.6%39.3K-1.4M-8.7K1.5355.83N/AN/A246376396425
2018-03-06$98.40$0.0013.5%4.8%18.8%12.6%0.0%6.3%0.1%35.6K-1.6M-8.1K1.5390.04N/AN/A246376396425
2018-03-07$99.38$0.0014.6%4.5%18.8%16.7%0.0%5.8%1.8%12.0K-2.1M-7.8K1.5990.25N/AN/A237376396425
2018-03-08$99.20$0.0015.3%4.6%18.9%19.2%0.0%4.2%1.7%26.9K-2.0M-7.9K1.5995.25N/AN/A237376395425
2018-03-09$100.78$0.0014.9%4.0%16.5%18.0%0.0%4.3%2.5%32.6K-2.4M-7.3K1.6395.02N/AN/A237386395425
2018-03-12$101.34$0.0015.6%3.9%16.1%20.6%0.0%3.6%1.2%35.0K-2.6M-7.1K1.6462.11N/AN/A236386395435
2018-03-13$100.86$0.0011.3%4.0%16.2%4.2%0.0%1.5%2.2%38.3K-2.6M-6.9K1.5896.23N/AN/A244386399435
2018-03-14$99.99$0.0015.1%4.3%16.7%18.5%0.0%3.4%1.3%31.3K-2.4M-7.0K1.5692.13N/AN/A248386406435
2018-03-15$99.20$0.0015.3%4.4%16.5%19.1%0.0%5.0%1.4%22.0K-2.1M-7.4K1.5696.81N/AN/A248386401435
2018-03-16$100.12$0.0013.2%3.8%16.5%11.4%0.0%3.6%3.6%-15.8K-2.3M-7.1K1.5666.47N/AN/A248386401435
2018-03-19$99.39$0.0016.0%4.6%16.8%22.0%0.0%5.0%1.4%-22.6K-250.9K-7.3K1.9066.93N/AN/A154292185270
2018-03-20$99.63$0.0013.9%4.0%16.0%13.9%0.0%3.4%1.5%-21.6K-339.9K-7.2K1.9098.35N/AN/A154292189270
2018-03-21$100.19$0.0013.4%3.8%15.9%12.1%0.0%5.3%1.8%-20.2K-468.4K-6.9K1.90106.13N/AN/A154292189270
2018-03-22$98.08$0.0017.6%5.0%17.8%27.9%0.0%3.7%0.9%-23.8K-266.1K-7.2K4.0095.73N/AN/A76304189270
2018-03-23$96.22$0.0020.8%6.0%18.7%40.0%0.0%6.3%-0.4%-29.1K88.3K-7.6K4.0088.89N/AN/A76304192282
2018-03-26$97.54$0.0018.4%5.3%19.2%31.0%0.0%3.9%0.0%-28.9K-3.4K-7.3K4.1353.50N/AN/A76314192282
2018-03-27$95.78$0.0019.8%5.7%19.9%36.1%0.0%9.2%-0.1%-34.3K268.4K-7.4K4.0062.27N/AN/A81324192292
2018-03-28$94.93$0.0020.9%6.0%18.8%40.4%0.0%9.0%-0.6%-36.6K372.5K-7.6K4.0153.29N/AN/A81325197302
2018-03-29$96.28$0.0019.8%5.7%19.5%36.1%0.0%6.2%-1.3%-32.9K185.6K-7.5K4.0165.31N/AN/A81325197303