IWC Options History — October 2018

In October 2018, IWC traded between $91.76 and $104.37. ATM implied volatility averaged 22.5%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.6% (HV 20d: 16.8%). Max pain ranged from $101.00 to $107.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.05.

Notable Days

  • 2018-10-29: Highest Volume — 214 contracts
  • 2018-10-11: Largest IV spike — 21.2% change
  • 2018-10-29: Highest IV Rank — 98.7%
  • 2018-10-29: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.01$91.76$104.37$104.15$94.72
Max Pain$102.96$101.00$107.00$107.00$101.00
ATM IV22.5%14.6%36.4%14.6%28.9%
Expected Move6.4%4.2%10.5%4.2%8.3%
HV 20d16.8%10.8%22.2%10.8%21.9%
HV 60d13.1%10.5%15.8%10.5%15.8%
IV Rank46.5%17.0%98.7%17.0%70.5%
IV Percentile92.4%64.3%99.6%64.3%98.4%
Term Structure-1.8%-7.4%0.7%0.5%-4.0%
VWIV21.5%12.2%30.8%12.2%27.8%
Skew 25d4.8%-0.1%9.5%2.8%7.4%
Skew 10d7.5%-2.1%15.7%5.2%7.9%
Call IV 25d20.1%13.8%29.8%13.8%24.5%
Put IV 25d24.9%16.6%36.1%16.6%31.9%
Bid-Ask Spread %78.2030.84103.5064.7996.31
Gamma HHI0.080.070.100.100.07
Net GEX15.0K1.3K39.8K39.8K9.8K
Net DEX-270.2K-794.7K151.4K-794.7K-183.3K
Net VEX-2.9K-3.3K-2.3K-3.2K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.911.260.930.96
Total Volume205.348197214205208
Total OI287.043277300282294

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$104.15$107.0014.6%4.2%10.8%17.0%12.2%2.8%0.5%39.8K-794.7K-3.2K0.9364.79N/AN/A10699178104
2018-10-02$103.04$107.0015.2%4.3%11.2%19.2%13.1%3.6%0.3%30.8K-644.6K-3.2K0.9630.84N/AN/A106102177104
2018-10-03$104.37$107.0015.4%4.4%12.5%20.2%12.8%2.0%-1.1%35.0K-749.3K-3.3K0.9638.51N/AN/A106102177107
2018-10-04$102.58$104.0016.4%4.6%13.3%23.9%18.5%4.4%0.6%31.5K-686.0K-3.3K0.9865.70N/AN/A105103178107
2018-10-05$101.77$104.0019.2%5.1%13.5%34.3%19.3%2.5%-0.2%23.1K-556.7K-3.1K1.0373.30N/AN/A100103179108
2018-10-08$101.60$104.0018.8%5.1%13.4%32.8%20.4%4.9%-0.5%20.4K-467.8K-3.1K1.0357.50N/AN/A100103178108
2018-10-09$101.29$104.0019.4%5.1%13.4%35.2%20.0%6.1%0.1%20.9K-480.4K-3.1K1.0356.97N/AN/A100103178108
2018-10-10$98.65$104.0020.0%5.7%15.7%37.4%20.2%3.9%-0.4%16.6K-347.8K-3.3K1.0077.73N/AN/A103103178109
2018-10-11$97.46$104.0024.3%7.0%15.9%53.3%21.0%5.6%-1.4%12.9K-180.1K-2.9K0.9988.88N/AN/A104103182109
2018-10-12$96.77$104.0023.0%6.6%15.5%48.4%22.6%-0.1%-2.3%12.2K-205.7K-3.2K1.03103.50N/AN/A100103182109
2018-10-15$97.55$104.0019.8%5.7%16.0%36.6%21.7%5.9%-0.0%11.3K-117.8K-2.8K1.0384.21N/AN/A100103183109
2018-10-16$99.82$104.0018.6%5.3%18.4%32.0%20.4%7.1%-0.6%15.1K-305.2K-2.8K1.0582.35N/AN/A103108183109
2018-10-17$99.68$101.0018.8%5.4%18.4%32.8%21.6%5.7%0.7%14.2K-322.0K-2.9K1.0579.99N/AN/A103108186114
2018-10-18$97.97$101.0022.0%6.3%18.3%44.6%22.0%3.0%-1.6%10.8K-249.7K-2.9K1.0586.23N/AN/A103108186114
2018-10-19$96.44$101.0022.8%6.5%18.8%47.6%21.9%0.7%-1.8%8.0K-144.0K-2.7K1.0586.11N/AN/A104109186114
2018-10-22$96.10$101.0023.2%6.7%18.7%49.3%22.8%5.3%-1.7%5.6K-48.3K-2.6K1.2483.49N/AN/A88109162115
2018-10-23$95.61$101.0024.2%6.9%18.4%52.9%23.5%6.6%-2.5%4.2K30.4K-2.5K1.2490.31N/AN/A88109163115
2018-10-24$92.94$101.0026.7%7.7%20.0%62.3%24.0%1.3%-3.1%1.9K86.0K-2.5K1.2590.54N/AN/A88110163115
2018-10-25$93.68$101.0026.8%7.7%20.7%62.8%23.1%9.1%-3.9%1.3K151.4K-2.3K1.2688.58N/AN/A88111163117
2018-10-26$92.62$101.0030.6%8.8%20.5%77.0%24.9%7.2%-4.8%6.3K-8.1K-2.6K1.0589.47N/AN/A97102172106
2018-10-29$91.76$101.0036.4%10.5%20.0%98.7%30.8%5.3%-7.4%4.3K50.2K-2.3K0.9191.96N/AN/A112102172107
2018-10-30$93.73$101.0031.5%9.0%22.2%80.2%29.1%9.5%-5.5%8.2K-41.8K-2.8K0.9691.34N/AN/A106102187107
2018-10-31$94.72$101.0028.9%8.3%21.9%70.5%27.8%7.4%-4.0%9.8K-183.3K-2.9K0.9696.31N/AN/A106102187107