IWC Options History — September 2019 In September 2019, IWC traded between $85.37 and $93.23. ATM implied volatility averaged 18.9%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 3.0% (HV 20d: 22.0%). Max pain ranged from $90.00 to $92.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.97.
Notable Days 2019-09-23 : Highest Volume — 23 contracts2019-09-24 : Largest IV spike — 24.8% change2019-09-03 : Highest IV Rank — 55.3%2019-09-03 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $90.08 $85.37 $93.23 $85.37 $88.35 Max Pain $90.80 $90.00 $92.00 $90.00 $90.00 ATM IV 18.9% 15.8% 25.6% 25.6% 20.0% Expected Move 5.5% 4.5% 7.3% 7.3% 5.7% HV 20d 22.0% 17.7% 25.4% 23.2% 19.5% HV 60d 20.0% 18.6% 20.5% 18.6% 20.4% IV Rank 27.7% 15.2% 55.3% 55.3% 30.2% IV Percentile 45.5% 18.3% 86.1% 86.1% 52.4% Term Structure 0.3% -2.5% 3.1% -2.2% -0.3% VWIV 19.2% 14.6% 24.9% 24.9% 19.4% Skew 25d 5.7% -0.2% 12.7% 6.5% 5.8% Skew 10d 9.6% -3.9% 17.3% 17.3% 12.1% Call IV 25d 16.0% 9.7% 21.1% 21.1% 16.3% Put IV 25d 21.6% 16.7% 27.6% 27.6% 22.0% Bid-Ask Spread % 88.79 67.78 115.15 74.54 81.78 Gamma HHI 0.16 0.13 0.19 0.17 0.13 Net GEX 9.0K -19.4K 31.7K -17.4K 10.4K Net DEX 49.2K -125.0K 344.8K 342.7K 137.1K Net VEX -1.3K -1.7K -976 -1.0K -1.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.00 4.25 0.50 1.20 Total Volume 6.2 0 23 6 0 Total OI 158.55 112 194 151 154
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-09-03 $85.37 $90.00 25.6% 7.3% 23.2% 55.3% 24.9% 6.5% -2.2% -17.4K 342.7K -1.0K 0.50 74.54 N/A N/A 4 2 72 79 2019-09-04 $85.67 $90.00 21.5% 6.2% 23.1% 38.8% 0.0% 6.8% -0.1% -19.4K 344.8K -1.0K 0.00 78.10 N/A N/A 0 0 76 81 2019-09-05 $87.62 $92.00 18.2% 5.4% 24.6% 25.0% 0.0% 6.9% 0.9% -15.7K 253.4K -1.1K 0.00 72.27 N/A N/A 0 0 76 81 2019-09-06 $87.44 $92.00 19.1% 5.8% 23.5% 28.8% 0.0% 6.7% -0.6% -17.0K 236.1K -1.1K 0.00 110.47 N/A N/A 0 0 76 81 2019-09-09 $88.49 $92.00 17.6% 5.8% 23.6% 22.9% 0.0% 12.7% -0.1% -15.5K 154.4K -1.0K 0.00 108.85 N/A N/A 0 0 76 74 2019-09-10 $90.38 $92.00 18.3% 5.5% 24.2% 25.7% 0.0% 2.2% -0.4% -2.3K 78.8K -1.0K 0.00 108.29 N/A N/A 0 2 76 74 2019-09-11 $92.66 $92.00 17.6% 5.0% 25.4% 22.5% 0.0% 7.3% 0.3% 14.3K -69.3K -976 4.25 110.06 N/A N/A 4 17 80 75 2019-09-12 $92.91 $92.00 16.6% 4.8% 23.3% 18.5% 14.6% -0.2% 3.0% 11.6K -56.3K -1.2K 2.40 115.15 N/A N/A 5 12 80 89 2019-09-13 $93.17 $92.00 17.2% 4.9% 22.7% 21.2% 0.0% 4.6% -2.5% 20.0K -101.4K -1.2K 0.00 96.47 N/A N/A 0 0 85 83 2019-09-16 $93.23 $92.00 19.1% 5.5% 21.7% 28.9% 18.6% 7.0% -0.6% 18.1K -86.2K -1.2K 0.33 93.62 N/A N/A 15 5 85 82 2019-09-17 $92.76 $90.00 15.8% 4.5% 21.8% 15.2% 0.0% 3.1% 3.1% 22.8K -121.0K -1.4K 0.00 91.29 N/A N/A 1 0 100 84 2019-09-18 $92.04 $90.00 18.9% 5.4% 21.9% 27.9% 0.0% 8.8% 1.3% 20.5K -92.0K -1.3K 0.00 105.67 N/A N/A 10 0 100 84 2019-09-19 $91.59 $90.00 18.0% 5.1% 22.0% 24.2% 0.0% 3.2% 1.2% 19.7K -125.0K -1.5K 0.00 101.11 N/A N/A 0 0 110 84 2019-09-20 $91.29 $90.00 17.7% 5.1% 22.0% 23.2% 0.0% 4.5% 1.7% 18.2K -39.3K -1.5K 0.00 74.91 N/A N/A 0 0 105 84 2019-09-23 $91.51 $90.00 16.4% 4.7% 17.7% 17.9% 18.7% 4.2% 1.3% 21.7K -8.1K -1.4K 0.05 71.93 N/A N/A 22 1 59 53 2019-09-24 $89.39 $90.00 20.5% 5.9% 20.0% 33.3% 0.0% 4.6% -0.1% 20.9K 33.0K -1.6K 0.00 71.11 N/A N/A 9 0 81 54 2019-09-25 $90.36 $90.00 19.3% 5.5% 19.3% 28.4% 0.0% 5.8% -0.4% 31.7K -33.3K -1.7K 0.00 69.56 N/A N/A 0 0 90 54 2019-09-26 $89.05 $90.00 20.0% 5.7% 20.1% 31.3% 19.4% 6.0% 0.1% 22.6K 40.3K -1.6K 1.20 67.78 N/A N/A 5 6 90 54 2019-09-27 $88.38 $90.00 21.1% 6.1% 19.7% 35.0% 0.0% 6.7% 0.1% 15.0K 95.2K -1.6K 0.00 72.91 N/A N/A 0 4 90 60 2019-09-30 $88.35 $90.00 20.0% 5.7% 19.5% 30.2% 0.0% 5.8% -0.3% 10.4K 137.1K -1.5K 0.00 81.78 N/A N/A 0 0 90 64
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