IWC Options History — January 2020

In January 2020, IWC traded between $94.73 and $101.06. ATM implied volatility averaged 14.9%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 5.0% (HV 20d: 10.0%). Max pain ranged from $93.00 to $102.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2020-01-23: Highest Volume — 141 contracts
  • 2020-01-13: Largest IV drop — 21.2% change
  • 2020-01-31: Highest IV Rank — 45.4%
  • 2020-01-31: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.70$94.73$101.06$98.90$94.73
Max Pain$97.71$93.00$102.00$93.00$97.00
ATM IV14.9%12.6%20.2%14.2%20.2%
Expected Move4.3%3.6%5.8%4.1%5.8%
HV 20d10.0%7.3%13.2%9.7%13.2%
HV 60d10.8%10.1%11.6%11.6%11.6%
IV Rank17.5%4.8%45.4%13.4%45.4%
IV Percentile22.7%1.6%79.0%7.1%79.0%
Term Structure1.1%-1.4%2.6%0.5%-1.4%
VWIV14.1%11.7%16.0%14.6%16.0%
Skew 25d4.8%3.3%6.7%4.7%6.7%
Skew 10d11.1%7.8%15.5%12.4%11.8%
Call IV 25d13.0%11.5%17.5%11.7%17.5%
Put IV 25d17.8%14.9%24.2%16.4%24.2%
Bid-Ask Spread %72.4656.3183.6572.0260.77
Gamma HHI0.200.130.330.130.26
Net GEX175.0K127.7K263.2K139.7K187.6K
Net DEX-1.8M-2.4M-1.4M-1.7M-1.4M
Net VEX-6.0K-9.7K-4.4K-5.3K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.007.500.000.00
Total Volume21.1430141221
Total OI435.571358612366603

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$98.90$93.0014.2%4.1%9.7%13.4%14.6%4.7%0.5%139.7K-1.7M-5.3K0.0072.02N/AN/A0230660
2020-01-03$98.60$93.0013.0%3.7%9.7%6.9%0.0%5.1%2.0%145.2K-1.7M-5.3K0.0083.65N/AN/A0031660
2020-01-06$98.89$97.0014.7%4.3%9.5%16.3%15.8%5.9%1.4%149.8K-1.8M-5.2K0.0056.31N/AN/A13031659
2020-01-07$98.61$97.0013.8%4.2%8.8%11.2%0.0%5.8%1.2%149.5K-1.7M-5.1K0.3367.53N/AN/A3131359
2020-01-08$98.94$97.0013.7%4.0%8.7%10.6%0.0%4.6%1.3%155.3K-1.8M-5.0K0.0072.75N/AN/A20031559
2020-01-09$98.86$97.0014.5%3.8%8.7%15.0%11.7%4.8%2.6%152.7K-1.8M-4.8K0.0073.30N/AN/A7031559
2020-01-10$98.33$97.0016.2%4.3%9.0%24.4%0.0%4.9%1.0%159.2K-1.7M-4.9K0.0079.52N/AN/A3031659
2020-01-13$98.45$102.0012.8%4.0%8.0%6.0%0.0%4.0%2.2%155.6K-1.6M-4.5K0.0072.43N/AN/A0029959
2020-01-14$99.14$102.0015.2%3.9%7.8%18.9%0.0%3.9%1.5%148.3K-1.7M-4.5K7.5068.99N/AN/A21529959
2020-01-15$99.07$102.0013.5%3.9%7.3%10.0%13.2%4.2%1.7%151.8K-1.7M-4.5K0.0072.84N/AN/A8030174
2020-01-16$101.06$99.0013.1%3.8%9.9%7.6%13.8%3.3%1.0%127.7K-2.1M-4.4K0.0071.81N/AN/A37030374
2020-01-17$100.76$99.0012.6%3.6%10.0%4.8%12.0%3.4%1.2%164.2K-2.1M-4.8K0.0978.14N/AN/A33332074
2020-01-21$100.08$99.0014.0%4.0%10.4%12.4%0.0%4.0%0.4%162.8K-1.8M-4.9K0.0075.68N/AN/A0031068
2020-01-22$99.82$99.0013.5%3.9%10.4%9.8%15.0%4.2%1.8%164.4K-1.7M-4.9K0.0080.62N/AN/A13031068
2020-01-23$100.10$97.0014.0%4.0%10.1%12.2%12.4%3.8%1.0%169.5K-1.8M-4.9K0.0082.08N/AN/A141032068
2020-01-24$98.40$97.0016.8%4.8%11.8%27.1%0.0%5.0%0.4%213.8K-2.1M-8.2K0.0269.55N/AN/A58145768
2020-01-27$97.92$97.0017.9%5.1%11.8%33.4%16.0%5.1%-0.3%222.1K-2.2M-9.3K0.2865.78N/AN/A32951168
2020-01-28$98.06$97.0016.7%4.8%11.4%26.6%16.0%6.4%0.8%263.2K-2.4M-9.7K0.5771.31N/AN/A7454660
2020-01-29$97.37$97.0016.3%4.7%11.6%24.8%0.0%5.9%1.6%256.1K-2.1M-9.5K0.0075.20N/AN/A8054864
2020-01-30$96.65$97.0017.2%4.9%11.6%29.5%0.0%4.4%0.9%236.3K-1.8M-8.9K0.0071.29N/AN/A3054064
2020-01-31$94.73$97.0020.2%5.8%13.2%45.4%0.0%6.7%-1.4%187.6K-1.4M-8.0K0.0060.77N/AN/A21053964