IWC Options History — March 2020

In March 2020, IWC traded between $56.05 and $90.88. ATM implied volatility averaged 58.8%, placing in the 82.7% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 6.0% (HV 20d: 64.8%). Max pain ranged from $86.00 to $91.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 3.31.

Notable Days

  • 2020-03-05: Highest Volume — 266 contracts
  • 2020-03-09: Largest IV spike — 37.6% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.07$56.05$90.88$89.87$65.99
Max Pain$89.77$86.00$91.00$91.00$86.00
ATM IV58.8%28.8%83.5%31.2%58.0%
Expected Move16.5%8.3%24.0%9.0%16.6%
HV 20d64.8%27.3%97.4%27.7%95.7%
HV 60d40.7%18.6%57.9%18.7%57.9%
IV Rank82.7%52.4%100.0%59.8%64.5%
IV Percentile98.8%94.8%100.0%99.2%94.8%
Term Structure-9.0%-15.9%-2.5%-6.2%-7.2%
VWIV49.7%24.9%72.0%40.8%67.1%
Skew 25d22.2%12.0%43.6%13.2%20.9%
Skew 10d35.4%14.4%59.1%42.5%28.8%
Call IV 25d45.5%22.6%62.5%29.2%48.1%
Put IV 25d67.6%34.6%105.2%42.3%69.0%
Bid-Ask Spread %88.5862.34105.4891.1488.95
Gamma HHI0.310.130.650.390.15
Net GEX-35.9K-141.3K1.4K-89.4K-3.2K
Net DEX1.9M375.3K3.6M866.0K400.3K
Net VEX-3.2K-10.0K-719-10.0K-924
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.310.509.503.000.50
Total Volume29.455026611115
Total OI888.5454591,1251,117468

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$89.87$91.0031.2%9.0%27.7%59.8%40.8%13.2%-6.2%-89.4K866.0K-10.0K0.0091.14N/AN/A0111521596
2020-03-03$89.24$91.0036.6%10.5%27.3%76.3%24.9%15.8%-7.0%-81.3K1.1M-9.1K3.0062.34N/AN/A412521586
2020-03-04$90.88$91.0028.8%8.3%27.9%52.4%28.7%12.0%-2.5%-68.4K690.8K-8.9K2.0075.79N/AN/A24522598
2020-03-05$87.66$90.0039.4%9.5%29.4%84.7%33.1%14.2%-4.3%-116.5K1.5M-8.8K0.0077.09N/AN/A0266523602
2020-03-06$85.78$90.0040.0%10.3%29.8%86.5%0.0%15.8%-6.6%-141.3K1.9M-7.8K3.5087.41N/AN/A27523560
2020-03-09$78.38$90.0055.0%14.5%42.0%100.0%0.0%15.7%-10.6%-111.6K3.4M-4.3K9.5083.99N/AN/A219523552
2020-03-10$78.69$90.0056.8%12.5%41.9%100.0%57.4%20.5%-5.8%-100.4K3.6M-3.6K0.0087.43N/AN/A072522553
2020-03-11$74.42$90.0051.2%14.7%44.2%87.5%0.0%14.9%-6.5%-51.6K3.5M-3.3K0.0097.58N/AN/A07522555
2020-03-12$66.58$90.0060.3%17.3%55.3%100.0%0.0%13.0%-5.4%-14.4K3.5M-1.6K0.00105.48N/AN/A020522557
2020-03-13$68.32$90.0059.7%17.1%57.4%98.7%0.0%26.6%-8.6%-2.6K3.6M-1.5K0.0081.06N/AN/A02522551
2020-03-16$61.31$90.0080.7%23.1%65.2%100.0%0.0%32.8%-14.7%-3113.1M-1.2K0.00100.42N/AN/A04522531
2020-03-17$63.42$90.0066.0%18.9%67.9%78.6%58.7%23.8%-15.9%1.4K3.2M-1.3K0.0090.30N/AN/A043522531
2020-03-18$56.05$90.0083.5%24.0%75.5%100.0%0.0%43.6%-10.2%-1.1K3.0M-1.0K0.0099.62N/AN/A01522569
2020-03-19$61.55$90.0074.3%21.3%86.7%87.1%0.0%20.9%-13.0%-2.1K3.1M-1.2K1.3892.34N/AN/A811522550
2020-03-20$59.54$90.0070.9%20.3%86.5%82.4%0.0%33.7%-12.5%-1113.0M-1.1K0.0099.62N/AN/A025530558
2020-03-23$58.29$90.0072.1%20.7%86.5%84.1%0.0%26.3%-4.1%-537415.8K-9250.0095.77N/AN/A02359105
2020-03-24$63.17$90.0063.5%18.2%94.1%72.2%64.6%15.4%-12.3%-1.8K445.0K-7190.0079.10N/AN/A01359106
2020-03-25$64.69$90.0068.5%19.6%95.4%79.1%0.0%24.2%-12.3%-1.3K435.2K-9410.0086.18N/AN/A03359106
2020-03-26$67.25$90.0062.7%18.0%97.4%71.0%72.0%29.6%-10.9%-1.5K445.4K-9700.5090.87N/AN/A21359109
2020-03-27$66.19$90.0070.3%20.2%97.1%81.6%0.0%27.9%-14.0%-1.4K439.4K-1.1K0.0089.39N/AN/A00361110
2020-03-30$66.19$86.0064.5%18.5%95.7%73.6%67.1%26.6%-8.0%-1.3K375.3K-8650.0086.79N/AN/A0236198
2020-03-31$65.99$86.0058.0%16.6%95.7%64.5%0.0%20.9%-7.2%-3.2K400.3K-9240.0088.95N/AN/A015361107