IWC Options History — June 2020

In June 2020, IWC traded between $81.35 and $91.50. ATM implied volatility averaged 41.8%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 0.9% (HV 20d: 42.6%). Max pain ranged from $83.00 to $85.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.84.

Notable Days

  • 2020-06-04: Highest Volume — 205 contracts
  • 2020-06-11: Largest IV spike — 27.0% change
  • 2020-06-17: Highest IV Rank — 53.6%
  • 2020-06-17: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.06$81.35$91.50$83.96$87.39
Max Pain$84.05$83.00$85.00$85.00$85.00
ATM IV41.8%35.8%50.2%41.2%37.8%
Expected Move11.9%9.7%14.4%11.8%10.8%
HV 20d42.6%38.4%47.9%38.4%42.9%
HV 60d54.6%45.0%69.1%69.1%45.0%
IV Rank41.9%33.6%53.6%41.1%36.4%
IV Percentile79.5%70.6%88.1%81.0%70.6%
Term Structure-3.7%-9.7%-0.1%-5.0%-0.1%
VWIV44.7%32.2%59.8%35.6%38.0%
Skew 25d15.6%9.3%27.9%12.2%23.1%
Skew 10d20.6%8.0%40.2%19.2%28.4%
Call IV 25d33.3%23.4%40.7%33.9%27.9%
Put IV 25d48.8%41.3%58.4%46.1%50.9%
Bid-Ask Spread %82.1653.20102.8377.0992.70
Gamma HHI0.230.160.370.190.24
Net GEX2.1K-21.9K51.5K-5.2K-5.1K
Net DEX61.7K-353.8K216.2K165.4K129.8K
Net VEX-2.3K-2.8K-2.2K-2.2K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.006.005.006.00
Total Volume19.955020567
Total OI453.955186591566189

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$83.96$85.0041.2%11.8%38.4%41.1%0.0%12.2%-5.0%-5.2K165.4K-2.2K0.0077.09N/AN/A06380186
2020-06-02$83.62$85.0037.2%10.7%38.5%35.6%0.0%10.9%-0.9%-5.6K175.1K-2.2K5.0075.99N/AN/A15380185
2020-06-03$85.74$85.0037.5%10.7%39.1%35.9%35.6%9.5%-1.9%-1.1K63.4K-2.3K1.1776.64N/AN/A67380185
2020-06-04$85.55$83.0036.5%9.9%39.0%34.6%40.1%13.0%-2.6%-1.8K68.5K-2.3K1.0157.00N/AN/A102103385188
2020-06-05$88.98$84.0037.3%9.7%40.7%35.6%0.0%16.2%-1.5%22.5K-148.5K-2.6K0.0078.89N/AN/A00386190
2020-06-08$91.50$83.0038.6%9.7%40.0%37.4%53.3%12.3%-2.2%50.9K-353.8K-2.7K2.0053.20N/AN/A36381188
2020-06-09$90.95$83.0035.8%10.5%40.3%33.6%32.2%11.1%-4.8%51.5K-347.2K-2.8K0.0063.83N/AN/A10383194
2020-06-10$88.23$83.0036.9%10.6%40.6%35.1%0.0%9.9%-1.9%16.5K-99.3K-2.4K0.0095.96N/AN/A02384194
2020-06-11$81.35$83.0046.8%13.4%47.9%48.9%53.3%10.1%-6.9%540200.9K-2.3K0.0082.98N/AN/A010384195
2020-06-12$82.64$83.0049.6%14.2%47.9%52.8%55.1%10.8%-9.7%-1.9K216.2K-2.4K1.0084.82N/AN/A44384202
2020-06-15$84.55$83.0041.8%12.0%47.8%42.0%0.0%27.9%-0.5%-8.8K168.1K-2.3K0.6788.75N/AN/A32386203
2020-06-16$86.91$83.0042.0%12.0%44.3%42.2%0.0%25.7%-4.8%-4.6K9.9K-2.3K0.00102.83N/AN/A04384203
2020-06-17$85.47$83.0050.2%14.4%44.6%53.6%59.8%13.5%-9.2%-15.4K96.5K-2.3K0.0091.74N/AN/A03384207
2020-06-18$85.49$83.0045.5%13.1%44.2%47.1%45.7%24.3%-1.5%-21.9K143.1K-2.2K0.2195.40N/AN/A194384204
2020-06-19$85.91$85.0045.3%13.0%44.2%46.8%35.3%27.6%-2.6%6.6K-1.9K-2.2K1.1393.09N/AN/A89377206
2020-06-22$86.38$85.0042.6%12.2%44.1%43.1%0.0%20.9%-3.4%-5.1K139.5K-2.3K0.0089.47N/AN/A0148138
2020-06-23$87.22$85.0040.1%11.5%43.3%39.5%42.9%9.3%-3.0%-3.6K106.7K-2.3K2.9374.21N/AN/A298548139
2020-06-24$85.43$85.0043.9%12.6%42.9%44.8%38.0%13.7%-3.7%-5.1K149.6K-2.3K1.0081.07N/AN/A2249139
2020-06-25$86.06$85.0045.9%13.2%42.1%47.6%0.0%10.6%-6.1%-5.5K158.9K-2.2K0.0087.33N/AN/A0049139
2020-06-26$84.32$85.0044.5%12.7%42.6%45.6%0.0%11.6%-4.0%-5.4K159.8K-2.2K0.0084.39N/AN/A0149139
2020-06-29$85.77$85.0042.2%12.1%42.5%42.4%0.0%17.8%-5.5%-5.4K155.7K-2.2K0.0080.13N/AN/A0049140
2020-06-30$87.39$85.0037.8%10.8%42.9%36.4%0.0%23.1%-0.1%-5.1K129.8K-2.2K6.0092.70N/AN/A1649140