IWC Options History — August 2020

In August 2020, IWC traded between $90.67 and $96.85. ATM implied volatility averaged 26.3%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.7% (HV 20d: 20.6%). Max pain ranged from $88.00 to $95.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2020-08-28: Highest Volume — 56 contracts
  • 2020-08-10: Largest IV spike — 15.2% change
  • 2020-08-10: Highest IV Rank — 26.9%
  • 2020-08-03: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.71$90.67$96.85$90.67$94.25
Max Pain$94.00$88.00$95.00$88.00$95.00
ATM IV26.3%23.1%31.0%28.8%24.6%
Expected Move7.5%6.6%8.3%8.3%7.1%
HV 20d20.6%15.4%25.9%25.9%15.4%
HV 60d31.6%28.4%35.9%35.9%28.4%
IV Rank20.4%15.9%26.9%23.9%18.1%
IV Percentile52.4%46.8%59.1%57.1%48.8%
Term Structure2.8%-0.4%5.9%2.0%3.6%
VWIV29.7%24.9%41.6%41.6%27.0%
Skew 25d6.3%1.1%12.0%5.7%5.1%
Skew 10d14.6%5.6%23.4%21.1%9.8%
Call IV 25d23.5%17.9%26.5%26.2%22.9%
Put IV 25d29.7%26.7%33.0%31.9%28.0%
Bid-Ask Spread %86.8775.1398.8781.3387.75
Gamma HHI0.160.130.190.150.16
Net GEX-9.1K-17.6K2.2K-10.7K-17.2K
Net DEX-81.4K-330.1K166.1K166.1K44.0K
Net VEX-3.9K-4.9K-3.1K-3.4K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.003.002.000.00
Total Volume8.42905630
Total OI364.81307432307429

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$90.67$88.0028.8%8.3%25.9%23.9%41.6%5.7%2.0%-10.7K166.1K-3.4K2.0081.33N/AN/A1294213
2020-08-04$91.44$88.0027.9%8.0%24.6%22.6%24.9%12.0%1.4%-11.4K114.9K-3.3K1.5088.41N/AN/A2395215
2020-08-05$92.91$88.0027.7%7.9%25.0%22.3%27.6%3.4%-0.4%-7.7K16.3K-3.3K3.0098.87N/AN/A2697216
2020-08-06$93.16$95.0026.8%8.1%23.6%21.0%33.0%7.8%1.0%-7.9K-19.1K-3.4K3.0089.24N/AN/A41296219
2020-08-07$94.73$95.0026.9%7.3%23.8%21.2%0.0%11.0%2.6%-9.8K-69.9K-3.2K0.0093.91N/AN/A0398219
2020-08-10$96.78$95.0031.0%7.5%23.9%26.9%0.0%9.7%4.0%-7.2K-197.9K-3.2K0.0084.93N/AN/A1097219
2020-08-11$95.99$95.0027.9%8.2%24.5%22.6%25.2%7.2%2.7%-4.1K-232.2K-3.2K0.0084.12N/AN/A4097219
2020-08-12$95.76$95.0027.9%8.0%19.6%22.6%0.0%6.6%4.3%-4.9K-198.1K-3.3K0.0075.13N/AN/A70101219
2020-08-13$96.04$95.0026.6%7.6%18.8%20.8%31.4%6.6%4.0%-3.9K-196.7K-3.4K2.0079.04N/AN/A12104219
2020-08-14$95.82$95.0025.8%7.4%18.9%19.7%0.0%7.0%4.7%-4.8K-173.8K-3.4K0.0082.69N/AN/A00105221
2020-08-17$96.85$95.0024.4%7.0%19.0%17.7%0.0%7.1%5.2%-4.8K-270.9K-3.1K0.0480.28N/AN/A502105221
2020-08-18$95.98$95.0026.1%7.5%19.1%20.1%0.0%5.3%3.1%2.2K-330.1K-3.7K0.0091.10N/AN/A40155223
2020-08-19$96.26$95.0025.5%7.3%18.8%19.2%0.0%5.4%4.0%1.4K-298.4K-3.6K0.0090.00N/AN/A20157223
2020-08-20$95.74$95.0026.1%7.5%19.1%20.1%0.0%4.6%1.9%-6.8K-147.9K-4.6K0.0090.46N/AN/A00159273
2020-08-21$94.19$95.0025.4%7.3%19.2%19.1%27.1%4.2%5.9%-8.6K-68.9K-4.8K0.0088.11N/AN/A03159273
2020-08-24$94.28$95.0024.4%7.0%19.1%17.7%0.0%2.7%1.7%-17.4K46.5K-4.9K0.0079.88N/AN/A00150271
2020-08-25$95.14$95.0023.9%6.8%19.0%17.0%0.0%5.7%1.2%-17.6K7.2K-4.7K1.0087.27N/AN/A11150271
2020-08-26$94.47$95.0025.6%7.3%19.0%19.4%0.0%6.4%1.5%-16.6K18.6K-4.8K0.0084.87N/AN/A02151272
2020-08-27$93.93$95.0026.3%7.5%19.2%20.4%27.0%1.1%0.8%-17.1K48.7K-4.8K0.0096.61N/AN/A60151274
2020-08-28$94.53$95.0023.1%6.6%17.5%15.9%0.0%7.2%2.7%-17.1K31.8K-4.8K0.0090.18N/AN/A560157274
2020-08-31$94.25$95.0024.6%7.1%15.4%18.1%0.0%5.1%3.6%-17.2K44.0K-4.7K0.0087.75N/AN/A00155274