IWC Options History — September 2020

In September 2020, IWC traded between $86.92 and $95.18. ATM implied volatility averaged 30.6%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 9.1% (HV 20d: 21.5%). Max pain ranged from $89.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 6.46.

Notable Days

  • 2020-09-10: Highest Volume — 43 contracts
  • 2020-09-03: Largest IV spike — 29.7% change
  • 2020-09-25: Highest IV Rank — 35.0%
  • 2020-09-25: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.56$86.92$95.18$94.34$90.39
Max Pain$90.43$89.00$95.00$95.00$90.00
ATM IV30.6%25.7%36.8%27.4%32.4%
Expected Move8.6%7.4%10.6%7.8%9.3%
HV 20d21.5%14.6%29.7%15.3%29.6%
HV 60d23.3%20.9%27.8%27.8%23.8%
IV Rank26.3%19.5%35.0%21.8%28.8%
IV Percentile56.4%48.0%65.9%53.6%58.3%
Term Structure3.5%-1.0%11.0%0.0%3.4%
VWIV29.1%14.7%35.7%35.7%27.4%
Skew 25d7.9%1.6%16.5%6.1%8.8%
Skew 10d11.2%-5.2%23.8%11.1%15.8%
Call IV 25d26.7%22.9%31.8%24.2%27.7%
Put IV 25d34.6%27.8%42.5%30.3%36.5%
Bid-Ask Spread %80.1666.8997.8389.7284.82
Gamma HHI0.170.110.410.160.13
Net GEX-37.5K-108.8K-12.2K-19.2K-29.8K
Net DEX331.5K-42.1K720.4K33.6K453.4K
Net VEX-4.6K-4.9K-4.2K-4.6K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.460.0042.0015.0028.00
Total Volume11.4291431629
Total OI435.952358516429409

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$94.34$95.0027.4%7.8%15.3%21.8%0.0%6.1%0.0%-19.2K33.6K-4.6K15.0089.72N/AN/A115155274
2020-09-02$95.18$95.0025.7%7.4%14.6%19.5%0.0%1.6%2.1%-15.3K-42.1K-4.6K0.0097.83N/AN/A60155274
2020-09-03$92.30$93.0033.3%10.0%18.4%30.1%0.0%3.9%4.3%-12.2K122.2K-4.7K0.0071.83N/AN/A01161274
2020-09-04$91.65$93.0035.0%8.7%17.4%32.4%35.7%10.2%7.5%-13.3K205.9K-4.7K0.0076.46N/AN/A01161275
2020-09-08$90.67$89.0035.7%8.0%15.4%33.5%0.0%11.4%11.0%-19.4K343.3K-4.3K0.0075.49N/AN/A10158276
2020-09-09$91.75$89.0028.0%8.0%16.1%22.7%29.0%10.3%7.6%-23.0K275.5K-4.2K0.0072.20N/AN/A40158276
2020-09-10$91.39$89.0032.6%9.3%16.1%29.1%35.6%10.6%1.2%-18.4K236.2K-4.2K42.0078.06N/AN/A142162276
2020-09-11$90.26$89.0029.3%8.4%16.4%24.5%0.0%4.0%2.2%-35.4K467.2K-4.2K0.0087.90N/AN/A020163316
2020-09-14$93.01$89.0027.3%7.8%20.2%21.7%28.6%9.7%-1.0%-52.7K315.7K-4.4K0.0083.84N/AN/A20163336
2020-09-15$92.84$89.0026.1%7.5%19.7%20.1%14.7%7.6%4.3%-52.3K307.1K-4.5K0.0073.29N/AN/A210165337
2020-09-16$94.48$89.0027.4%7.9%20.7%21.9%29.2%6.1%-0.3%-76.9K162.7K-4.3K4.0069.98N/AN/A14166337
2020-09-17$93.98$90.0026.3%7.5%20.7%20.3%0.0%7.0%2.8%-86.9K221.4K-4.5K0.3075.31N/AN/A103166337
2020-09-18$94.60$90.0026.6%7.6%20.8%20.7%26.4%7.9%3.0%-108.8K81.8K-4.4K0.0076.16N/AN/A013176340
2020-09-21$90.94$90.0032.5%9.3%24.4%28.9%30.8%7.7%2.6%-25.2K395.8K-4.7K2.8366.89N/AN/A617121237
2020-09-22$90.88$90.0030.8%8.8%24.4%26.7%34.7%6.7%3.6%-26.9K445.4K-4.9K0.0079.70N/AN/A01127253
2020-09-23$87.62$90.0032.3%9.3%26.9%28.7%28.4%6.1%3.4%-32.3K570.4K-4.9K0.5077.67N/AN/A21127254
2020-09-24$86.92$90.0033.7%9.7%26.9%30.7%29.3%7.5%2.0%-36.8K720.4K-4.7K1.2289.12N/AN/A911129255
2020-09-25$88.19$90.0036.8%10.6%27.7%35.0%0.0%16.5%2.2%-38.2K660.3K-4.9K0.0092.10N/AN/A06130268
2020-09-28$90.65$90.0030.9%8.9%29.6%26.8%27.4%5.6%8.3%-34.0K496.3K-4.7K1.0080.40N/AN/A33130272
2020-09-29$90.66$90.0032.2%9.2%29.7%28.5%0.0%10.1%3.0%-31.1K489.8K-4.8K2.0084.51N/AN/A24132274
2020-09-30$90.39$90.0032.4%9.3%29.6%28.8%0.0%8.8%3.4%-29.8K453.4K-4.8K28.0084.82N/AN/A128134275