IWC Options History — October 2020

In October 2020, IWC traded between $91.42 and $99.12. ATM implied volatility averaged 33.6%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 8.7% (HV 20d: 24.9%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.10.

Notable Days

  • 2020-10-06: Highest Volume — 112 contracts
  • 2020-10-26: Largest IV spike — 22.1% change
  • 2020-10-30: Highest IV Rank — 47.2%
  • 2020-10-30: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.09$91.42$99.12$91.58$91.42
Max Pain$90.00$90.00$90.00$90.00$90.00
ATM IV33.6%27.5%45.6%31.4%45.6%
Expected Move9.7%8.1%13.1%9.0%13.1%
HV 20d24.9%17.9%29.9%29.9%23.1%
HV 60d22.8%22.1%24.3%23.9%23.1%
IV Rank30.5%22.0%47.2%27.4%47.2%
IV Percentile59.2%45.6%82.5%55.6%82.5%
Term Structure-1.0%-7.5%5.6%3.6%-7.5%
VWIV31.3%28.3%41.0%29.9%41.0%
Skew 25d10.5%5.0%19.4%8.1%6.7%
Skew 10d19.2%2.3%32.0%9.7%23.1%
Call IV 25d28.2%18.2%38.9%28.1%38.9%
Put IV 25d38.7%34.3%52.0%36.2%45.6%
Bid-Ask Spread %67.1649.46100.4688.0072.44
Gamma HHI0.100.080.120.110.11
Net GEX-8.7K-33.5K11.6K-33.5K-23.7K
Net DEX161.0K-210.5K586.6K477.2K586.6K
Net VEX-5.7K-6.1K-4.7K-5.1K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.0017.670.000.40
Total Volume11.455011270
Total OI496.955435558435501

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$91.58$90.0031.4%9.0%29.9%27.4%29.9%8.1%3.6%-33.5K477.2K-5.1K0.0088.00N/AN/A70134301
2020-10-02$92.29$90.0031.9%9.1%28.0%28.1%0.0%9.4%3.8%-31.9K407.5K-4.9K0.0097.81N/AN/A00141301
2020-10-05$94.86$90.0029.2%9.4%29.5%24.4%0.0%12.0%-1.4%-14.9K110.0K-4.7K0.0056.16N/AN/A10158300
2020-10-06$95.20$90.0032.0%9.7%29.1%28.3%0.0%9.9%0.9%-3.3K57.0K-5.1K17.6753.83N/AN/A6106159300
2020-10-07$97.17$90.0033.6%9.3%29.7%30.5%0.0%19.4%2.3%-5.5K4.5K-5.3K0.0056.10N/AN/A30153336
2020-10-08$98.10$90.0031.0%9.2%29.6%26.9%31.5%10.1%0.9%-62-79.4K-5.3K2.9062.83N/AN/A1029153336
2020-10-09$98.69$90.0027.5%8.1%29.0%22.0%28.3%9.8%5.6%6.3K-114.8K-5.8K0.0059.80N/AN/A190159361
2020-10-12$99.12$90.0030.7%8.4%27.4%26.5%0.0%9.5%3.5%11.6K-210.5K-5.5K0.0065.00N/AN/A030165357
2020-10-13$99.06$90.0028.8%8.4%27.4%23.9%0.0%9.4%-0.3%7.1K-113.2K-6.0K1.0049.46N/AN/A22165389
2020-10-14$97.94$90.0031.3%9.0%27.3%27.4%0.0%9.0%-3.7%8.0K-27.4K-6.1K0.0053.20N/AN/A01167391
2020-10-15$98.33$90.0029.6%8.5%27.2%24.9%0.0%9.9%-0.7%3.0K-12.7K-5.8K0.0050.02N/AN/A00167391
2020-10-16$98.24$90.0031.8%9.1%27.2%28.1%28.9%9.1%-2.8%4.4K-58.7K-5.8K0.0081.75N/AN/A150167391
2020-10-19$97.32$90.0033.3%9.5%22.9%30.1%28.3%10.1%-0.8%-9.0K128.1K-5.6K1.0056.93N/AN/A11140342
2020-10-20$96.97$90.0033.4%9.6%23.0%30.2%0.0%16.3%0.1%-8.3K148.9K-6.1K0.00100.46N/AN/A00141343
2020-10-21$95.88$90.0033.7%9.7%18.5%30.6%0.0%7.0%-1.5%-12.0K217.6K-5.7K0.0070.39N/AN/A00141343
2020-10-22$97.30$90.0032.2%9.2%18.2%28.5%0.0%9.7%-1.8%-11.1K209.7K-5.8K0.0071.68N/AN/A00141343
2020-10-23$97.90$90.0031.3%9.0%17.9%27.3%0.0%9.5%-3.1%-7.5K148.3K-5.6K0.0076.19N/AN/A00141343
2020-10-26$95.28$90.0038.2%10.9%19.3%36.9%0.0%5.0%-3.2%-14.4K313.0K-5.8K0.0967.66N/AN/A111141343
2020-10-27$95.14$90.0037.0%10.6%19.4%35.2%0.0%11.9%-3.8%-14.1K321.9K-6.1K0.0056.01N/AN/A00152344
2020-10-28$92.65$90.0043.5%12.5%21.9%44.2%0.0%14.2%-6.4%-21.7K527.0K-6.1K0.0066.56N/AN/A00152344
2020-10-29$93.53$90.0042.9%12.3%21.6%43.5%41.0%15.0%-5.3%-21.4K501.9K-6.1K0.4065.26N/AN/A52152344
2020-10-30$91.42$90.0045.6%13.1%23.1%47.2%0.0%6.7%-7.5%-23.7K586.6K-6.1K0.0072.44N/AN/A00156345