IWC Options History — November 2020

In November 2020, IWC traded between $93.13 and $111.66. ATM implied volatility averaged 30.7%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 2.6% (HV 20d: 28.1%). Max pain ranged from $90.00 to $100.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2020-11-18: Highest Volume — 34 contracts
  • 2020-11-13: Largest IV drop — 16.4% change
  • 2020-11-02: Highest IV Rank — 46.8%
  • 2020-11-02: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.85$93.13$111.66$93.13$110.63
Max Pain$92.50$90.00$100.00$90.00$100.00
ATM IV30.7%26.2%45.3%45.3%29.5%
Expected Move8.6%7.5%13.0%13.0%8.4%
HV 20d28.1%21.8%31.0%21.8%23.8%
HV 60d25.7%23.2%26.5%23.2%25.7%
IV Rank26.4%20.2%46.8%46.8%24.8%
IV Percentile45.3%31.0%81.3%81.3%42.5%
Term Structure-1.8%-7.0%1.6%-7.0%-1.9%
VWIV29.8%23.2%40.1%40.1%27.5%
Skew 25d7.8%4.1%16.8%11.5%6.0%
Skew 10d14.0%8.6%24.2%19.1%9.0%
Call IV 25d26.5%16.5%39.5%39.5%26.1%
Put IV 25d34.3%30.4%51.0%51.0%32.1%
Bid-Ask Spread %92.9567.54100.8667.5494.96
Gamma HHI0.120.100.140.110.14
Net GEX19.6K-22.7K33.6K-22.7K26.1K
Net DEX-529.6K-1.0M517.2K517.2K-702.5K
Net VEX-4.4K-5.9K-3.0K-5.9K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.004.500.000.14
Total Volume10034416
Total OI532.3501569501555

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$93.13$90.0045.3%13.0%21.8%46.8%0.0%11.5%-7.0%-22.7K517.2K-5.9K0.0067.54N/AN/A40156345
2020-11-03$96.54$90.0038.7%11.1%25.4%37.6%40.1%11.9%-2.3%-11.0K256.2K-5.6K0.0767.78N/AN/A151156345
2020-11-04$95.77$90.0035.5%10.2%24.5%33.2%0.0%5.6%-4.7%140155.8K-5.6K0.0084.96N/AN/A00175346
2020-11-05$98.83$90.0030.3%8.3%26.8%25.9%0.0%10.5%-1.8%5.8K-117.3K-4.9K0.0096.96N/AN/A10175346
2020-11-06$97.61$90.0028.8%7.5%27.1%23.8%0.0%7.6%1.0%13.1K-75.6K-5.2K0.0094.98N/AN/A30174346
2020-11-09$100.90$90.0031.2%7.8%29.6%27.2%0.0%5.7%-0.0%29.8K-514.2K-4.0K0.0099.49N/AN/A100177346
2020-11-10$102.36$90.0031.7%8.4%30.0%27.8%31.1%7.1%-3.5%33.6K-597.5K-4.0K0.3397.22N/AN/A31179346
2020-11-11$102.45$90.0027.7%8.0%29.6%22.4%0.0%13.2%-1.9%29.6K-581.7K-4.2K0.0096.57N/AN/A00180346
2020-11-12$101.36$90.0031.3%9.0%29.9%27.3%0.0%4.6%-3.9%30.6K-528.1K-4.2K0.0096.85N/AN/A10180346
2020-11-13$103.89$90.0026.2%7.5%31.0%20.2%26.9%16.8%-1.4%32.5K-781.4K-3.4K0.00100.86N/AN/A10180346
2020-11-16$105.55$90.0029.5%8.5%31.0%24.9%27.7%8.4%-2.7%26.0K-888.9K-3.4K1.5097.64N/AN/A23181346
2020-11-17$106.58$90.0028.5%8.2%30.9%23.4%29.5%5.4%-1.7%20.4K-1.0M-3.0K0.6596.65N/AN/A1711183349
2020-11-18$106.03$90.0028.7%8.2%30.6%23.7%28.0%4.1%-1.8%30.6K-1.0M-3.7K0.0099.81N/AN/A340192358
2020-11-19$106.08$90.0029.0%8.3%30.4%24.1%0.0%7.1%-0.3%25.2K-984.4K-4.0K0.0095.15N/AN/A20210358
2020-11-20$106.78$90.0029.2%8.4%30.4%24.4%31.3%6.0%-0.3%27.2K-1.0M-4.1K2.8696.36N/AN/A720211358
2020-11-23$109.10$100.0026.5%7.6%28.6%20.6%23.8%6.6%1.6%16.4K-443.8K-4.2K0.0092.11N/AN/A300152361
2020-11-24$110.69$100.0028.4%8.1%28.5%23.3%33.3%5.1%-2.0%25.2K-723.6K-4.9K4.5093.65N/AN/A29177361
2020-11-25$111.06$100.0028.4%8.1%25.6%23.2%23.2%6.6%-0.4%26.1K-734.3K-4.9K0.5095.28N/AN/A42179370
2020-11-27$111.66$100.0029.2%8.4%25.6%24.4%35.6%5.9%-1.4%28.3K-777.5K-5.0K0.0094.16N/AN/A01183372
2020-11-30$110.63$100.0029.5%8.4%23.8%24.8%27.5%6.0%-1.9%26.1K-702.5K-4.9K0.1494.96N/AN/A142183372