IWC Options History — December 2020

In December 2020, IWC traded between $111.02 and $121.86. ATM implied volatility averaged 28.2%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 10.9% (HV 20d: 17.3%). Max pain ranged from $100.00 to $117.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 3.11.

Notable Days

  • 2020-12-16: Highest Volume — 93 contracts
  • 2020-12-29: Largest IV spike — 8.4% change
  • 2020-12-21: Highest IV Rank — 24.6%
  • 2020-12-29: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.10$111.02$121.86$111.02$119.08
Max Pain$110.00$100.00$117.00$100.00$117.00
ATM IV28.2%26.4%30.0%28.1%29.4%
Expected Move8.1%7.4%8.6%8.1%8.4%
HV 20d17.3%14.6%23.6%23.6%18.9%
HV 60d23.6%21.4%25.9%25.6%22.1%
IV Rank22.7%20.5%24.6%22.9%23.7%
IV Percentile34.6%26.6%43.3%36.1%41.3%
Term Structure-0.5%-2.4%3.0%1.0%-2.0%
VWIV27.1%15.3%35.2%25.2%24.7%
Skew 25d7.8%5.8%11.2%6.0%10.9%
Skew 10d14.6%10.1%23.6%10.1%19.3%
Call IV 25d24.7%22.1%27.3%27.2%22.3%
Put IV 25d32.5%30.6%35.0%33.1%33.3%
Bid-Ask Spread %60.1538.3199.4697.0376.34
Gamma HHI0.170.100.410.140.13
Net GEX33.1K-16.3K90.2K29.7K5.8K
Net DEX-798.1K-1.3M-259.9K-776.5K-438.3K
Net VEX-5.0K-5.8K-3.4K-4.7K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.110.0017.000.000.16
Total Volume24.04539355
Total OI558.5434689563560

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$111.02$100.0028.1%8.1%23.6%22.9%25.2%6.0%1.0%29.7K-776.5K-4.7K0.0097.03N/AN/A50189374
2020-12-02$111.31$100.0028.2%8.1%21.4%23.0%29.5%9.0%0.1%34.8K-891.4K-3.6K0.2399.46N/AN/A133190374
2020-12-03$111.76$100.0028.7%8.3%20.7%23.7%0.0%5.8%-0.7%34.8K-844.0K-4.8K0.0047.58N/AN/A03194375
2020-12-04$115.03$100.0028.9%7.4%20.3%24.0%25.1%6.5%3.0%46.3K-1.2M-3.4K12.0053.49N/AN/A112194378
2020-12-07$115.32$100.0028.3%8.1%19.0%23.1%28.0%6.5%-0.8%42.8K-1.1M-4.6K1.2543.55N/AN/A45195385
2020-12-08$116.33$100.0026.7%8.0%16.6%21.0%29.4%6.4%0.2%49.1K-1.2M-4.5K2.5038.31N/AN/A820196380
2020-12-09$115.46$100.0026.4%7.6%17.1%20.5%27.2%6.8%0.8%43.6K-1.1M-4.8K0.5343.53N/AN/A179203389
2020-12-10$116.38$110.0027.4%7.9%17.0%21.9%35.2%8.8%-1.3%54.9K-1.3M-4.9K0.0052.15N/AN/A017218396
2020-12-11$115.57$110.0027.5%7.9%16.6%22.0%30.2%6.2%1.5%43.3K-737.5K-5.3K9.0046.01N/AN/A19183408
2020-12-14$115.55$110.0027.4%7.8%15.3%21.8%0.0%8.0%1.5%44.3K-779.0K-5.0K17.0043.40N/AN/A234184405
2020-12-15$117.59$110.0027.1%7.8%15.5%21.5%0.0%6.8%-0.9%61.0K-978.2K-4.8K2.3349.66N/AN/A37182435
2020-12-16$118.06$110.0027.6%7.9%15.4%22.2%29.1%7.6%-1.8%65.7K-1.0M-4.6K1.8254.49N/AN/A3360180433
2020-12-17$119.22$117.0027.6%7.9%15.0%22.2%0.0%7.5%-1.5%70.4K-778.1K-5.8K1.0056.46N/AN/A22188494
2020-12-18$119.33$117.0028.2%8.1%14.9%23.1%25.3%10.2%-0.6%90.2K-784.3K-5.5K0.6758.99N/AN/A1812188501
2020-12-21$118.62$117.0029.4%8.4%15.5%24.6%0.0%8.8%-1.5%-5.0K-421.5K-5.6K10.0063.10N/AN/A110147287
2020-12-22$120.28$117.0028.8%8.3%14.7%23.9%26.7%9.2%-0.3%-761-564.4K-5.4K0.0458.26N/AN/A482148297
2020-12-23$121.86$117.0028.0%8.0%14.6%22.3%27.3%8.1%-0.2%14.5K-676.8K-5.4K0.0063.20N/AN/A120170296
2020-12-24$120.96$117.0029.1%8.3%15.2%23.3%15.3%11.2%-1.4%10.8K-619.5K-5.5K0.0071.60N/AN/A30171296
2020-12-28$120.62$117.0027.7%7.9%15.4%21.3%27.9%7.5%-2.4%10.7K-650.2K-5.0K0.5966.42N/AN/A3420173295
2020-12-29$117.47$117.0030.0%8.6%18.3%24.6%0.0%5.9%-0.9%-16.3K-259.9K-5.5K0.0066.27N/AN/A160206315
2020-12-30$119.34$117.0029.6%8.5%18.8%23.9%24.7%8.2%-2.0%-2.9K-403.9K-5.4K0.1674.05N/AN/A6711200315
2020-12-31$119.08$117.0029.4%8.4%18.9%23.7%0.0%10.9%-2.0%5.8K-438.3K-5.6K0.0076.34N/AN/A05239321