IWC Options History — September 2021

In September 2021, IWC traded between $140.63 and $150.57. ATM implied volatility averaged 26.0%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.1% (HV 20d: 21.9%). Max pain ranged from $145.00 to $155.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 5.96.

Notable Days

  • 2021-09-09: Highest Volume — 367 contracts
  • 2021-09-20: Largest IV spike — 27.0% change
  • 2021-09-20: Highest IV Rank — 41.2%
  • 2021-09-20: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$146.20$140.63$150.57$149.56$144.84
Max Pain$147.48$145.00$155.00$155.00$147.00
ATM IV26.0%19.9%32.1%21.4%30.3%
Expected Move7.6%6.1%9.2%6.1%8.7%
HV 20d21.9%20.3%23.2%22.4%21.7%
HV 60d22.5%21.8%23.6%22.5%23.1%
IV Rank20.7%0.1%41.2%5.2%35.0%
IV Percentile26.7%0.4%67.5%4.0%59.1%
Term Structure0.8%-1.0%2.6%2.0%-0.2%
VWIV28.2%19.9%45.2%19.9%32.1%
Skew 25d8.4%6.4%11.0%6.6%7.9%
Skew 10d16.0%11.5%21.8%12.0%14.7%
Call IV 25d23.3%19.5%28.2%19.5%26.9%
Put IV 25d31.7%26.1%39.2%26.1%34.8%
Bid-Ask Spread %47.9335.0086.7986.7958.83
Gamma HHI0.320.150.900.370.18
Net GEX-986.5K-5.7M-164.0K-711.8K-227.9K
Net DEX5.2M2.3M11.4M4.8M4.0M
Net VEX-27.6K-34.1K-21.3K-34.1K-25.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.960.0044.880.130.00
Total Volume66.61933671810
Total OI4,576.5241,9606,5036,2642,254

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$149.56$155.0021.4%6.1%22.4%5.2%19.9%6.6%2.0%-711.8K4.8M-34.1K0.1386.79N/AN/A1623,1523,112
2021-09-02$150.57$145.0021.9%6.7%21.7%6.9%30.9%7.4%1.2%-621.9K3.8M-33.1K7.6044.14N/AN/A151143,1643,139
2021-09-03$149.47$145.0019.9%6.7%21.8%0.1%22.9%7.1%2.6%-680.7K4.4M-33.3K1.1749.22N/AN/A12143,1653,137
2021-09-07$149.08$145.0022.1%7.1%21.8%7.4%24.5%8.4%1.2%-710.6K4.5M-31.3K2.7535.33N/AN/A12333,1643,141
2021-09-08$146.85$147.0025.4%7.3%22.5%18.7%24.3%8.0%1.2%-946.2K6.3M-31.6K0.9235.00N/AN/A24223,1623,145
2021-09-09$148.27$148.0025.4%7.3%22.8%18.7%27.5%9.3%0.9%-799.9K5.5M-31.1K44.8835.99N/AN/A83593,1733,140
2021-09-10$146.49$148.0028.2%8.1%23.2%28.1%29.3%8.6%-0.1%-986.7K6.7M-32.1K0.3336.08N/AN/A933,1643,160
2021-09-13$145.96$148.0027.5%7.9%22.6%25.8%45.2%9.8%0.5%-1.5M8.0M-29.8K3.8036.76N/AN/A5193,1633,335
2021-09-14$143.58$148.0027.9%8.0%22.8%27.0%30.4%9.8%0.5%-2.0M11.4M-29.2K1.7040.58N/AN/A10173,1653,338
2021-09-15$144.96$148.0025.9%7.4%22.2%20.3%29.1%8.6%1.4%-2.0M7.9M-25.2K34.0037.65N/AN/A1343,1673,334
2021-09-16$145.15$148.0024.3%7.0%22.2%15.1%23.2%9.1%1.9%-2.1M6.1M-23.1K3.2740.53N/AN/A30983,1593,306
2021-09-17$145.00$148.0025.3%7.2%20.3%18.2%26.2%8.3%2.2%-5.7M6.1M-21.3K8.3148.34N/AN/A292413,1593,300
2021-09-20$140.63$148.0032.1%9.2%22.7%41.2%35.8%11.0%-1.0%-191.1K4.0M-22.2K2.1047.38N/AN/A10211,060900
2021-09-21$142.00$148.0029.9%8.6%20.5%34.0%25.3%9.7%-0.7%-250.3K4.7M-25.7K0.3547.53N/AN/A31111,0611,071
2021-09-22$144.21$147.0027.0%7.7%20.9%24.0%24.5%9.1%0.5%-240.3K4.1M-25.2K0.0550.97N/AN/A2111,0781,084
2021-09-23$146.94$147.0024.8%7.1%21.9%16.6%27.2%8.3%1.1%-220.8K3.3M-24.8K1.1549.33N/AN/A52601,0791,085
2021-09-24$146.36$146.0023.9%6.8%21.7%13.6%25.1%6.8%2.0%-209.0K3.3M-24.9K0.2553.61N/AN/A411,0981,086
2021-09-27$149.42$147.0024.1%6.9%20.4%14.1%27.2%6.4%1.5%-164.0K2.3M-25.3K10.0060.80N/AN/A4401,1161,110
2021-09-28$146.08$147.0029.2%8.4%21.9%31.5%33.6%6.8%-0.6%-199.4K3.4M-25.5K0.5054.39N/AN/A211,1181,110
2021-09-29$144.86$147.0029.7%8.5%21.9%33.2%32.1%8.4%-0.9%-225.8K3.9M-25.9K2.0057.37N/AN/A121,1201,133
2021-09-30$144.84$147.0030.3%8.7%21.7%35.0%0.0%7.9%-0.2%-227.9K4.0M-25.4K0.0058.83N/AN/A1001,1201,134