IWC Options History — January 2007

In January 2007, IWC traded between $57.53 and $59.18. ATM implied volatility averaged 15.9%. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.7% (HV 20d: 14.2%). Max pain ranged from $55.00 to $59.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.21.

Notable Days

  • 2007-01-10: Highest Volume — 107 contracts
  • 2007-01-11: Largest IV spike — 33.9% change
  • 2007-01-08: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.23$57.53$59.18$58.44$59.18
Max Pain$58.30$55.00$59.00$55.00$58.00
ATM IV15.9%13.5%18.4%16.7%14.6%
Expected Move4.7%3.9%5.5%4.8%4.2%
HV 20d14.2%13.7%14.5%14.5%13.7%
Term Structure1.4%0.3%3.3%2.5%1.4%
VWIV15.8%12.3%18.0%17.4%12.3%
Skew 25d5.9%4.3%7.4%6.3%5.0%
Skew 10d10.6%4.5%15.9%5.2%5.4%
Call IV 25d13.2%10.0%16.4%12.9%10.8%
Put IV 25d19.1%15.7%22.8%19.2%15.8%
Bid-Ask Spread %80.8362.9993.4289.8593.42
Gamma HHI0.290.220.340.260.31
Net GEX-13.2K-38.4K874-11.7K-9.3K
Net DEX-340.2K-807.3K-3.8K-804.5K-534.1K
Net VEX-7.7K-8.5K-7.3K-8.2K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.210.0015.0015.000.00
Total Volume20.60107103
Total OI735651845814725

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$58.44$55.0016.7%4.8%0.0%0.0%0.0%6.3%2.5%-11.7K-804.5K-8.2K0.0089.85N/AN/A010404410
2007-01-04$58.63$55.0015.0%4.3%0.0%0.0%0.0%6.0%3.3%-19.0K-807.3K-8.2K15.0091.14N/AN/A115404420
2007-01-05$57.53$59.0018.0%5.5%0.0%0.0%0.0%6.4%0.3%874-384.8K-8.5K2.5062.99N/AN/A25405435
2007-01-08$57.72$59.0015.9%5.5%0.0%0.0%0.0%6.3%0.5%-5.4K-470.1K-8.3K0.3764.95N/AN/A3011405440
2007-01-09$57.74$59.0015.4%5.5%0.0%0.0%17.4%6.1%0.6%-9.6K-447.7K-7.9K0.1066.59N/AN/A101376429
2007-01-10$57.66$59.0013.7%5.2%0.0%0.0%0.0%5.7%1.2%-15.3K-517.5K-7.7K0.0070.43N/AN/A1070377428
2007-01-11$58.36$59.0018.4%5.3%0.0%0.0%0.0%6.0%0.8%-36.8K-126.2K-7.6K9.0072.78N/AN/A19290428
2007-01-12$58.66$59.0016.6%4.7%0.0%0.0%0.0%5.6%1.6%-38.4K-345.9K-7.4K7.0074.89N/AN/A17291419
2007-01-16$58.61$59.0016.4%4.7%0.0%0.0%0.0%5.7%1.6%-16.4K-270.9K-7.3K3.5077.35N/AN/A27292412
2007-01-17$58.40$59.0018.1%5.2%0.0%0.0%0.0%6.1%1.2%-12.5K-198.9K-7.3K0.0076.85N/AN/A00294419
2007-01-18$57.64$59.0017.6%5.1%0.0%0.0%17.7%5.7%1.2%-8.9K-3.8K-7.3K0.3375.78N/AN/A186294419
2007-01-19$58.06$59.0017.6%5.0%0.0%0.0%16.7%5.6%1.2%-4.9K-91.6K-7.3K14.5078.09N/AN/A229297425
2007-01-22$57.64$59.0016.1%4.6%0.0%0.0%16.6%6.8%1.3%-19.6K-5.3K-7.4K0.2184.35N/AN/A143270381
2007-01-23$58.04$59.0014.8%4.2%0.0%0.0%13.3%7.2%1.7%-16.5K-150.5K-7.4K0.6388.36N/AN/A1610284384
2007-01-24$58.60$58.0013.5%3.9%0.0%0.0%0.0%4.3%2.1%-8.2K-339.5K-7.4K0.0089.10N/AN/A30290374
2007-01-25$57.79$58.0015.0%4.3%14.5%0.0%0.0%5.7%1.4%-7.5K-151.0K-7.5K0.3388.14N/AN/A3010293374
2007-01-26$58.09$58.0015.3%4.4%14.2%0.0%18.0%7.4%1.5%-6.9K-250.0K-7.8K15.0089.04N/AN/A115308384
2007-01-29$58.62$58.0014.2%4.1%14.2%0.0%14.2%4.8%1.5%-10.2K-388.4K-7.7K4.0090.51N/AN/A416309399
2007-01-30$59.09$58.0014.6%4.2%14.1%0.0%12.3%5.7%1.9%-8.1K-515.4K-7.6K3.3391.90N/AN/A310313399
2007-01-31$59.18$58.0014.6%4.2%13.7%0.0%0.0%5.0%1.4%-9.3K-534.1K-7.6K0.0093.42N/AN/A30316409