IWC Options History — February 2007 In February 2007, IWC traded between $58.45 and $61.32. ATM implied volatility averaged 15.1%. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.5% (HV 20d: 11.6%). Max pain ranged from $55.00 to $58.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.92.
Notable Days 2007-02-23 : Highest Volume — 50 contracts2007-02-27 : Largest IV spike — 211.2% change2007-02-27 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $60.03 $58.45 $61.32 $59.62 $58.47 Max Pain $55.47 $55.00 $58.00 $58.00 $57.00 ATM IV 15.1% 12.1% 41.6% 12.2% 18.5% Expected Move 4.5% 3.5% 11.9% 3.5% 5.3% HV 20d 11.6% 8.3% 16.4% 13.6% 16.1% Term Structure 1.5% -5.7% 2.7% 2.5% 0.1% VWIV 17.6% 12.3% 40.7% 14.1% 14.3% Skew 25d 4.1% 1.5% 10.2% 6.6% 6.4% Skew 10d 6.3% -1.5% 29.4% 4.1% 14.0% Call IV 25d 15.0% 7.8% 58.0% 7.8% 13.5% Put IV 25d 19.1% 13.8% 68.2% 14.4% 19.9% Bid-Ask Spread % 89.52 76.18 153.81 96.84 86.83 Gamma HHI 0.33 0.26 0.36 0.33 0.27 Net GEX 7.8K -6.2K 24.8K -5.0K -6.2K Net DEX -854.8K -1.3M -234.3K -710.7K -374.6K Net VEX -6.9K -8.1K -6.1K -7.3K -7.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.00 11.00 0.00 11.00 Total Volume 10.368 0 50 8 12 Total OI 729.789 684 775 728 771
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-02-01 $59.62 $58.00 12.2% 3.5% 13.6% 0.0% 14.1% 6.6% 2.5% -5.0K -710.7K -7.3K 0.00 96.84 N/A N/A 0 8 319 409 2007-02-02 $59.79 $55.00 12.2% 4.2% 13.6% 0.0% 14.7% 3.8% 2.1% 856 -744.3K -7.2K 0.00 76.18 N/A N/A 4 0 319 401 2007-02-05 $59.63 $55.00 12.3% 4.2% 11.5% 0.0% 0.0% 4.0% 2.5% 860 -725.3K -7.2K 0.00 76.44 N/A N/A 8 0 322 401 2007-02-06 $59.72 $55.00 12.4% 4.3% 11.4% 0.0% 0.0% 4.3% 2.0% 5.5K -785.0K -7.2K 0.00 77.50 N/A N/A 0 0 330 401 2007-02-07 $60.19 $55.00 12.8% 4.2% 11.6% 0.0% 17.6% 3.4% 1.7% 6.5K -930.0K -6.8K 0.00 83.12 N/A N/A 1 0 330 401 2007-02-08 $60.26 $55.00 14.4% 4.1% 11.6% 0.0% 0.0% 3.1% 2.1% 7.2K -954.1K -6.7K 0.00 83.38 N/A N/A 0 0 330 401 2007-02-09 $59.76 $55.00 14.5% 4.1% 11.5% 0.0% 0.0% 4.0% 1.6% 6.4K -835.2K -6.9K 0.00 80.37 N/A N/A 0 0 330 401 2007-02-12 $59.54 $55.00 14.7% 4.2% 11.6% 0.0% 0.0% 4.0% 1.8% 6.2K -826.5K -6.8K 0.00 80.56 N/A N/A 1 0 330 401 2007-02-13 $59.99 $55.00 15.0% 4.3% 11.8% 0.0% 0.0% 3.7% 1.7% 7.1K -895.5K -6.7K 0.00 83.33 N/A N/A 23 0 331 401 2007-02-14 $60.00 $55.00 15.0% 4.3% 11.7% 0.0% 0.0% 4.0% 1.6% 4.9K -838.0K -6.7K 0.00 83.51 N/A N/A 0 0 326 401 2007-02-15 $60.05 $55.00 14.9% 4.3% 10.3% 0.0% 0.0% 4.4% 2.0% 13.0K -839.8K -6.7K 0.00 83.60 N/A N/A 3 0 326 401 2007-02-16 $60.24 $55.00 13.7% 3.9% 10.2% 0.0% 0.0% 3.5% 2.5% 12.1K -944.9K -6.5K 0.00 87.81 N/A N/A 8 0 329 401 2007-02-20 $60.93 $55.00 12.5% 3.6% 10.1% 0.0% 0.0% 2.2% 1.8% 15.7K -1.0M -6.2K 0.00 91.86 N/A N/A 1 0 327 357 2007-02-21 $60.94 $55.00 12.3% 3.5% 10.0% 0.0% 12.3% 1.9% 2.2% 15.3K -1.1M -6.1K 0.00 94.05 N/A N/A 44 0 328 357 2007-02-22 $61.32 $55.00 12.3% 3.5% 9.8% 0.0% 14.0% 1.5% 2.2% 24.8K -1.3M -6.7K 0.00 95.34 N/A N/A 20 0 372 357 2007-02-23 $60.95 $55.00 12.1% 3.5% 8.3% 0.0% 13.5% 3.1% 2.7% 24.6K -1.1M -6.8K 0.00 94.25 N/A N/A 0 50 358 357 2007-02-26 $60.73 $57.00 13.4% 3.8% 8.6% 0.0% 0.0% 3.0% 1.2% 11.9K -1.1M -6.9K 0.00 92.10 N/A N/A 0 10 358 407 2007-02-27 $58.45 $57.00 41.6% 11.9% 16.4% 0.0% 40.7% 10.2% -5.7% -3.9K -234.3K -8.1K 0.00 153.81 N/A N/A 4 0 358 417 2007-02-28 $58.47 $57.00 18.5% 5.3% 16.1% 0.0% 14.3% 6.4% 0.1% -6.2K -374.6K -7.7K 11.00 86.83 N/A N/A 1 11 354 417
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