IWC Options History — March 2007

In March 2007, IWC traded between $56.03 and $59.25. ATM implied volatility averaged 19.5%. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.5% (HV 20d: 21.0%). Max pain ranged from $57.00 to $60.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 4.44.

Notable Days

  • 2007-03-16: Highest Volume — 112 contracts
  • 2007-03-21: Largest IV spike — 103.4% change
  • 2007-03-21: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.94$56.03$59.25$58.15$58.81
Max Pain$59.73$57.00$60.00$57.00$60.00
ATM IV19.5%15.9%36.5%20.1%16.9%
Expected Move5.6%4.6%10.5%5.8%4.8%
HV 20d21.0%16.2%23.6%16.2%17.5%
HV 60d16.8%16.2%17.4%16.8%16.2%
Term Structure-0.4%-10.5%1.2%-0.4%1.1%
VWIV22.2%14.7%33.1%28.3%14.7%
Skew 25d7.0%3.5%9.3%6.8%7.8%
Skew 10d14.1%7.6%17.4%13.8%12.1%
Call IV 25d16.1%10.0%50.1%16.5%11.9%
Put IV 25d23.1%18.0%53.6%23.3%19.7%
Bid-Ask Spread %76.6960.06161.4382.5983.96
Gamma HHI0.260.220.340.260.28
Net GEX-15.2K-132.3K23.1K-6.7K14.9K
Net DEX-142.7K-581.3K451.6K-195.7K-393.0K
Net VEX-7.2K-7.6K-6.8K-7.6K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.440.0027.006.000.00
Total Volume14.8640112301
Total OI743.636614816763696

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$58.15$57.0020.1%5.8%16.2%0.0%28.3%6.8%-0.4%-6.7K-195.7K-7.6K0.0082.59N/AN/A030355408
2007-03-02$56.97$57.0022.1%6.4%17.3%0.0%0.0%9.3%-2.4%-20.7K154.0K-7.6K0.0082.65N/AN/A00355438
2007-03-05$56.03$60.0024.6%6.4%17.9%0.0%0.0%7.4%-1.7%-24.8K451.6K-7.1K0.0060.30N/AN/A00355438
2007-03-06$57.60$60.0017.7%5.5%21.0%0.0%0.0%7.2%0.2%-20.0K-16.0K-7.4K6.0060.06N/AN/A16355438
2007-03-07$57.25$60.0020.6%5.7%21.0%0.0%22.1%6.6%-0.2%-23.6K85.0K-7.2K1.0462.81N/AN/A2425354432
2007-03-08$57.66$60.0016.7%5.2%21.0%0.0%18.4%7.1%0.4%-32.4K-5.5K-7.5K0.0062.91N/AN/A013356457
2007-03-09$57.80$60.0015.9%5.2%21.0%0.0%0.0%6.4%0.7%-28.7K-140.7K-7.4K0.0064.21N/AN/A00356455
2007-03-12$58.05$60.0019.3%5.3%21.0%0.0%0.0%6.8%0.5%-23.9K-233.4K-7.2K0.0066.68N/AN/A00356455
2007-03-13$56.64$60.0022.2%5.7%22.5%0.0%0.0%7.1%0.1%-49.2K305.1K-7.0K0.0064.08N/AN/A00356455
2007-03-14$56.90$60.0020.5%5.8%22.4%0.0%0.0%7.2%-0.3%-60.4K151.6K-7.0K0.0064.58N/AN/A04356455
2007-03-15$57.40$60.0019.7%5.6%22.7%0.0%19.9%7.4%0.4%-54.4K-73.3K-7.0K0.0066.51N/AN/A05356455
2007-03-16$57.12$60.0019.0%5.5%22.7%0.0%0.0%6.6%0.2%-132.3K85.9K-6.8K27.0068.98N/AN/A4108356460
2007-03-19$57.65$60.0018.6%5.3%23.0%0.0%18.8%7.5%-0.5%-4.1K19.8K-6.9K0.0070.56N/AN/A550305309
2007-03-20$58.14$60.0018.0%5.1%22.8%0.0%0.0%7.1%0.1%8.4K-209.0K-7.3K0.9175.39N/AN/A1110351309
2007-03-21$58.99$60.0036.5%10.5%23.6%0.0%33.1%3.5%-10.5%13.9K-397.3K-7.6K5.00161.43N/AN/A15362314
2007-03-22$59.19$60.0016.5%4.7%23.5%0.0%0.0%5.6%0.6%20.0K-528.1K-7.3K0.0079.81N/AN/A60363309
2007-03-23$59.23$60.0015.9%4.6%23.4%0.0%0.0%6.0%0.6%23.1K-566.9K-7.3K0.0081.49N/AN/A00369309
2007-03-26$59.25$60.0016.8%4.8%23.4%0.0%14.7%6.5%0.7%22.8K-581.3K-7.2K0.0081.42N/AN/A06369309
2007-03-27$58.85$60.0016.5%4.7%19.1%0.0%0.0%9.1%0.8%17.5K-458.5K-7.2K0.0083.54N/AN/A010369315
2007-03-28$58.47$60.0018.1%5.2%19.3%0.0%0.0%7.0%0.1%12.4K-270.0K-7.3K0.0080.46N/AN/A20369325
2007-03-29$58.56$60.0016.8%4.8%19.2%0.0%0.0%6.9%1.2%13.7K-323.4K-7.3K0.0082.69N/AN/A00371325
2007-03-30$58.81$60.0016.9%4.8%17.5%0.0%0.0%7.8%1.1%14.9K-393.0K-7.2K0.0083.96N/AN/A10371325