IWC Options History — April 2007

In April 2007, IWC traded between $58.96 and $61.11. ATM implied volatility averaged 15.0%. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.5% (HV 20d: 11.5%). Max pain ranged from $59.00 to $60.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-04-20: Highest Volume — 410 contracts
  • 2007-04-05: Largest IV drop — 20.2% change
  • 2007-04-30: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.10$58.96$61.11$58.96$59.49
Max Pain$59.55$59.00$60.00$60.00$60.00
ATM IV15.0%12.7%17.5%16.4%17.5%
Expected Move4.4%3.6%5.0%4.7%5.0%
HV 20d11.5%9.9%16.2%16.2%12.0%
HV 60d15.8%15.4%16.2%16.2%15.8%
Term Structure1.6%-0.2%3.6%2.1%-0.2%
VWIV15.5%13.4%17.5%13.7%13.4%
Skew 25d6.4%5.2%8.7%7.6%7.0%
Skew 10d10.9%2.5%15.3%8.4%11.2%
Call IV 25d11.6%8.4%14.0%11.7%12.3%
Put IV 25d18.0%15.6%20.0%19.3%19.3%
Bid-Ask Spread %82.6070.6495.2386.3587.28
Gamma HHI0.290.250.350.290.35
Net GEX-86.6K-411.5K42.5K17.0K-411.5K
Net DEX-363.5K-1.2M1.4M-453.0K1.4M
Net VEX-7.5K-10.0K-5.9K-7.0K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume46.25041060
Total OI958.956901,5166961,516

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$58.96$60.0016.4%4.7%16.2%0.0%13.7%7.6%2.1%17.0K-453.0K-7.0K0.0086.35N/AN/A06371325
2007-04-03$59.56$60.0013.3%3.8%13.5%0.0%0.0%8.7%2.9%26.4K-639.0K-6.8K0.0092.25N/AN/A00371319
2007-04-04$59.39$60.0015.9%4.5%13.3%0.0%0.0%6.8%2.3%25.6K-579.1K-6.8K0.0092.33N/AN/A00371319
2007-04-05$59.60$60.0012.7%3.6%13.2%0.0%0.0%7.0%3.6%28.2K-663.6K-6.7K0.0095.23N/AN/A110371319
2007-04-09$59.58$59.0014.5%4.8%13.2%0.0%0.0%6.0%1.6%29.1K-673.3K-6.7K0.0070.84N/AN/A010382319
2007-04-10$59.82$59.0013.8%4.6%13.2%0.0%0.0%6.0%1.6%23.9K-724.6K-6.7K0.0073.02N/AN/A00382329
2007-04-11$59.27$59.0016.1%5.0%9.9%0.0%0.0%6.6%0.9%21.0K-553.2K-6.7K0.0070.64N/AN/A025382329
2007-04-12$59.87$59.0016.0%4.6%10.2%0.0%0.0%6.2%1.3%24.0K-724.7K-6.7K0.0073.26N/AN/A00382334
2007-04-13$60.27$59.0015.5%4.4%10.1%0.0%0.0%6.8%2.0%28.5K-901.5K-6.4K0.0077.41N/AN/A07382334
2007-04-16$61.11$59.0015.2%4.4%10.5%0.0%0.0%5.9%1.4%42.5K-1.2M-5.9K0.0078.00N/AN/A00382327
2007-04-17$60.83$59.0014.8%4.3%10.6%0.0%0.0%5.4%1.7%41.2K-1.1M-5.9K0.0079.65N/AN/A00382327
2007-04-18$60.53$59.0015.0%4.3%10.7%0.0%0.0%7.3%1.3%39.1K-954.3K-6.0K0.0080.38N/AN/A00382327
2007-04-19$60.09$59.0016.3%4.7%10.1%0.0%17.5%5.8%0.7%21.0K-824.3K-6.1K0.0078.17N/AN/A0405382327
2007-04-20$60.68$60.0014.5%4.2%10.6%0.0%17.3%7.1%1.6%-119.6K-387.0K-8.1K0.0083.12N/AN/A0410382732
2007-04-23$60.59$60.0014.1%4.0%10.6%0.0%0.0%6.0%1.6%-302.6K351.9K-10.0K0.0085.15N/AN/A003781,094
2007-04-24$60.44$60.0015.7%4.5%10.7%0.0%13.4%5.6%1.3%-320.6K417.3K-9.9K0.0086.20N/AN/A203781,094
2007-04-25$60.70$60.0013.6%3.9%10.3%0.0%0.0%6.0%2.0%-300.9K320.5K-9.5K0.0086.01N/AN/A0103801,094
2007-04-26$60.80$60.0013.5%3.9%9.9%0.0%0.0%5.5%1.7%-304.1K162.5K-9.2K0.0088.60N/AN/A903801,104
2007-04-27$60.46$60.0015.2%4.4%10.2%0.0%0.0%5.2%1.3%-339.6K412.9K-9.4K0.0088.16N/AN/A3003861,104
2007-04-30$59.49$60.0017.5%5.0%12.0%0.0%0.0%7.0%-0.2%-411.5K1.4M-10.0K0.0087.28N/AN/A004121,104