IWC Options History — May 2007

In May 2007, IWC traded between $58.93 and $61.24. ATM implied volatility averaged 15.8%. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.4% (HV 20d: 13.4%). Max pain ranged from $59.00 to $60.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.68.

Notable Days

  • 2007-05-17: Highest Volume — 537 contracts
  • 2007-05-10: Largest IV spike — 52.1% change
  • 2007-05-15: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.14$58.93$61.24$59.49$61.24
Max Pain$59.14$59.00$60.00$60.00$59.00
ATM IV15.8%12.0%18.5%17.3%15.0%
Expected Move4.7%4.1%5.3%5.0%4.3%
HV 20d13.4%11.9%15.3%11.9%13.1%
HV 60d15.8%12.9%16.8%15.7%12.9%
Term Structure1.4%0.5%3.2%0.5%1.2%
VWIV14.0%7.3%21.2%7.7%15.3%
Skew 25d6.7%5.9%7.9%6.6%7.0%
Skew 10d12.3%5.4%17.3%12.9%5.4%
Call IV 25d12.3%9.6%15.2%12.1%10.5%
Put IV 25d18.9%17.0%21.4%18.8%17.5%
Bid-Ask Spread %80.2169.1192.0688.1691.94
Gamma HHI0.330.210.600.350.21
Net GEX-390.8K-887.3K-109.9K-418.3K-149.7K
Net DEX698.3K-395.9K2.6M1.3M-395.9K
Net VEX-7.5K-9.8K-5.4K-9.8K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.0016.830.000.00
Total Volume37.7270537152
Total OI1,493.7731,2122,0591,5161,415

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$59.49$60.0017.3%5.0%11.9%0.0%7.7%6.6%0.5%-418.3K1.3M-9.8K0.0088.16N/AN/A0154121,104
2007-05-02$60.46$60.0016.0%4.6%12.8%0.0%0.0%7.3%0.8%-360.0K399.5K-9.1K0.0091.91N/AN/A104121,119
2007-05-03$60.42$60.0016.1%4.6%12.7%0.0%0.0%7.2%1.0%-370.2K453.9K-9.0K0.0092.06N/AN/A004131,119
2007-05-04$60.69$59.0013.0%4.5%12.7%0.0%0.0%5.9%2.0%-343.6K70.9K-8.4K0.0071.89N/AN/A104131,119
2007-05-07$60.64$59.0013.3%4.5%12.7%0.0%0.0%6.0%1.6%-371.3K25.0K-7.7K0.0072.67N/AN/A104141,119
2007-05-08$60.44$59.0015.7%4.8%12.8%0.0%0.0%5.9%1.7%-440.2K213.3K-7.7K0.0072.94N/AN/A004151,119
2007-05-09$60.56$59.0012.0%4.4%12.2%0.0%0.0%5.9%2.0%-446.7K3.0K-7.3K0.0073.18N/AN/A004151,119
2007-05-10$59.47$59.0018.3%5.2%13.5%0.0%0.0%6.3%1.3%-568.3K1.6M-8.1K0.0069.11N/AN/A004151,119
2007-05-11$60.05$59.0017.0%4.9%13.8%0.0%0.0%6.8%1.7%-523.5K580.4K-7.5K0.0073.31N/AN/A004151,119
2007-05-14$59.52$59.0016.9%4.8%13.0%0.0%0.0%6.9%2.4%-692.9K1.4M-6.9K0.0072.99N/AN/A014151,119
2007-05-15$58.93$59.0018.5%5.3%13.4%0.0%21.2%6.2%1.4%-598.4K2.3M-6.6K0.0072.58N/AN/A054151,120
2007-05-16$59.21$59.0018.2%5.2%13.5%0.0%0.0%7.9%1.3%-668.5K1.8M-6.0K7.5075.47N/AN/A2154151,120
2007-05-17$59.12$59.0017.8%5.1%13.3%0.0%18.0%6.6%1.8%-614.3K2.0M-5.4K0.0069.60N/AN/A05374171,105
2007-05-18$59.52$59.0015.8%4.5%13.0%0.0%7.3%7.5%3.2%-887.3K2.6M-8.0K0.5077.09N/AN/A1054171,642
2007-05-21$60.26$59.0016.1%4.6%13.8%0.0%15.3%7.0%0.6%-129.6K128.5K-7.0K1.0078.85N/AN/A66379837
2007-05-22$60.82$59.0014.9%4.3%14.2%0.0%9.3%7.4%1.7%-109.9K-302.6K-6.4K16.8384.15N/AN/A12202381831
2007-05-23$60.56$59.0014.2%4.1%14.2%0.0%18.0%6.1%1.5%-176.5K183.2K-8.1K1.0085.75N/AN/A113771,033
2007-05-24$59.76$59.0015.3%4.4%14.9%0.0%15.3%7.4%1.1%-205.8K880.7K-8.6K0.0085.12N/AN/A203761,034
2007-05-25$60.33$59.0015.8%4.5%15.3%0.0%0.0%6.3%0.6%-188.6K428.9K-7.9K0.0086.68N/AN/A003761,034
2007-05-29$60.67$59.0015.0%4.3%14.1%0.0%0.0%6.3%0.7%-169.6K-70.7K-6.9K0.0089.53N/AN/A053761,034
2007-05-30$61.00$59.0015.1%4.3%14.2%0.0%0.0%6.6%1.1%-163.3K-199.2K-6.6K0.0089.70N/AN/A003761,039
2007-05-31$61.24$59.0015.0%4.3%13.1%0.0%0.0%7.0%1.2%-149.7K-395.9K-6.2K0.0091.94N/AN/A203761,039