IWC Options History — June 2007

In June 2007, IWC traded between $59.67 and $61.99. ATM implied volatility averaged 18.5%. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.3% (HV 20d: 14.2%). Max pain ranged from $59.00 to $62.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 14.69.

Notable Days

  • 2007-06-14: Highest Volume — 374 contracts
  • 2007-06-08: Largest IV spike — 275.0% change
  • 2007-06-08: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.88$59.67$61.99$61.70$60.50
Max Pain$61.86$59.00$62.00$59.00$62.00
ATM IV18.5%9.8%69.6%12.8%18.5%
Expected Move4.9%3.7%6.9%3.7%5.3%
HV 20d14.2%13.0%15.2%13.3%15.0%
HV 60d13.0%12.3%13.6%12.9%13.6%
Term Structure1.0%-12.0%3.2%2.8%1.2%
VWIV16.4%14.5%18.2%15.1%18.2%
Skew 25d6.6%1.3%9.3%7.8%7.5%
Skew 10d12.3%-7.5%17.4%3.3%14.5%
Call IV 25d14.5%8.1%36.7%8.1%13.6%
Put IV 25d21.0%15.9%38.0%15.9%21.2%
Bid-Ask Spread %77.8260.23147.9995.4979.43
Gamma HHI0.200.150.290.220.16
Net GEX-186.5K-353.8K-41.0K-121.3K-169.6K
Net DEX684.9K-852.1K2.1M-852.1K1.1M
Net VEX-9.8K-13.5K-5.4K-5.4K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.690.00126.000.060.30
Total Volume87.09503742000
Total OI1,644.5241,1172,0351,4171,480

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$61.70$59.0012.8%3.7%13.3%0.0%0.0%7.8%2.8%-121.3K-852.1K-5.4K0.0095.49N/AN/A02003781,039
2007-06-04$61.76$62.0013.2%4.4%13.3%0.0%15.1%6.7%1.2%-196.2K-383.5K-6.6K0.0668.04N/AN/A5033781,239
2007-06-05$61.32$62.0015.9%4.9%13.6%0.0%0.0%5.9%0.3%-196.1K-188.5K-7.1K0.0067.86N/AN/A004261,239
2007-06-06$60.99$62.0014.9%4.9%13.7%0.0%18.1%5.8%0.5%-212.1K293.9K-7.3K0.0066.18N/AN/A01584261,239
2007-06-07$60.08$62.0018.6%5.3%14.7%0.0%0.0%5.8%1.1%-308.1K1.6M-9.1K4.6360.23N/AN/A8374261,397
2007-06-08$60.59$62.0069.6%6.9%13.4%0.0%0.0%1.3%-12.0%-260.2K1.7M-10.2K0.00147.99N/AN/A0404261,396
2007-06-11$60.56$62.0014.7%5.0%13.0%0.0%15.1%5.8%1.3%-283.6K822.9K-7.7K0.0067.11N/AN/A15004261,436
2007-06-12$59.67$62.0017.0%5.1%13.7%0.0%0.0%6.5%1.2%-353.8K2.1M-8.0K0.0066.33N/AN/A905011,436
2007-06-13$60.59$62.009.8%4.7%14.2%0.0%17.8%6.0%1.6%-215.3K695.9K-7.2K126.0069.40N/AN/A11265091,436
2007-06-14$60.84$62.0016.2%4.6%14.2%0.0%0.0%5.8%2.1%-227.1K654.9K-7.9K0.4273.05N/AN/A2641105101,525
2007-06-15$61.57$62.0014.7%4.2%14.6%0.0%14.5%7.8%3.2%-41.0K-171.9K-9.3K0.8076.58N/AN/A20165091,435
2007-06-18$61.63$62.0015.6%4.5%14.5%0.0%0.0%6.6%1.7%-121.2K293.2K-8.9K0.0074.43N/AN/A2720389728
2007-06-19$61.99$62.0015.0%4.3%14.1%0.0%16.1%5.6%2.1%-44.0K-531.8K-12.0K0.3078.12N/AN/A309661728
2007-06-20$60.98$62.0016.3%4.7%15.1%0.0%0.0%6.8%1.5%-97.3K320.8K-11.8K0.0076.89N/AN/A0210661736
2007-06-21$61.04$62.0017.2%4.9%15.0%0.0%0.0%7.0%1.2%-158.9K805.8K-13.5K0.0076.81N/AN/A00661927
2007-06-22$60.58$62.0016.5%4.7%14.4%0.0%0.0%8.0%2.0%-183.9K1.3M-13.1K0.0075.96N/AN/A01661927
2007-06-25$60.17$62.0019.5%5.6%14.3%0.0%0.0%7.5%1.7%-193.8K1.6M-12.6K0.0074.81N/AN/A00661927
2007-06-26$60.01$62.0019.1%5.5%14.1%0.0%0.0%7.1%1.3%-205.1K1.7M-12.2K0.0075.60N/AN/A05661927
2007-06-27$60.99$62.0016.4%4.7%15.2%0.0%18.2%9.3%2.7%-194.2K928.3K-12.5K0.0081.01N/AN/A0100661923
2007-06-28$60.95$62.0016.7%4.8%15.1%0.0%0.0%7.2%1.9%-132.7K528.9K-11.8K0.0082.81N/AN/A010661823
2007-06-29$60.50$62.0018.5%5.3%15.0%0.0%0.0%7.5%1.2%-169.6K1.1M-11.3K0.0079.43N/AN/A00661819