IWC Options History — July 2007

In July 2007, IWC traded between $55.92 and $61.76. ATM implied volatility averaged 22.8%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 7.8% (HV 20d: 15.0%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 4.30.

Notable Days

  • 2007-07-12: Highest Volume — 297 contracts
  • 2007-07-26: Largest IV spike — 118.8% change
  • 2007-07-30: Highest IV Rank — 65.3%
  • 2007-07-30: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.07$55.92$61.76$61.25$55.94
Max Pain$62.00$62.00$62.00$62.00$62.00
ATM IV22.8%14.1%48.9%16.8%41.4%
Expected Move6.7%4.0%14.0%4.8%11.9%
HV 20d15.0%12.1%18.9%15.8%18.0%
HV 60d14.2%13.5%16.0%13.8%16.0%
IV Rank22.7%7.2%65.3%7.2%52.8%
IV Percentile76.5%19.8%99.3%19.8%96.5%
Term Structure-1.6%-17.5%3.4%1.6%-7.1%
VWIV24.7%14.4%43.7%16.2%34.8%
Skew 25d6.0%-3.3%9.7%9.6%-3.3%
Skew 10d10.8%-11.6%18.9%9.8%-11.6%
Call IV 25d22.3%9.2%66.7%9.5%43.1%
Put IV 25d28.3%18.9%70.4%19.1%39.8%
Bid-Ask Spread %87.2663.67157.4488.02135.65
Gamma HHI0.250.170.470.170.27
Net GEX-115.2K-320.2K82.1K-141.1K20.1K
Net DEX276.0K-756.4K1.0M281.6K1.0M
Net VEX-9.6K-12.0K-6.0K-11.3K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.300.0012.000.001.87
Total Volume26.619029703
Total OI1,473.5241,1411,8191,4801,182

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$61.25$62.0016.8%4.8%15.8%0.0%0.0%9.6%1.6%-141.1K281.6K-11.3K0.0088.02N/AN/A00661819
2007-07-03$61.43$62.0016.7%4.8%15.6%0.0%0.0%6.4%1.5%-131.9K182.3K-11.1K0.0087.07N/AN/A05661819
2007-07-05$61.54$62.0014.1%4.0%15.5%7.2%16.2%9.7%3.4%-132.3K104.8K-10.6K0.0091.55N/AN/A010661814
2007-07-06$61.65$62.0014.2%5.0%14.3%7.4%0.0%6.2%1.2%-114.2K-58.2K-10.4K0.0064.93N/AN/A030661804
2007-07-09$61.71$62.0014.3%5.0%14.1%7.5%17.4%6.2%1.0%-133.2K-66.7K-10.2K0.0065.20N/AN/A50661824
2007-07-10$60.79$62.0017.1%5.4%15.2%12.2%0.0%6.9%0.6%-236.7K873.4K-9.8K12.0063.67N/AN/A112666824
2007-07-11$61.04$62.0017.3%5.4%14.2%12.5%0.0%6.7%0.8%-264.6K750.4K-9.7K0.0065.13N/AN/A00665836
2007-07-12$61.76$62.0017.2%4.9%13.7%12.3%17.1%6.4%1.3%-143.3K-216.9K-9.4K0.1166.21N/AN/A26730665836
2007-07-13$61.73$62.0016.5%4.7%13.7%11.2%16.6%5.6%2.5%-70.2K-756.4K-12.0K0.0066.74N/AN/A055932827
2007-07-16$61.21$62.0018.1%5.2%13.4%14.0%19.6%6.6%1.5%-250.8K11.0K-11.7K0.0067.71N/AN/A02932882
2007-07-17$61.21$62.0018.5%5.3%13.4%14.6%19.4%6.0%1.7%-249.3K-99.0K-11.5K0.0068.86N/AN/A04932883
2007-07-18$61.00$62.0018.2%5.2%13.2%14.0%0.0%7.2%1.5%-296.4K227.8K-10.9K0.0072.18N/AN/A00932887
2007-07-19$61.40$62.0017.8%5.1%12.1%13.4%0.0%6.4%1.9%-256.1K-300.6K-10.7K0.0073.76N/AN/A00932887
2007-07-20$60.39$62.0020.8%5.9%13.5%18.3%17.4%7.3%0.7%-320.2K934.5K-9.9K0.0069.00N/AN/A06932887
2007-07-23$60.40$62.0019.9%5.7%13.2%16.9%0.0%7.1%0.5%82.1K-319.8K-9.5K0.0074.01N/AN/A00772369
2007-07-24$58.81$62.0021.2%6.1%16.1%19.1%14.4%7.3%0.4%59.2K525.5K-7.2K7.5071.53N/AN/A215772369
2007-07-25$58.69$62.0019.9%5.7%16.1%17.0%23.6%7.5%0.7%55.9K678.2K-7.0K1.8772.86N/AN/A3056774378
2007-07-26$57.18$62.0043.6%12.5%17.0%56.5%38.7%2.7%-15.3%41.1K562.7K-8.4K0.00154.06N/AN/A07777439
2007-07-27$55.92$62.0045.7%13.1%18.3%60.0%42.3%3.2%-17.1%28.5K817.8K-7.2K0.00156.79N/AN/A012774427
2007-07-30$56.44$62.0048.9%14.0%18.9%65.3%43.7%3.7%-17.5%35.0K662.2K-7.4K0.00157.44N/AN/A07774415
2007-07-31$55.94$62.0041.4%11.9%18.0%52.8%34.8%-3.3%-7.1%20.1K1.0M-6.0K0.00135.65N/AN/A03774408