IWC Options History — August 2007

In August 2007, IWC traded between $54.20 and $57.16. ATM implied volatility averaged 33.1%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 8.0% (HV 20d: 25.1%). Max pain ranged from $54.00 to $62.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 9.45.

Notable Days

  • 2007-08-28: Highest Volume — 484 contracts
  • 2007-08-15: Largest IV spike — 338.0% change
  • 2007-08-15: Highest IV Rank — 100.0%
  • 2007-08-02: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.07$54.20$57.16$56.04$56.83
Max Pain$57.26$54.00$62.00$62.00$57.00
ATM IV33.1%22.6%127.8%49.9%22.6%
Expected Move8.3%6.5%14.8%14.3%6.5%
HV 20d25.1%17.9%28.4%17.9%23.4%
HV 60d19.1%16.0%20.9%16.0%20.7%
IV Rank27.7%10.9%100.0%66.9%10.9%
IV Percentile91.6%82.0%100.0%99.3%82.0%
Term Structure-3.3%-24.4%15.3%-21.5%15.3%
VWIV24.7%14.4%50.6%50.6%15.2%
Skew 25d8.7%-9.5%14.2%5.0%2.7%
Skew 10d18.3%-9.5%38.0%-3.6%24.3%
Call IV 25d27.3%15.8%67.4%64.5%54.7%
Put IV 25d36.0%27.0%71.3%69.5%57.4%
Bid-Ask Spread %87.0937.12154.03152.55154.03
Gamma HHI0.190.130.340.300.18
Net GEX16.9K-27.8K51.2K30.6K-6.0K
Net DEX486.6K-1.0M1.6M820.0K342.6K
Net VEX-4.5K-7.4K-2.6K-6.7K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.450.0062.670.065.00
Total Volume50.95704842924
Total OI1,130.0436931,2901,185761

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$56.04$62.0049.9%14.3%17.9%66.9%50.6%5.0%-21.5%30.6K820.0K-6.7K0.00152.55N/AN/A029774411
2007-08-02$56.58$62.0051.7%14.8%18.5%70.0%0.0%3.9%-24.0%41.8K590.1K-7.0K0.00153.27N/AN/A00774382
2007-08-03$54.52$62.0023.6%6.8%21.7%23.1%23.5%8.5%1.7%2.1K1.6M-2.6K0.0679.36N/AN/A704774382
2007-08-06$54.81$54.0025.2%7.4%22.0%25.8%14.4%9.7%-1.9%19.3K1.4M-3.3K0.1673.60N/AN/A589844386
2007-08-07$55.38$54.0024.1%7.1%22.4%24.0%21.0%9.0%0.2%26.3K1.0M-3.5K0.0072.85N/AN/A022888377
2007-08-08$57.12$54.0040.4%10.4%25.6%51.1%32.8%12.7%-24.4%51.2K698.4K-4.9K0.00136.73N/AN/A340888393
2007-08-09$56.16$57.0025.3%7.0%25.4%25.8%23.3%9.0%0.0%29.4K956.6K-3.9K0.0072.54N/AN/A010881393
2007-08-10$56.40$57.0024.5%7.0%25.5%24.6%23.2%8.3%0.0%32.0K961.4K-4.0K30.0072.57N/AN/A130881398
2007-08-13$55.84$57.0026.6%7.3%25.6%28.0%0.0%9.3%-1.3%26.9K1.0M-3.9K0.0067.92N/AN/A00882408
2007-08-14$54.87$57.0029.2%7.8%25.9%32.4%24.0%10.4%-1.2%14.6K119.4K-3.4K15.0076.37N/AN/A115882208
2007-08-15$54.20$57.00127.8%10.3%26.0%100.0%32.8%-9.5%-9.5%46.5K-1.0M-7.4K62.67151.85N/AN/A3188883223
2007-08-16$55.48$57.0028.8%8.3%27.7%16.1%36.3%11.0%-3.1%-13.3K275.6K-4.5K0.0072.63N/AN/A013884362
2007-08-17$56.42$57.0028.4%8.1%28.4%15.8%24.9%10.8%-2.2%11.9K-45.6K-4.9K0.0068.08N/AN/A20884349
2007-08-20$56.24$57.0028.6%8.2%28.4%15.9%27.3%12.0%-1.1%21.1K238.2K-4.7K0.0075.10N/AN/A570827332
2007-08-21$56.46$57.0028.8%8.3%27.1%16.1%23.1%11.1%-1.4%31.9K181.5K-4.7K0.0051.80N/AN/A20830332
2007-08-22$57.15$57.0025.2%7.2%27.6%13.1%0.0%10.3%-1.1%36.5K71.9K-4.6K0.0080.85N/AN/A01788332
2007-08-23$56.57$57.0024.8%7.1%26.2%12.7%25.1%14.2%-0.5%24.8K177.3K-4.4K0.0078.95N/AN/A01788332
2007-08-24$57.16$57.0025.0%7.2%25.2%12.9%0.0%10.7%-0.6%13.3K206.8K-3.9K0.0077.78N/AN/A300788333
2007-08-27$56.76$57.0022.9%6.6%25.1%11.1%14.5%11.1%-0.1%8.7K214.4K-4.0K0.0091.86N/AN/A03818333
2007-08-28$55.49$57.0026.9%7.7%26.3%14.5%17.6%9.3%-0.9%-23.3K482.6K-3.5K0.0037.12N/AN/A4840818332
2007-08-29$56.65$57.0024.1%6.9%27.3%12.1%0.0%10.5%0.7%-10.1K292.3K-3.6K0.0051.01N/AN/A070361332
2007-08-30$56.48$57.0026.3%7.5%27.1%14.0%14.5%10.1%0.1%-27.8K577.3K-4.2K10.0054.28N/AN/A110361402
2007-08-31$56.83$57.0022.6%6.5%23.4%10.9%15.2%2.7%15.3%-6.0K342.6K-4.9K5.00154.03N/AN/A420360401