IWC Options History — September 2007

In September 2007, IWC traded between $55.57 and $58.75. ATM implied volatility averaged 26.8%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.3% (HV 20d: 21.5%). Max pain ranged from $57.00 to $59.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 3.02.

Notable Days

  • 2007-09-26: Highest Volume — 155 contracts
  • 2007-09-11: Largest IV spike — 110.3% change
  • 2007-09-11: Highest IV Rank — 44.5%
  • 2007-09-18: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.23$55.57$58.75$57.46$57.66
Max Pain$58.68$57.00$59.00$57.00$59.00
ATM IV26.8%18.6%62.3%23.6%18.6%
Expected Move7.2%5.3%10.6%6.8%5.3%
HV 20d21.5%18.4%23.7%23.6%20.3%
HV 60d21.5%20.6%22.4%20.8%22.2%
IV Rank14.4%7.4%44.5%11.7%7.4%
IV Percentile82.6%65.1%98.8%82.7%65.1%
Term Structure-0.8%-9.5%2.6%2.6%2.2%
VWIV21.5%17.8%25.3%25.3%17.8%
Skew 25d8.6%2.9%11.9%11.9%5.3%
Skew 10d19.9%9.3%27.3%23.3%9.3%
Call IV 25d22.0%13.3%49.2%16.6%15.3%
Put IV 25d30.5%20.6%52.2%28.6%20.6%
Bid-Ask Spread %78.2348.04151.4656.2685.53
Gamma HHI0.250.150.600.200.60
Net GEX-34.7K-59.4K-1.8K-16.4K-53.0K
Net DEX580.2K179.7K908.2K407.9K675.8K
Net VEX-4.1K-5.7K-3.0K-4.2K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.020.0030.000.000.00
Total Volume22.316015500
Total OI725318855785566

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$57.46$57.0023.6%6.8%23.6%11.7%0.0%11.9%2.6%-16.4K407.9K-4.2K0.0056.26N/AN/A00364421
2007-09-05$56.97$57.0025.7%7.4%23.7%13.5%0.0%10.0%-0.1%-28.4K572.7K-4.1K0.0057.79N/AN/A025364421
2007-09-06$57.11$57.0026.9%7.7%21.0%14.5%25.3%10.0%0.3%-27.5K600.6K-4.4K0.0058.86N/AN/A190364446
2007-09-07$56.01$59.0028.6%8.2%21.2%15.9%0.0%9.8%-1.7%-42.8K835.0K-4.2K0.0063.47N/AN/A00380446
2007-09-10$55.57$59.0029.6%8.4%21.3%16.8%0.0%11.5%-2.6%-51.8K908.2K-3.9K0.0048.04N/AN/A016380446
2007-09-11$56.52$59.0062.3%9.5%21.9%44.5%0.0%2.9%-6.2%-10.6K500.3K-5.1K0.00147.69N/AN/A00380461
2007-09-12$56.09$59.0028.7%7.9%21.1%16.0%0.0%10.7%-1.7%-54.9K821.5K-3.9K0.0058.99N/AN/A00380461
2007-09-13$56.14$59.0027.6%7.9%20.5%15.1%0.0%10.3%-1.0%-56.0K832.5K-3.8K0.0066.03N/AN/A20380461
2007-09-14$56.44$59.0027.7%7.9%18.9%15.2%0.0%9.9%-1.5%-56.4K802.5K-3.6K0.0056.72N/AN/A00380460
2007-09-17$55.83$59.0027.9%8.0%18.4%15.3%0.0%9.9%-0.9%-59.4K865.6K-3.4K0.0056.34N/AN/A50380460
2007-09-18$57.96$59.0037.0%10.6%22.7%23.1%0.0%3.1%-9.5%-1.8K237.0K-4.4K0.00151.46N/AN/A20388467
2007-09-19$58.75$59.0022.2%6.4%23.1%10.5%0.0%8.2%-0.4%-20.6K179.7K-3.5K0.0077.48N/AN/A510387460
2007-09-20$58.37$59.0022.9%6.6%23.0%11.1%0.0%8.5%-0.4%-23.7K451.0K-3.2K0.0081.25N/AN/A00349460
2007-09-21$58.51$59.0021.2%6.1%22.6%9.6%0.0%8.2%0.4%-7.7K399.8K-3.2K0.2079.93N/AN/A153349460
2007-09-24$58.03$59.0020.8%6.0%22.6%9.3%0.0%7.0%1.1%-41.0K537.3K-3.0K0.0079.08N/AN/A77075243
2007-09-25$57.64$59.0020.0%5.7%22.6%8.6%17.8%10.7%1.7%-27.3K391.9K-4.2K0.0389.11N/AN/A311152243
2007-09-26$57.98$59.0018.9%5.4%20.9%7.7%0.0%7.1%1.8%-24.1K357.6K-4.0K30.0089.19N/AN/A5150153244
2007-09-27$58.34$59.0019.2%5.5%19.8%7.9%0.0%7.7%1.6%-55.8K646.4K-5.6K0.0083.08N/AN/A220150394
2007-09-28$57.66$59.0018.6%5.3%20.3%7.4%0.0%5.3%2.2%-53.0K675.8K-5.7K0.0085.53N/AN/A00172394