IWC Options History — October 2007

In October 2007, IWC traded between $56.85 and $60.35. ATM implied volatility averaged 23.0%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.2% (HV 20d: 19.8%). Max pain ranged from $57.00 to $60.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 15.29.

Notable Days

  • 2007-10-10: Highest Volume — 276 contracts
  • 2007-10-19: Largest IV spike — 77.2% change
  • 2007-10-25: Highest IV Rank — 28.3%
  • 2007-10-25: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.86$56.85$60.35$58.96$58.29
Max Pain$59.17$57.00$60.00$59.00$57.00
ATM IV23.0%15.6%43.2%17.0%22.5%
Expected Move6.7%4.9%12.4%4.9%6.5%
HV 20d19.8%15.0%21.6%21.6%19.7%
HV 60d22.5%21.2%22.9%22.7%21.3%
IV Rank11.2%4.9%28.3%6.1%10.8%
IV Percentile71.3%31.4%96.1%51.3%75.1%
Term Structure-1.0%-15.4%2.1%1.9%-0.6%
VWIV20.1%14.4%26.0%14.4%18.6%
Skew 25d8.0%-1.0%24.4%9.6%8.6%
Skew 10d15.0%-22.6%26.0%14.8%16.3%
Call IV 25d20.5%10.1%59.9%11.7%18.1%
Put IV 25d28.5%20.0%63.2%21.3%26.7%
Bid-Ask Spread %58.3822.00154.7890.8826.23
Gamma HHI0.340.270.570.570.28
Net GEX3.3K-56.2K56.8K-51.7K17.1K
Net DEX497.3K-286.1K1.2M448.3K1.0M
Net VEX-7.3K-8.8K-5.8K-5.8K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.290.0095.000.0050.00
Total Volume33.95702764010
Total OI8965661,1075661,064

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$58.96$59.0017.0%4.9%21.6%6.1%0.0%9.6%1.9%-51.7K448.3K-5.8K0.0090.88N/AN/A400172394
2007-10-02$59.37$59.0017.0%4.9%21.4%6.1%14.4%9.9%2.1%-36.0K250.6K-6.1K0.0093.08N/AN/A20212394
2007-10-03$58.87$59.0018.5%5.3%21.4%7.4%15.5%7.5%1.0%-36.1K307.5K-6.0K0.0081.47N/AN/A30214394
2007-10-04$59.22$59.0018.7%5.3%21.5%7.5%0.0%9.2%1.4%-33.9K284.7K-6.0K0.0092.21N/AN/A00217394
2007-10-05$60.18$60.0015.6%5.1%20.5%4.9%0.0%6.6%2.1%-28.2K-29.8K-5.8K1.0073.44N/AN/A2020217394
2007-10-08$59.97$60.0017.3%5.4%20.2%6.3%0.0%6.5%1.0%-29.6K61.8K-6.2K95.0062.18N/AN/A195237413
2007-10-09$60.35$60.0017.6%5.5%19.6%6.6%0.0%7.7%0.7%-56.2K288.5K-7.1K0.0070.33N/AN/A030238508
2007-10-10$60.30$60.0018.2%5.6%19.3%7.1%17.7%6.8%0.2%-51.8K259.8K-6.9K0.0425.82N/AN/A26610238489
2007-10-11$59.55$60.0019.5%5.6%20.1%8.2%0.0%6.7%0.4%43.2K-43.3K-8.7K0.0024.87N/AN/A00504499
2007-10-12$59.96$60.0019.2%5.5%20.1%7.9%23.4%6.5%0.6%56.8K-286.1K-8.8K0.0025.10N/AN/A05504499
2007-10-15$59.29$60.0022.1%6.3%20.2%10.5%0.0%7.8%1.0%45.9K120.9K-8.5K0.0023.46N/AN/A053504504
2007-10-16$58.83$60.0022.5%6.5%15.9%10.8%22.5%7.5%-0.0%21.3K440.8K-8.7K11.0029.51N/AN/A222504554
2007-10-17$59.05$60.0021.1%6.0%15.2%9.5%21.1%7.2%0.6%32.8K400.5K-8.6K0.0024.32N/AN/A120506550
2007-10-18$58.91$60.0021.2%6.1%15.0%9.7%0.0%7.7%1.6%35.0K393.9K-8.6K0.0025.18N/AN/A040517550
2007-10-19$56.85$60.0037.5%10.8%19.7%23.5%0.0%-1.0%-6.0%-11.6K1.2M-8.2K0.00150.04N/AN/A020517590
2007-10-22$57.95$60.0024.4%7.0%20.8%12.4%21.6%8.3%-0.4%12.7K1.1M-7.7K26.5037.19N/AN/A253487550
2007-10-23$58.34$60.0041.2%11.8%20.8%26.6%0.0%24.4%-12.1%36.2K794.9K-7.6K0.00138.53N/AN/A00489500
2007-10-24$57.77$60.0024.4%7.0%21.0%12.4%26.0%8.3%-0.9%17.5K977.9K-6.9K0.0022.61N/AN/A230489500
2007-10-25$57.59$57.0043.2%12.4%20.9%28.3%0.0%3.4%-15.4%13.8K547.1K-7.9K0.00154.78N/AN/A10512500
2007-10-26$58.28$57.0022.6%6.5%20.9%10.8%0.0%8.0%-0.0%37.7K823.9K-6.9K50.0022.39N/AN/A150513500
2007-10-29$58.25$57.0022.9%6.6%19.3%11.1%0.0%7.8%-0.2%37.7K859.7K-6.7K0.0027.15N/AN/A00513500
2007-10-30$57.64$57.0024.5%7.0%19.3%12.5%0.0%9.0%-1.6%2.4K1.2M-6.7K0.0022.00N/AN/A00514550
2007-10-31$58.29$57.0022.5%6.5%19.7%10.8%18.6%8.6%-0.6%17.1K1.0M-6.9K0.0026.23N/AN/A010514550