IWC Options History — November 2007

In November 2007, IWC traded between $51.37 and $56.40. ATM implied volatility averaged 31.6%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 6.0% (HV 20d: 25.6%). Max pain ranged from $57.00 to $62.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2007-11-21: Highest Volume — 190 contracts
  • 2007-11-02: Largest IV spike — 100.6% change
  • 2007-11-02: Highest IV Rank — 37.9%
  • 2007-11-02: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.88$51.37$56.40$56.04$53.21
Max Pain$60.90$57.00$62.00$57.00$61.00
ATM IV31.6%24.2%54.5%27.2%48.1%
Expected Move9.0%7.3%15.6%7.8%13.8%
HV 20d25.6%23.1%29.8%23.8%26.2%
HV 60d22.5%21.7%23.8%22.0%23.7%
IV Rank18.5%12.2%37.9%14.7%32.5%
IV Percentile88.6%76.7%98.6%87.1%97.0%
Term Structure-3.3%-23.8%9.8%-2.5%-20.4%
VWIV32.2%25.7%54.5%28.8%29.6%
Skew 25d3.6%-26.9%13.3%7.3%-4.4%
Skew 10d9.4%-33.3%20.9%20.9%-18.2%
Call IV 25d30.2%16.3%68.9%23.4%68.9%
Put IV 25d33.8%26.9%66.8%30.6%64.5%
Bid-Ask Spread %92.1228.98153.1028.98146.71
Gamma HHI0.410.270.530.340.31
Net GEX-34.7K-64.9K4.8K-40.9K-2.6K
Net DEX1.8M526.1K2.3M1.8M561.7K
Net VEX-3.6K-6.0K-2.2K-5.2K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.005.000.000.00
Total Volume26.476019024
Total OI920.2385881,0851,074588

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$56.04$57.0027.2%7.8%23.8%14.7%0.0%7.3%-2.5%-40.9K1.8M-5.2K0.0028.98N/AN/A02514560
2007-11-02$56.40$57.0054.5%15.6%23.1%37.9%0.0%0.5%-23.8%-17.1K1.6M-6.0K0.00153.10N/AN/A10514560
2007-11-05$55.75$62.0028.3%7.6%23.2%15.7%0.0%10.5%-1.1%-52.9K1.9M-4.7K0.0066.84N/AN/A00515560
2007-11-06$56.31$62.0026.6%7.4%23.5%14.3%0.0%9.6%-0.2%-51.9K1.8M-5.0K0.0068.56N/AN/A00515560
2007-11-07$54.53$62.0029.1%7.6%25.6%16.3%0.0%9.3%0.2%-54.8K2.2M-3.8K3.0076.44N/AN/A515515560
2007-11-08$54.71$62.0027.2%8.5%25.6%14.8%28.8%13.3%-7.6%-59.4K2.1M-4.1K0.0097.83N/AN/A100520555
2007-11-09$53.99$62.0029.4%7.8%25.4%16.6%27.2%8.5%-0.3%-51.6K2.3M-3.5K1.0079.81N/AN/A55530555
2007-11-12$53.77$62.0031.5%8.0%25.3%18.4%25.7%8.1%-0.8%-50.7K2.3M-3.2K0.0081.58N/AN/A040535550
2007-11-13$55.06$61.0025.8%7.3%27.2%13.6%0.0%7.5%9.8%-64.9K1.9M-3.8K0.0081.86N/AN/A00535510
2007-11-14$54.63$61.0024.2%7.4%27.1%12.2%0.0%8.8%0.5%-62.4K1.9M-3.5K0.0079.03N/AN/A01535510
2007-11-15$53.93$61.0027.6%7.9%27.3%15.0%0.0%9.6%-0.8%-53.7K2.0M-3.1K0.0079.98N/AN/A00535509
2007-11-16$53.57$61.0027.7%7.9%24.7%15.2%0.0%8.8%-0.6%-50.6K2.1M-2.9K0.0080.09N/AN/A05535509
2007-11-19$52.39$61.0030.8%8.8%24.2%17.8%27.3%6.3%-0.6%-33.1K2.2M-2.2K0.0086.00N/AN/A20203504
2007-11-20$52.60$61.0027.9%8.0%24.0%15.3%0.0%5.7%0.8%-34.4K2.2M-2.2K0.0088.60N/AN/A00205504
2007-11-21$51.72$61.0040.6%11.6%24.3%26.1%54.5%-17.8%-10.9%-33.2K1.9M-3.3K0.19139.36N/AN/A16030205504
2007-11-23$52.64$61.0026.2%7.5%25.7%13.9%0.0%7.1%2.5%-13.7K1.8M-2.9K0.0089.69N/AN/A05323484
2007-11-26$51.37$61.0030.4%8.7%25.9%17.5%29.6%5.4%1.6%3.7K1.8M-2.9K0.0093.22N/AN/A035363489
2007-11-27$51.82$61.0029.3%8.4%26.3%16.5%0.0%4.6%0.2%4.8K1.6M-2.9K0.0092.81N/AN/A0150363464
2007-11-28$53.61$61.0044.5%12.8%29.8%29.4%0.0%-26.9%-14.7%-7.5K526.1K-3.4K5.00121.09N/AN/A15363304
2007-11-29$53.43$61.0027.4%7.9%29.3%14.9%0.0%-6.3%0.1%-1.8K604.4K-3.1K0.00102.96N/AN/A750364299
2007-11-30$53.21$61.0048.1%13.8%26.2%32.5%0.0%-4.4%-20.4%-2.6K561.7K-3.2K0.00146.71N/AN/A40289299