IWC Options History — December 2007

In December 2007, IWC traded between $51.27 and $55.12. ATM implied volatility averaged 32.9%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.8% (HV 20d: 26.2%). Max pain ranged from $52.00 to $61.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.88.

Notable Days

  • 2007-12-13: Highest Volume — 100 contracts
  • 2007-12-10: Largest IV spike — 162.1% change
  • 2007-12-11: Highest IV Rank — 47.4%
  • 2007-12-05: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.41$51.27$55.12$52.79$52.80
Max Pain$54.20$52.00$61.00$61.00$53.00
ATM IV32.9%20.3%65.7%26.7%25.9%
Expected Move8.2%5.8%15.4%7.7%7.4%
HV 20d26.2%25.1%27.3%26.0%25.3%
HV 60d24.0%23.0%24.8%23.5%24.7%
IV Rank19.6%8.9%47.4%14.3%13.6%
IV Percentile80.0%60.7%99.2%80.1%75.6%
Term Structure0.2%-20.9%20.2%-0.7%1.5%
VWIV26.7%17.2%39.0%29.2%21.7%
Skew 25d5.8%-14.0%18.6%7.3%5.9%
Skew 10d11.0%-27.6%21.0%13.6%19.5%
Call IV 25d30.8%14.7%73.9%21.2%22.9%
Put IV 25d36.6%24.4%59.9%28.5%28.9%
Bid-Ask Spread %102.6026.16155.7093.6681.38
Gamma HHI0.320.210.450.320.29
Net GEX-24.0K-47.4K-282-3.3K-25.7K
Net DEX698.9K-79.7K1.4M975.5K183.5K
Net VEX-2.7K-3.4K-1.9K-2.1K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.008.006.000.00
Total Volume22.550100107
Total OI603.65399808592435

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$52.79$61.0026.7%7.7%26.0%14.3%29.2%7.3%-0.7%-3.3K975.5K-2.1K0.0093.66N/AN/A010293299
2007-12-04$52.24$60.0026.2%7.5%26.0%13.9%0.0%7.4%1.1%-282976.9K-1.9K0.0096.62N/AN/A00293289
2007-12-05$53.15$60.0053.7%15.4%26.6%37.2%0.0%-14.0%-20.9%-5.9K564.3K-3.0K6.00146.17N/AN/A530293289
2007-12-06$54.64$60.0020.3%5.8%26.3%8.9%0.0%9.8%1.3%-45.3K731.2K-2.7K0.0084.68N/AN/A00288319
2007-12-07$54.45$52.0023.5%7.1%26.3%11.6%26.6%8.7%0.5%-42.4K777.5K-2.5K2.2726.16N/AN/A1125288319
2007-12-10$54.76$52.0061.7%6.6%26.0%44.0%0.0%2.5%11.7%-18.3K501.5K-3.3K0.00155.70N/AN/A00285344
2007-12-11$53.51$52.0065.7%10.0%27.3%47.4%0.0%2.4%-11.9%-14.8K661.7K-3.1K1.43153.81N/AN/A710285344
2007-12-12$53.50$52.0046.2%7.6%25.8%30.8%0.0%5.7%20.2%-13.1K962.3K-2.4K0.00139.84N/AN/A00292334
2007-12-13$53.42$52.0033.1%9.5%25.7%19.8%39.0%18.6%0.2%-19.2K688.5K-2.8K0.00113.03N/AN/A0100292334
2007-12-14$52.49$53.0027.0%7.7%26.0%14.6%0.0%5.3%0.2%-24.5K1.4M-2.6K0.0061.37N/AN/A00292434
2007-12-17$51.27$53.0029.2%8.4%27.1%16.4%17.2%7.2%6.6%-20.8K950.4K-3.4K1.14154.43N/AN/A78292434
2007-12-18$52.29$53.0039.5%11.3%27.1%25.1%0.0%11.9%-11.1%-25.0K1.4M-2.5K0.00114.47N/AN/A02294434
2007-12-19$52.51$53.0025.2%7.2%27.1%13.1%0.0%5.0%2.0%-28.6K1.3M-2.4K0.0063.78N/AN/A700294424
2007-12-20$53.34$53.0040.4%11.6%26.9%25.9%0.0%2.5%-12.0%-26.5K735.2K-2.9K0.00155.40N/AN/A051354424
2007-12-21$54.41$53.0022.1%6.3%27.1%10.4%21.7%5.7%2.4%-47.4K764.0K-2.9K8.0078.87N/AN/A864354454
2007-12-24$54.80$53.0021.8%6.3%25.3%10.2%0.0%5.2%3.0%-34.9K53.4K-2.8K0.0078.87N/AN/A00199237
2007-12-26$55.12$53.0020.9%6.0%25.2%9.4%0.0%6.4%4.8%-29.3K-79.7K-2.3K0.0089.84N/AN/A100192207
2007-12-27$53.47$53.0024.4%7.0%25.1%12.4%0.0%6.7%2.2%-29.8K170.2K-2.4K0.0083.44N/AN/A210202207
2007-12-28$53.16$53.0024.6%7.0%25.2%12.5%0.0%5.6%2.6%-24.6K163.5K-2.5K0.0080.53N/AN/A50223207
2007-12-31$52.80$53.0025.9%7.4%25.3%13.6%0.0%5.9%1.5%-25.7K183.5K-2.5K0.0081.38N/AN/A70228207