IWC Options History — January 2008

In January 2008, IWC traded between $46.51 and $52.19. ATM implied volatility averaged 43.2%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 18.0% (HV 20d: 25.2%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 5.07.

Notable Days

  • 2008-01-11: Highest Volume — 82 contracts
  • 2008-01-25: Largest IV spike — 78.4% change
  • 2008-01-09: Highest IV Rank — 55.7%
  • 2008-01-30: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.73$46.51$52.19$52.19$48.74
Max Pain$47.00$45.00$55.00$55.00$45.00
ATM IV43.2%26.9%75.5%32.2%27.7%
Expected Move10.6%7.7%17.4%9.2%8.0%
HV 20d25.2%24.1%26.7%25.4%25.6%
HV 60d25.6%24.5%26.3%24.5%25.3%
IV Rank28.3%14.5%55.7%19.0%15.2%
IV Percentile88.6%75.4%99.6%89.2%75.4%
Term Structure-4.3%-23.8%25.5%-5.8%-7.2%
VWIV46.0%30.2%61.7%61.7%30.2%
Skew 25d3.1%-10.5%38.2%2.4%38.2%
Skew 10d3.2%-21.9%16.0%-1.0%4.3%
Call IV 25d47.3%23.9%80.4%77.7%26.7%
Put IV 25d50.4%29.5%80.1%80.1%64.9%
Bid-Ask Spread %135.5949.44200.00200.00120.13
Gamma HHI0.220.130.790.790.15
Net GEX545-14.0K16.3K-12.0K1.1K
Net DEX442.9K46.8K1.1M237.0K113.4K
Net VEX-1.6K-3.3K-447-447-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.070.0021.670.000.00
Total Volume17.19082050
Total OI374.3819154391249

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$52.19$55.0032.2%9.2%25.4%19.0%0.0%0.0%-5.8%-12.0K237.0K-4470.00200.00N/AN/A002467
2008-01-03$51.54$53.0056.7%16.3%25.5%39.7%0.0%2.4%-23.8%-14.0K471.2K-3.3K0.00157.34N/AN/A60250282
2008-01-04$49.98$0.0060.8%10.3%26.7%43.2%0.0%9.4%-4.9%-10.8K616.8K-3.1K0.00175.28N/AN/A00254282
2008-01-07$50.18$0.0069.1%10.9%24.3%50.3%0.0%10.3%-5.5%-11.3K608.9K-2.9K0.63180.75N/AN/A85253282
2008-01-08$49.02$0.0072.4%11.0%25.3%53.0%0.0%6.9%-3.7%-9.5K729.8K-2.6K2.50179.00N/AN/A1025261282
2008-01-09$49.38$0.0075.5%11.1%25.4%55.7%0.0%7.9%-3.4%-6.7K606.9K-2.6K0.00180.51N/AN/A00251257
2008-01-10$49.86$0.0031.3%9.0%25.0%18.2%0.0%2.9%-9.4%12.6K991.3K-1.7K0.00118.31N/AN/A00251257
2008-01-11$48.66$0.0026.9%7.7%26.0%14.5%0.0%6.4%-1.9%2.2K1.1M-1.3K10.7149.44N/AN/A775251257
2008-01-14$49.22$0.0027.2%7.8%26.6%14.8%0.0%4.9%-1.9%16.3K751.2K-1.0K0.0050.57N/AN/A036258182
2008-01-15$48.38$0.0036.2%10.4%26.6%22.3%0.0%-9.8%9.1%9.5K579.3K-9620.00120.43N/AN/A110258147
2008-01-16$48.66$0.0027.2%7.8%25.7%14.7%0.0%-10.5%-2.8%11.1K589.7K-9350.0087.25N/AN/A020259147
2008-01-17$47.55$0.0044.9%12.9%25.3%29.8%0.0%-2.2%-5.4%5.4K399.9K-1.6K0.00179.60N/AN/A05259167
2008-01-18$46.73$0.0028.8%8.2%25.5%16.1%0.0%4.7%-5.7%2.2K695.5K-70121.6760.70N/AN/A365259167
2008-01-22$46.51$0.0042.9%12.3%24.2%28.0%61.7%-9.9%0.3%6.0K46.8K-1.0K0.00167.36N/AN/A01017642
2008-01-23$47.68$45.0030.2%8.7%24.9%17.3%0.0%-9.4%-7.4%98992.2K-8990.00136.43N/AN/A0017652
2008-01-24$47.66$45.0030.4%8.7%24.5%17.5%0.0%7.1%-6.7%777118.2K-7620.0061.12N/AN/A02217652
2008-01-25$47.25$45.0054.3%15.6%24.1%37.7%0.0%-4.9%-7.2%-1.9K324.0K-2.1K0.00185.15N/AN/A02182147
2008-01-28$48.10$45.0031.8%9.1%24.1%18.7%30.2%6.3%-6.7%35140.1K-1.1K0.0061.78N/AN/A1017672
2008-01-29$48.19$45.0039.4%11.3%24.3%25.0%0.0%3.1%25.5%4.9K63.2K-1.6K0.00188.36N/AN/A0017772
2008-01-30$47.81$45.0060.8%17.4%24.3%43.2%0.0%-0.9%-16.0%4.6K68.6K-1.5K0.00187.80N/AN/A0017772
2008-01-31$48.74$45.0027.7%8.0%25.6%15.2%0.0%38.2%-7.2%1.1K113.4K-1.2K0.00120.13N/AN/A05017772