IWC Options History — February 2008

In February 2008, IWC traded between $47.15 and $49.62. ATM implied volatility averaged 29.6%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 6.5% (HV 20d: 23.1%). Max pain ranged from $45.00 to $54.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.24.

Notable Days

  • 2008-02-21: Highest Volume — 2,000 contracts
  • 2008-02-19: Largest IV spike — 164.9% change
  • 2008-02-01: Highest IV Rank — 44.3%
  • 2008-02-01: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.35$47.15$49.62$49.62$47.15
Max Pain$52.65$45.00$54.00$45.00$53.00
ATM IV29.6%17.2%62.1%62.1%27.9%
Expected Move8.1%4.9%17.8%17.8%8.0%
HV 20d23.1%21.6%26.4%26.4%22.1%
HV 60d24.8%23.6%25.6%25.6%24.1%
IV Rank16.8%6.3%44.3%44.3%15.3%
IV Percentile70.3%31.0%97.2%97.2%73.0%
Term Structure-0.7%-24.7%5.6%-23.8%1.0%
VWIV24.5%23.1%25.8%23.1%25.8%
Skew 25d1.3%-20.3%13.1%13.1%4.5%
Skew 10d5.6%-39.0%18.7%18.7%14.7%
Call IV 25d28.9%20.7%74.4%74.4%25.4%
Put IV 25d30.2%13.8%87.6%87.6%29.9%
Bid-Ask Spread %57.9035.13187.65187.6542.33
Gamma HHI0.270.150.440.150.43
Net GEX-101.4K-345.6K3.2K62-344.2K
Net DEX1.4M160.3K4.7M160.3K4.7M
Net VEX-6.1K-15.9K-1.7K-2.1K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.001.670.000.01
Total Volume118.9502,0001202
Total OI998.452972,4572972,457

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$49.62$45.0062.1%17.8%26.4%44.3%0.0%13.1%-23.8%62160.3K-2.1K0.00187.65N/AN/A10177120
2008-02-04$49.39$54.0028.1%7.0%24.2%15.5%23.1%1.0%2.5%-3.7K223.1K-1.8K0.0058.85N/AN/A610178120
2008-02-05$48.34$53.0031.2%8.4%25.2%18.2%0.0%7.2%1.8%2.3K220.7K-1.9K0.0057.78N/AN/A00239120
2008-02-06$47.67$53.0030.9%8.5%24.3%17.9%0.0%8.6%2.1%42253.9K-1.7K0.0051.73N/AN/A03239120
2008-02-07$48.22$53.0031.2%7.3%24.6%18.1%0.0%-0.3%1.8%3.0K205.3K-1.8K0.0040.74N/AN/A040239117
2008-02-08$47.87$53.0029.0%7.2%24.3%16.3%0.0%-0.6%2.1%-3.2K335.7K-2.2K0.0042.20N/AN/A20239157
2008-02-11$48.09$53.0030.5%7.3%22.9%17.5%0.0%-0.7%1.8%-2.4K329.7K-2.2K0.0042.14N/AN/A00241157
2008-02-12$48.45$53.0030.4%7.1%22.7%17.4%0.0%-0.5%2.2%-1.9K321.7K-2.2K0.0042.74N/AN/A00241157
2008-02-13$49.57$53.0023.8%6.9%23.3%11.8%0.0%0.8%3.2%2.7K254.8K-2.3K0.0043.60N/AN/A30241157
2008-02-14$48.54$53.0024.4%7.0%24.5%12.4%0.0%-0.5%2.0%-797313.7K-2.2K0.0044.25N/AN/A00244157
2008-02-15$48.06$53.0017.2%4.9%23.3%6.3%0.0%-6.9%5.6%-5.1K362.1K-2.0K1.6744.39N/AN/A610244157
2008-02-19$48.17$53.0045.6%13.1%22.3%30.4%0.0%-10.2%-24.7%3.2K182.9K-2.8K0.00123.92N/AN/A00249157
2008-02-20$48.53$53.0025.8%7.4%22.3%13.6%0.0%5.0%0.8%-4.0K349.6K-2.2K0.0035.13N/AN/A00249157
2008-02-21$47.70$53.0026.4%7.6%21.6%14.1%0.0%5.3%1.2%-6.8K397.6K-2.0K0.0035.51N/AN/A02,000249157
2008-02-22$47.50$53.0026.8%7.7%21.6%14.4%0.0%-20.3%3.0%-332.0K4.5M-15.9K0.0099.01N/AN/A0502492,157
2008-02-25$48.31$53.0025.7%7.4%22.2%13.5%0.0%4.5%0.9%-339.2K3.9M-15.6K0.0040.03N/AN/A102492,207
2008-02-26$48.81$53.0024.1%6.9%21.6%12.1%0.0%5.4%1.5%-326.5K3.5M-15.1K0.0043.78N/AN/A002502,207
2008-02-27$48.79$53.0024.9%7.1%21.6%12.8%0.0%5.7%0.7%-324.2K3.5M-15.0K0.0041.53N/AN/A002502,207
2008-02-28$48.26$53.0026.4%7.6%21.8%14.1%0.0%4.2%0.8%-345.6K4.0M-15.2K0.0040.63N/AN/A002502,207
2008-02-29$47.15$53.0027.9%8.0%22.1%15.3%25.8%4.5%1.0%-344.2K4.7M-15.6K0.0142.33N/AN/A20022502,207