IWC Options History — March 2008

In March 2008, IWC traded between $43.81 and $47.42. ATM implied volatility averaged 33.4%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.6% (HV 20d: 27.8%). Max pain ranged from $48.00 to $49.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 73.83.

Notable Days

  • 2008-03-07: Highest Volume — 1,002 contracts
  • 2008-03-07: Largest IV spike — 131.3% change
  • 2008-03-07: Highest IV Rank — 50.1%
  • 2008-03-25: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.88$43.81$47.42$46.81$46.58
Max Pain$48.20$48.00$49.00$49.00$48.00
ATM IV33.4%27.3%68.9%28.6%27.3%
Expected Move9.2%7.8%14.6%8.2%7.8%
HV 20d27.8%19.8%34.3%21.0%33.0%
HV 60d25.4%22.9%27.4%24.1%26.9%
IV Rank20.0%14.8%50.1%15.9%14.8%
IV Percentile77.1%62.7%98.0%74.2%62.7%
Term Structure-3.2%-19.6%0.8%0.3%0.7%
VWIV31.2%27.5%38.1%38.1%27.5%
Skew 25d5.5%1.4%8.7%4.5%6.5%
Skew 10d12.0%-4.7%23.6%10.1%19.2%
Call IV 25d32.8%24.0%69.2%26.3%24.6%
Put IV 25d38.2%26.5%72.8%30.8%31.0%
Bid-Ask Spread %62.3733.41142.2842.1756.32
Gamma HHI0.420.370.460.390.43
Net GEX-372.8K-546.0K-218.6K-319.7K-546.0K
Net DEX5.3M4.0M6.9M4.7M5.0M
Net VEX-13.1K-16.2K-10.5K-16.2K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio73.830.00500.00500.000.00
Total Volume85.501,002020
Total OI2,602.32,4332,7332,6552,486

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$46.81$49.0028.6%8.2%21.0%15.9%0.0%4.5%0.3%-319.7K4.7M-16.2K0.0042.17N/AN/A004502,205
2008-03-04$46.51$49.0028.0%8.0%21.0%15.4%0.0%3.5%0.0%-332.8K4.8M-15.7K0.0039.09N/AN/A004502,205
2008-03-05$46.52$49.0027.3%7.8%19.8%14.8%0.0%3.7%0.5%-340.9K4.7M-15.6K0.0039.15N/AN/A004502,205
2008-03-06$45.20$49.0029.8%8.5%21.6%16.9%0.0%4.2%0.1%-325.8K5.9M-14.3K0.0044.06N/AN/A004502,205
2008-03-07$45.02$48.0068.9%11.7%21.0%50.1%38.1%2.2%-19.6%-218.6K5.0M-15.8K500.00138.62N/AN/A21,0004502,205
2008-03-10$43.81$48.0033.3%8.8%22.6%19.9%27.5%6.9%0.1%-297.7K6.9M-11.5K0.0065.28N/AN/A05204482,205
2008-03-11$45.44$48.0027.6%8.2%26.8%15.1%0.0%7.2%0.8%-371.1K5.8M-13.5K0.0034.14N/AN/A004482,185
2008-03-12$45.18$48.0027.6%8.4%26.5%15.0%0.0%6.9%0.7%-364.2K5.8M-13.1K0.0033.41N/AN/A004482,185
2008-03-13$46.01$48.0028.5%8.2%25.9%15.8%0.0%1.4%0.4%-375.3K5.3M-13.5K2.5040.21N/AN/A254482,185
2008-03-14$44.88$48.0044.5%12.8%26.3%29.4%0.0%2.7%-14.4%-224.3K5.7M-14.0K0.00138.57N/AN/A004512,282
2008-03-17$44.08$48.0040.6%11.6%26.7%26.1%0.0%2.9%-18.7%-305.0K6.5M-11.4K0.00104.24N/AN/A004502,180
2008-03-18$45.84$48.0029.0%8.3%30.8%16.3%31.5%7.9%-0.4%-407.2K5.5M-12.4K14.2940.77N/AN/A71004502,180
2008-03-19$44.75$48.0031.5%9.0%31.5%18.4%0.0%8.7%-0.9%-389.5K6.2M-11.8K0.0037.55N/AN/A004472,280
2008-03-20$45.85$48.0028.9%8.3%32.6%16.2%0.0%7.0%0.5%-438.3K5.8M-12.4K0.0039.35N/AN/A104472,280
2008-03-24$47.15$48.0028.1%8.1%34.3%15.5%0.0%8.2%0.7%-469.6K4.4M-12.3K0.0053.96N/AN/A2001532,280
2008-03-25$47.42$48.0050.8%14.6%33.7%34.7%0.0%3.5%-15.3%-264.3K4.1M-13.2K0.00142.28N/AN/A001732,280
2008-03-26$47.41$48.0028.9%8.3%33.5%16.2%0.0%7.5%0.1%-468.3K4.0M-11.9K0.0054.45N/AN/A0201732,280
2008-03-27$46.99$48.0028.7%8.2%33.6%16.0%0.0%7.1%0.4%-493.6K4.6M-11.8K0.0054.35N/AN/A101732,300
2008-03-28$46.25$48.0029.8%8.5%33.8%17.0%27.5%6.5%0.1%-502.9K5.1M-11.4K0.0049.51N/AN/A0121742,300
2008-03-31$46.58$48.0027.3%7.8%33.0%14.8%0.0%6.5%0.7%-546.0K5.0M-10.5K0.0056.32N/AN/A2001742,312