IWC Options History — April 2008

In April 2008, IWC traded between $46.01 and $48.00. ATM implied volatility averaged 28.6%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.6% (HV 20d: 26.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.78.

Notable Days

  • 2008-04-10: Highest Volume — 110 contracts
  • 2008-04-04: Largest IV spike — 170.6% change
  • 2008-04-04: Highest IV Rank — 48.8%
  • 2008-04-25: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.32$46.01$48.00$47.72$47.36
Max Pain$46.55$45.00$50.00$48.00$45.00
ATM IV28.6%21.1%67.4%26.1%23.1%
Expected Move7.9%6.1%15.3%7.5%6.6%
HV 20d26.0%18.9%34.0%34.0%18.9%
HV 60d26.0%25.2%27.3%27.3%25.2%
IV Rank15.9%9.6%48.8%13.8%11.3%
IV Percentile51.2%31.3%97.6%55.2%38.5%
Term Structure-2.0%-21.2%1.1%0.2%0.2%
VWIV48.4%27.8%68.9%27.8%68.9%
Skew 25d5.6%2.6%7.2%6.8%4.7%
Skew 10d15.8%7.8%24.0%14.1%14.9%
Call IV 25d27.3%18.9%73.2%23.2%20.0%
Put IV 25d32.9%23.0%76.8%30.0%24.7%
Bid-Ask Spread %75.6049.89159.1460.6579.59
Gamma HHI0.430.230.940.460.23
Net GEX-475.1K-2.0M-18.5K-535.9K-31.6K
Net DEX3.0M329.7K6.4M3.7M756.2K
Net VEX-6.4K-11.3K-3.5K-10.5K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.780.0010.008.000.00
Total Volume20.455011011
Total OI1,872.7275682,6822,503732

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$47.72$48.0026.1%7.5%34.0%13.8%0.0%6.8%0.2%-535.9K3.7M-10.5K0.0060.65N/AN/A011912,312
2008-04-02$48.00$48.0026.0%7.5%34.0%13.7%0.0%6.3%0.1%-546.4K3.4M-10.1K8.0059.11N/AN/A5401912,313
2008-04-03$47.88$48.0024.9%7.1%34.0%12.8%0.0%7.2%1.1%-563.9K3.6M-10.5K0.0057.38N/AN/A001962,353
2008-04-04$47.78$50.0067.4%11.1%32.1%48.8%0.0%2.8%-10.5%-251.3K4.3M-11.3K0.00156.00N/AN/A001962,353
2008-04-07$47.78$50.0023.6%7.1%32.0%11.7%0.0%6.9%0.1%-652.5K3.5M-8.7K0.0049.89N/AN/A001962,353
2008-04-08$47.81$50.0023.2%7.1%30.0%11.4%0.0%6.3%0.2%-665.3K3.4M-8.5K0.0053.07N/AN/A001962,353
2008-04-09$47.04$50.0024.1%7.5%28.3%12.1%0.0%5.4%0.2%-723.0K4.6M-8.1K0.0058.16N/AN/A501962,353
2008-04-10$47.38$50.0025.5%7.3%28.2%13.3%27.8%6.8%0.3%-771.9K4.0M-7.6K10.0053.06N/AN/A101001962,343
2008-04-11$46.06$45.0026.3%7.6%29.5%14.0%0.0%6.2%0.2%-702.4K6.0M-7.4K0.0057.68N/AN/A042062,443
2008-04-14$46.01$45.0026.7%7.7%28.1%14.4%0.0%6.5%-0.2%-684.0K6.4M-5.9K0.0051.48N/AN/A0112062,446
2008-04-15$46.29$45.0025.8%7.4%27.2%13.6%0.0%6.4%-0.0%-678.7K6.1M-5.2K3.3358.47N/AN/A6202062,457
2008-04-16$47.39$45.0024.0%6.9%24.8%12.0%0.0%5.9%0.3%-955.6K4.3M-5.5K0.0061.26N/AN/A0412052,477
2008-04-17$47.03$45.0024.1%6.9%23.2%12.1%0.0%6.0%0.2%-500.7K5.2M-4.4K0.0061.02N/AN/A0422052,476
2008-04-18$47.81$45.0021.7%6.2%22.4%10.1%0.0%6.0%0.8%-2.0M3.8M-4.9K0.0070.29N/AN/A002052,464
2008-04-21$47.64$45.0021.9%6.3%20.2%10.3%0.0%6.1%0.7%-29.9K578.5K-3.9K0.9166.83N/AN/A1110204364
2008-04-22$46.70$45.0022.9%6.6%21.4%11.1%0.0%2.6%0.6%-34.9K758.9K-3.5K0.0073.80N/AN/A00204364
2008-04-23$46.89$45.0022.6%6.5%21.4%10.8%0.0%5.7%0.9%-35.5K749.7K-3.7K0.0063.50N/AN/A100215374
2008-04-24$47.39$45.0053.0%15.2%21.5%36.6%0.0%3.4%-19.0%-18.5K329.7K-4.5K0.00159.04N/AN/A00225374
2008-04-25$47.61$45.0053.5%15.3%20.7%37.0%68.9%3.6%-21.2%-18.7K460.9K-4.4K0.00159.14N/AN/A02225374
2008-04-28$47.90$45.0021.1%6.1%20.7%9.6%0.0%4.9%0.5%-29.0K554.7K-3.8K0.0075.35N/AN/A560225376
2008-04-29$47.56$45.0021.4%6.1%19.0%9.8%0.0%5.9%0.1%-22.6K588.2K-3.9K0.0078.38N/AN/A075281376
2008-04-30$47.36$45.0023.1%6.6%18.9%11.3%0.0%4.7%0.2%-31.6K756.2K-4.3K0.0079.59N/AN/A10281451