IWC Options History — May 2008

In May 2008, IWC traded between $47.16 and $49.13. ATM implied volatility averaged 20.5%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.2% (HV 20d: 16.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2008-05-15: Highest Volume — 400 contracts
  • 2008-05-02: Largest IV spike — 47.0% change
  • 2008-05-02: Highest IV Rank — 17.2%
  • 2008-05-02: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.14$47.16$49.13$48.10$49.13
Max Pain$49.75$45.00$50.00$45.00$50.00
ATM IV20.5%16.5%30.1%20.5%18.2%
Expected Move6.0%5.2%8.6%5.9%5.2%
HV 20d16.4%12.9%20.1%19.8%13.3%
HV 60d24.3%23.5%25.1%25.1%23.6%
IV Rank9.1%5.7%17.2%9.1%7.1%
IV Percentile27.2%10.7%76.2%28.6%14.7%
Term Structure1.7%0.8%2.7%0.8%1.7%
VWIV17.7%17.0%18.8%17.2%17.0%
Skew 25d5.9%5.0%6.7%5.0%5.3%
Skew 10d15.1%9.9%18.8%10.8%10.1%
Call IV 25d17.6%15.5%19.4%18.1%15.5%
Put IV 25d23.5%20.8%25.6%23.1%20.8%
Bid-Ask Spread %66.5646.74200.0071.0766.86
Gamma HHI0.270.200.320.230.32
Net GEX-24.5K-41.5K0-22.9K-30.0K
Net DEX694.4K0982.6K558.7K435.9K
Net VEX-5.9K-8.7K0-4.5K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.0010.0010.000.00
Total Volume25.5710400225
Total OI886.76201,1747331,113

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$48.10$45.0020.5%5.9%19.8%9.1%0.0%5.0%0.8%-22.9K558.7K-4.5K10.0071.07N/AN/A220282451
2008-05-02$47.96$0.0030.1%8.6%19.8%17.2%0.0%0.0%0.0%0000.00200.00N/AN/A0000
2008-05-05$47.75$50.0020.0%6.0%19.8%8.6%0.0%6.7%1.8%-24.5K645.9K-4.0K0.0051.90N/AN/A00283441
2008-05-06$48.04$50.0020.2%6.0%20.0%8.8%0.0%6.5%1.8%-21.4K571.1K-4.0K0.0057.72N/AN/A050283441
2008-05-07$47.21$50.0021.9%6.4%20.1%10.2%0.0%6.2%1.5%-38.2K944.5K-4.3K0.0046.74N/AN/A00283491
2008-05-08$47.16$50.0021.0%6.3%19.9%9.5%0.0%6.3%1.7%-39.7K982.6K-4.1K0.0049.72N/AN/A00283491
2008-05-09$47.40$50.0021.3%6.3%17.0%9.8%0.0%5.9%1.7%-41.5K950.8K-4.0K0.0056.21N/AN/A00283491
2008-05-12$48.17$50.0020.9%6.0%17.7%9.4%0.0%6.0%2.0%-16.1K740.7K-4.2K0.0056.39N/AN/A00283491
2008-05-13$48.46$50.0016.5%5.9%17.7%5.7%0.0%5.4%2.1%-17.4K682.2K-4.3K0.0058.50N/AN/A00283491
2008-05-14$48.20$50.0018.7%6.0%16.0%7.5%0.0%5.7%1.5%-19.2K745.2K-4.1K0.0060.40N/AN/A00283491
2008-05-15$48.62$50.0019.1%5.5%15.9%7.9%0.0%5.9%2.7%-19.4K640.2K-4.2K1.0056.91N/AN/A200200283491
2008-05-16$48.42$50.0020.9%6.0%15.1%9.5%0.0%6.4%2.1%-19.6K612.8K-8.7K0.0056.89N/AN/A00483691
2008-05-19$48.27$50.0020.7%5.9%15.0%9.3%0.0%6.0%1.0%-19.9K682.3K-8.4K0.0060.36N/AN/A50468589
2008-05-20$48.28$50.0020.2%5.8%12.9%8.8%17.2%5.7%1.8%-19.7K688.6K-8.3K0.0060.07N/AN/A030473589
2008-05-21$47.79$50.0020.3%5.8%13.6%8.9%0.0%5.8%2.1%-27.8K939.1K-8.2K0.1060.99N/AN/A101473619
2008-05-22$48.24$50.0020.2%5.8%13.5%8.8%0.0%5.9%2.1%-26.2K835.0K-8.4K0.0061.74N/AN/A00483620
2008-05-23$47.79$50.0020.8%6.0%13.9%9.4%18.8%5.8%1.6%-24.7K972.5K-8.1K0.0065.31N/AN/A40483620
2008-05-27$48.34$50.0021.3%6.1%14.3%9.8%0.0%6.1%1.7%-29.0K745.7K-8.2K0.0062.75N/AN/A00483620
2008-05-28$48.55$50.0018.5%5.3%14.0%7.4%17.0%5.3%1.8%-28.8K729.4K-8.1K0.0065.49N/AN/A100483620
2008-05-29$49.02$50.0019.4%5.6%14.2%8.1%0.0%5.5%1.1%-29.4K479.4K-8.1K0.0071.72N/AN/A00493620
2008-05-30$49.13$50.0018.2%5.2%13.3%7.1%0.0%5.3%1.7%-30.0K435.9K-8.2K0.0066.86N/AN/A50493620