IWC Options History — June 2008

In June 2008, IWC traded between $44.61 and $50.10. ATM implied volatility averaged 24.3%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 6.1% (HV 20d: 18.2%). Max pain ranged from $45.00 to $51.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 14.00.

Notable Days

  • 2008-06-20: Highest Volume — 71 contracts
  • 2008-06-30: Largest IV spike — 150.7% change
  • 2008-06-30: Highest IV Rank — 41.6%
  • 2008-06-30: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.67$44.61$50.10$48.74$44.61
Max Pain$49.67$45.00$51.00$50.00$45.00
ATM IV24.3%18.2%61.5%19.0%61.5%
Expected Move7.0%5.2%17.6%5.4%17.6%
HV 20d18.2%13.5%21.3%13.6%21.3%
HV 60d19.8%17.8%22.8%22.8%18.6%
IV Rank10.4%5.9%41.6%7.8%41.6%
IV Percentile36.9%13.5%96.0%18.3%96.0%
Term Structure0.2%-23.7%2.4%1.5%-23.7%
VWIV27.4%27.4%27.4%27.4%27.4%
Skew 25d8.2%5.1%44.7%10.3%44.7%
Skew 10d14.1%-0.2%21.2%8.7%-0.2%
Call IV 25d20.6%12.1%43.3%12.1%43.3%
Put IV 25d28.8%20.8%88.0%22.4%88.0%
Bid-Ask Spread %72.7458.79158.8277.78158.82
Gamma HHI0.270.150.350.320.15
Net GEX-19.6K-29.2K7.0K-28.6K-12.3K
Net DEX875.8K-114.8K1.5M612.0K789.8K
Net VEX-6.3K-7.9K-4.7K-7.9K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.000.0070.000.000.00
Total Volume7.952071310
Total OI993.5716281,1211,118703

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$48.74$50.0019.0%5.4%13.6%7.8%0.0%10.3%1.5%-28.6K612.0K-7.9K0.0077.78N/AN/A03498620
2008-06-03$48.58$50.0019.5%5.6%13.5%8.2%0.0%5.7%1.6%-28.7K734.7K-7.8K0.0074.51N/AN/A00498623
2008-06-04$48.89$50.0020.1%5.8%13.5%8.7%0.0%6.4%1.1%-29.2K561.8K-7.8K0.0074.53N/AN/A00498623
2008-06-05$50.10$50.0018.2%5.2%14.2%7.1%0.0%6.7%1.3%-25.8K-114.8K-7.8K0.0069.68N/AN/A00498623
2008-06-06$48.80$51.0021.8%6.4%17.6%10.2%0.0%7.5%1.6%-29.2K643.6K-7.6K0.0058.79N/AN/A03498623
2008-06-09$48.39$51.0024.2%6.9%17.9%12.2%0.0%7.5%1.4%-27.8K818.5K-7.2K0.0064.30N/AN/A00498623
2008-06-10$48.21$51.0023.5%6.7%17.0%11.6%0.0%6.9%1.7%-26.0K959.0K-6.9K0.0059.51N/AN/A00498623
2008-06-11$47.29$51.0024.7%7.1%18.2%12.6%0.0%7.0%1.3%-19.6K1.3M-6.4K0.0061.16N/AN/A50498622
2008-06-12$47.52$51.0023.2%6.6%18.2%11.3%0.0%6.8%1.8%-20.1K1.3M-6.4K0.0063.69N/AN/A00498622
2008-06-13$48.33$51.0022.3%6.4%19.0%7.2%0.0%6.2%2.0%-24.8K993.3K-6.6K0.0065.80N/AN/A00498622
2008-06-16$48.67$51.0020.9%6.0%19.1%5.9%0.0%5.6%2.4%-28.0K868.4K-6.4K0.0068.82N/AN/A00498622
2008-06-17$48.42$51.0021.9%6.3%19.2%6.8%0.0%5.9%1.9%-3.9K1.1M-6.1K0.0067.00N/AN/A00498622
2008-06-18$47.88$51.0022.4%6.4%19.6%7.2%0.0%6.1%1.8%-6711.3M-5.8K0.0070.73N/AN/A00498622
2008-06-19$48.19$51.0021.8%6.3%19.4%6.8%0.0%5.9%1.9%7.0K1.3M-5.7K0.0073.22N/AN/A00498622
2008-06-20$47.51$51.0022.8%6.5%19.7%7.6%0.0%5.6%1.5%-26.9K1.5M-5.5K70.0070.58N/AN/A170498622
2008-06-23$47.04$51.0024.5%7.0%19.8%9.1%0.0%6.0%0.2%-16.1K556.2K-5.3K0.0068.38N/AN/A190239389
2008-06-24$46.25$51.0025.9%7.4%20.0%10.4%27.4%5.5%0.3%-12.4K671.0K-5.1K0.0065.90N/AN/A034258389
2008-06-25$46.66$45.0022.8%6.5%20.3%7.6%0.0%5.2%1.3%-21.8K680.5K-5.3K0.0068.00N/AN/A200258423
2008-06-26$45.64$45.0024.7%7.1%21.0%9.3%0.0%5.1%0.8%-18.0K852.7K-4.9K0.0072.57N/AN/A20278423
2008-06-27$45.34$45.0024.5%7.0%20.9%9.1%0.0%6.3%1.0%-19.2K929.4K-4.7K0.0073.81N/AN/A00278423
2008-06-30$44.61$45.0061.5%17.6%21.3%41.6%0.0%44.7%-23.7%-12.3K789.8K-5.0K0.00158.82N/AN/A010280423