IWC Options History — July 2008

In July 2008, IWC traded between $42.28 and $46.90. ATM implied volatility averaged 30.7%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.5% (HV 20d: 27.2%). Max pain ranged from $45.00 to $52.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2008-07-02: Highest Volume — 220 contracts
  • 2008-07-15: Largest IV spike — 141.2% change
  • 2008-07-15: Highest IV Rank — 91.1%
  • 2008-07-14: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.66$42.28$46.90$44.37$46.66
Max Pain$46.77$45.00$52.00$45.00$45.00
ATM IV30.7%21.3%117.8%25.2%23.9%
Expected Move7.5%5.5%14.0%7.2%6.9%
HV 20d27.2%18.1%32.8%21.3%30.7%
HV 60d21.4%18.6%24.0%18.6%23.9%
IV Rank13.7%5.1%91.1%9.8%7.4%
IV Percentile50.2%19.0%99.6%47.6%33.3%
Term Structure-0.6%-15.6%1.3%0.4%0.6%
VWIV23.3%20.5%26.2%26.2%20.5%
Skew 25d5.1%-17.1%8.1%5.3%4.3%
Skew 10d13.6%-22.7%20.9%13.0%10.7%
Call IV 25d25.4%19.1%85.5%22.5%21.9%
Put IV 25d30.6%25.5%68.5%27.7%26.2%
Bid-Ask Spread %74.1242.26200.0090.2576.04
Gamma HHI0.390.181.000.250.18
Net GEX6.3K-24.5K26.0K-19.3K-5.5K
Net DEX463.6K-297.8K1.2M1.0M457.7K
Net VEX-4.4K-5.5K-6-3.8K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume23.6820220130
Total OI762.09111883691630

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$44.37$45.0025.2%7.2%21.3%9.8%0.0%5.3%0.4%-19.3K1.0M-3.8K0.0090.25N/AN/A10278413
2008-07-02$43.14$45.0027.6%7.9%22.4%11.8%0.0%5.0%0.5%-15.4K1.2M-3.2K0.0074.84N/AN/A2200281413
2008-07-03$42.82$45.0026.4%7.6%19.3%10.8%0.0%6.6%0.4%14.0K888.8K-4.4K0.0066.80N/AN/A00461413
2008-07-07$42.28$49.0028.5%7.9%18.1%12.5%0.0%7.0%-0.5%16.7K1.0M-3.8K0.0048.17N/AN/A010461413
2008-07-08$43.83$49.0023.7%7.0%23.7%8.3%0.0%6.6%0.5%10.7K711.8K-4.8K0.0050.14N/AN/A110461403
2008-07-09$42.71$49.0026.8%7.6%24.8%10.0%0.0%6.4%-0.0%17.8K886.7K-4.3K0.0042.26N/AN/A100472403
2008-07-10$43.19$49.0027.6%7.9%25.0%10.7%0.0%6.8%-0.5%15.6K768.3K-4.7K0.0047.37N/AN/A00480403
2008-07-11$43.39$49.0028.3%8.1%25.0%11.3%0.0%8.1%-0.7%14.7K753.9K-4.6K0.0047.05N/AN/A00480403
2008-07-14$42.56$49.0048.8%14.0%24.2%29.6%0.0%-17.1%-15.6%11.4K512.4K-5.3K0.00154.19N/AN/A020480403
2008-07-15$42.59$52.00117.8%5.5%23.8%91.1%0.0%0.0%0.0%-12642.1K-60.00200.00N/AN/A00110
2008-07-16$44.18$49.0027.1%7.8%28.4%10.3%0.0%7.6%-0.7%5.7K494.7K-4.9K0.0054.06N/AN/A20480383
2008-07-17$45.14$49.0026.1%7.5%29.7%9.3%26.2%7.7%-0.3%-7.3K230.6K-5.3K0.0059.19N/AN/A10482383
2008-07-18$44.91$45.0025.6%7.3%29.5%8.9%0.0%7.6%-0.0%-24.5K346.2K-5.0K0.0056.96N/AN/A00483383
2008-07-21$45.14$45.0025.9%7.4%29.4%9.2%20.5%6.7%-0.4%26.0K178.4K-5.1K0.0060.33N/AN/A80473349
2008-07-22$46.63$45.0021.3%6.1%31.7%5.1%0.0%6.8%1.3%24.8K-192.5K-5.4K0.0069.79N/AN/A20477349
2008-07-23$46.90$45.0022.6%6.5%31.2%6.2%0.0%6.2%0.6%22.0K-297.8K-5.5K0.0073.17N/AN/A00475349
2008-07-24$46.05$45.0025.4%7.3%31.7%8.8%0.0%6.4%0.1%23.8K-76.7K-5.3K0.0070.14N/AN/A00475349
2008-07-25$46.71$45.0023.3%6.7%31.1%6.8%0.0%6.4%0.9%22.5K-242.6K-5.4K0.0073.57N/AN/A2060475349
2008-07-28$45.63$45.0025.5%7.3%32.2%8.8%0.0%5.5%0.1%-5.0K655.3K-3.7K0.0071.14N/AN/A00281349
2008-07-29$46.83$45.0024.2%6.9%32.8%7.7%0.0%4.1%0.2%-5.3K407.0K-4.1K0.0069.92N/AN/A00281349
2008-07-30$46.86$45.0023.5%6.7%32.7%7.0%0.0%3.9%0.8%-5.5K395.7K-4.1K0.0075.28N/AN/A00281349
2008-07-31$46.66$45.0023.9%6.9%30.7%7.4%0.0%4.3%0.6%-5.5K457.7K-3.9K0.0076.04N/AN/A030281349