IWC Options History — August 2008

In August 2008, IWC traded between $46.03 and $49.32. ATM implied volatility averaged 26.0%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.4% (HV 20d: 26.3%). 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 19 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2008-08-15: Highest Volume — 1,870 contracts
  • 2008-08-14: Largest IV spike — 80.1% change
  • 2008-08-01: Highest IV Rank — 44.9%
  • 2008-08-01: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.68$46.03$49.32$46.94$47.93
Max Pain$48.81$45.00$50.00$45.00$50.00
ATM IV26.0%20.8%66.0%66.0%22.6%
Expected Move7.5%6.4%18.9%18.9%6.5%
HV 20d26.3%22.9%31.0%30.4%24.3%
HV 60d25.2%23.7%26.5%23.7%26.1%
IV Rank9.6%4.6%44.9%44.9%6.8%
IV Percentile37.2%13.1%97.2%97.2%27.0%
Term Structure-1.5%-30.2%2.1%-30.2%1.9%
VWIV22.2%16.5%24.1%24.1%22.3%
Skew 25d3.4%-20.9%5.6%4.2%3.3%
Skew 10d10.6%-22.4%17.6%15.7%14.2%
Call IV 25d26.1%19.7%89.7%89.7%20.3%
Put IV 25d29.5%23.6%94.0%94.0%23.6%
Bid-Ask Spread %87.3839.35160.98160.98115.42
Gamma HHI0.340.220.500.270.49
Net GEX-83.9K-187.6K-987-8.1K-142.2K
Net DEX2.2M-178.7K5.2M274.7K3.5M
Net VEX-14.1K-28.5K-3.7K-4.6K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.008.350.000.00
Total Volume143.95201,87000
Total OI1,299.0486602,1496601,632

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$46.94$45.0066.0%18.9%30.4%44.9%0.0%4.2%-30.2%-8.1K274.7K-4.6K0.00160.98N/AN/A00281379
2008-08-04$46.03$48.0026.3%7.4%31.0%9.5%0.0%5.5%0.1%-8.8K714.7K-3.7K0.0039.35N/AN/A00281379
2008-08-05$46.77$48.0023.3%6.9%29.1%6.8%24.1%5.3%0.4%-9.9K514.8K-4.1K0.0047.78N/AN/A50281379
2008-08-06$47.23$48.0022.7%6.7%27.0%6.3%0.0%5.2%1.3%-8.5K420.8K-4.1K0.0051.34N/AN/A20286379
2008-08-07$46.45$48.0024.5%7.1%28.0%8.0%0.0%4.8%0.5%-7.8K628.9K-3.8K0.0043.40N/AN/A00286379
2008-08-08$47.69$48.0020.8%6.4%29.1%4.6%21.3%5.5%1.2%-9.4K286.9K-4.2K0.0051.73N/AN/A20286379
2008-08-11$48.78$48.0023.8%6.5%28.3%7.3%22.8%5.6%0.9%-7.2K-60.3K-4.1K0.0050.61N/AN/A160288379
2008-08-12$48.57$48.0022.2%6.6%28.5%5.8%0.0%3.8%0.8%-6.9K15.6K-4.1K0.0041.54N/AN/A350291379
2008-08-13$48.95$48.0021.1%6.7%26.2%4.9%0.0%5.3%1.2%-987-178.7K-4.7K0.0051.33N/AN/A30334379
2008-08-14$49.32$48.0038.0%10.9%25.5%19.9%0.0%-20.9%-26.5%-7.4K-158.5K-3.8K1.96142.96N/AN/A146286337379
2008-08-15$48.93$48.0022.8%6.5%25.7%7.0%23.8%4.6%2.1%-25.4K187.5K-9.9K8.3597.29N/AN/A2001,670413665
2008-08-18$48.31$50.0024.8%7.1%26.4%9.0%0.0%5.2%1.4%-177.1K4.4M-28.5K0.0098.92N/AN/A1801961,935
2008-08-19$47.50$50.0025.0%7.2%24.9%9.2%0.0%4.7%1.6%-168.4K4.6M-28.1K0.00101.04N/AN/A10302141,935
2008-08-20$47.58$50.0023.4%6.7%24.9%7.6%0.0%5.0%1.8%-180.7K4.9M-26.5K0.00102.53N/AN/A0301111,935
2008-08-21$46.99$50.0023.7%6.8%24.4%8.0%0.0%3.5%1.3%-180.5K5.2M-25.8K0.0099.55N/AN/A1601111,965
2008-08-22$47.82$50.0022.2%6.4%24.6%6.5%16.5%4.0%2.0%-187.6K4.9M-26.8K0.00106.74N/AN/A011271,965
2008-08-25$46.71$50.0024.2%6.9%24.6%8.4%0.0%4.3%1.7%-174.5K5.2M-25.6K0.00105.53N/AN/A01001271,965
2008-08-26$46.97$50.0023.9%6.9%22.9%8.1%23.9%4.3%1.6%-166.8K5.0M-24.0K0.00106.41N/AN/A03801271,865
2008-08-27$47.51$50.0022.2%6.4%23.3%6.5%23.0%3.6%1.8%-137.9K3.6M-19.7K2.50110.23N/AN/A251271,495
2008-08-28$48.40$50.0022.3%6.4%24.0%6.5%22.3%4.2%1.7%-146.5K3.3M-20.3K0.00110.34N/AN/A301291,500
2008-08-29$47.93$50.0022.6%6.5%24.3%6.8%0.0%3.3%1.9%-142.2K3.5M-20.1K0.00115.42N/AN/A001321,500