IWC Options History — September 2008

In September 2008, IWC traded between $43.24 and $48.61. ATM implied volatility averaged 34.8%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 1.6% (HV 20d: 33.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 4.91.

Notable Days

  • 2008-09-04: Highest Volume — 1,276 contracts
  • 2008-09-26: Largest IV spike — 65.2% change
  • 2008-09-29: Highest IV Rank — 47.2%
  • 2008-09-19: Largest Expected Move — 37.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.36$43.24$48.61$47.98$44.53
Max Pain$49.05$45.00$50.00$50.00$45.00
ATM IV34.8%23.8%63.8%24.4%40.1%
Expected Move11.2%6.8%37.3%7.0%11.5%
HV 20d33.2%22.6%49.9%23.1%49.9%
HV 60d29.8%25.5%36.2%25.5%36.2%
IV Rank18.8%8.1%47.2%8.6%24.0%
IV Percentile74.1%37.3%96.8%42.5%85.7%
Term Structure-2.4%-21.0%32.5%1.0%-4.3%
VWIV34.3%17.6%62.3%25.3%62.2%
Skew 25d2.4%-55.4%9.4%4.7%8.6%
Skew 10d4.4%-70.8%22.1%8.3%15.9%
Call IV 25d35.4%21.8%86.8%21.8%37.0%
Put IV 25d37.8%25.0%79.1%26.5%45.5%
Bid-Ask Spread %103.4160.30200.00116.2278.43
Gamma HHI0.320.140.920.490.16
Net GEX-10.8K-142.6K84.7K-142.6K343
Net DEX781.3K-181.1K3.7M3.5M245.5K
Net VEX-4.4K-20.1K-188-19.9K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.910.0062.800.182.00
Total Volume79.85701,2763320
Total OI573.3332021,6851,632234

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$47.98$50.0024.4%7.0%23.1%8.6%25.3%4.7%1.0%-142.6K3.5M-19.9K0.18116.22N/AN/A2851321,500
2008-09-03$48.35$50.0023.8%6.8%22.6%8.1%23.8%2.9%1.8%-142.1K3.3M-20.1K0.00113.33N/AN/A2001601,505
2008-09-04$47.00$50.0026.8%7.7%24.7%10.9%26.7%3.3%0.2%-124.5K3.7M-19.4K62.80114.11N/AN/A201,2561801,505
2008-09-05$46.89$50.0024.9%7.5%24.0%9.1%0.0%5.5%0.2%4.8K424.2K-2.3K0.3073.08N/AN/A6018200249
2008-09-08$47.73$50.0026.2%7.4%22.9%10.3%0.0%4.6%0.1%19.2K173.7K-2.6K0.0077.96N/AN/A70251267
2008-09-09$46.43$50.0030.0%8.3%23.3%14.1%0.0%5.0%-1.0%13.9K449.1K-2.4K0.0074.84N/AN/A20256267
2008-09-10$46.79$50.0027.2%7.7%23.6%11.4%28.9%4.8%0.0%17.9K405.4K-2.4K0.0076.43N/AN/A015256267
2008-09-11$46.93$45.0027.7%7.9%23.4%11.8%29.5%5.5%-0.5%16.3K397.1K-2.4K0.0079.77N/AN/A022256282
2008-09-12$46.80$50.0028.5%8.2%23.1%12.6%0.0%5.8%-1.0%11.5K432.8K-2.3K0.0074.72N/AN/A010256284
2008-09-15$44.97$50.0036.4%10.4%26.6%20.3%0.0%0.0%32.5%6.5K511.9K-4740.00174.82N/AN/A00179139
2008-09-16$45.91$50.0030.4%8.7%27.8%14.4%0.0%6.8%-1.5%427649.4K-2.0K0.0060.30N/AN/A015256294
2008-09-17$43.67$50.0035.2%10.1%32.2%19.2%17.6%8.5%-4.3%-6.2K893.0K-1.5K3.4483.08N/AN/A1655256294
2008-09-18$46.49$50.0033.8%9.7%40.0%17.8%0.0%9.4%-3.8%23.2K403.1K-1.9K0.0083.73N/AN/A10240244
2008-09-19$48.61$47.0039.9%37.3%42.9%23.8%0.0%0.0%0.0%84.7K-181.1K-1880.00200.00N/AN/A20013270
2008-09-22$47.03$50.0050.1%14.4%44.1%33.8%62.3%2.8%-17.7%-3.0K146.3K-1.8K0.00156.75N/AN/A14099155
2008-09-23$46.61$50.0035.5%10.2%43.4%19.4%0.0%6.6%-2.9%-686193.1K-1.9K0.0071.68N/AN/A20113155
2008-09-24$45.65$50.0037.0%10.6%44.0%20.9%0.0%6.6%-3.4%-1.3K219.3K-1.8K0.0072.37N/AN/A40115155
2008-09-25$45.93$50.0033.7%9.6%43.8%17.6%32.6%6.7%-2.2%-697218.8K-1.8K0.0083.02N/AN/A60119155
2008-09-26$46.09$48.0055.6%15.9%43.2%39.1%62.2%3.0%-21.0%-597151.5K-1.9K2.00156.26N/AN/A24125155
2008-09-29$43.24$45.0063.8%18.3%48.4%47.2%0.0%-55.4%-19.9%-2.7K265.6K-1.7K0.00150.79N/AN/A055124159
2008-09-30$44.53$45.0040.1%11.5%49.9%24.0%0.0%8.6%-4.3%343245.5K-1.3K0.0078.43N/AN/A020124110