IWC Options History — October 2008

In October 2008, IWC traded between $30.02 and $43.88. ATM implied volatility averaged 74.0%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 3.0% (HV 20d: 71.0%). Max pain ranged from $37.00 to $47.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.86.

Notable Days

2008-10-17: Highest Volume — 53 contracts
2008-10-09: Largest IV spike — 94.8% change
2008-10-09: Highest IV Rank — 100.0%
2008-10-27: Largest Expected Move — 19.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.33	$30.02	$43.88	$43.88	$35.12
Max Pain	$40.65	$37.00	$47.00	$45.00	$37.00
ATM IV	74.0%	47.2%	152.0%	66.3%	50.2%
Expected Move	16.3%	13.2%	19.5%	19.0%	14.4%
HV 20d	71.0%	49.8%	86.0%	49.8%	86.0%
HV 60d	49.0%	35.6%	58.7%	35.6%	58.7%
IV Rank	45.8%	22.6%	100.0%	49.6%	24.8%
IV Percentile	93.2%	83.3%	100.0%	97.6%	83.3%
Term Structure	-6.5%	-28.8%	15.4%	-28.8%	-2.0%
VWIV	66.0%	48.5%	103.0%	72.9%	48.5%
Skew 25d	3.3%	-54.3%	23.6%	-54.3%	2.5%
Skew 10d	4.2%	-70.8%	43.0%	-70.8%	16.1%
Call IV 25d	54.8%	43.8%	90.3%	90.3%	47.9%
Put IV 25d	58.1%	36.0%	79.9%	36.0%	50.3%
Bid-Ask Spread %	102.79	73.16	154.06	154.06	106.04
Gamma HHI	0.24	0.11	0.39	0.16	0.31
Net GEX	2.1K	-459	5.5K	2.8K	4.5K
Net DEX	56.9K	-63.1K	259.1K	175.0K	-26.7K
Net VEX	-428	-1.2K	-173	-1.2K	-579
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.00	6.00	6.00	0.00
Total Volume	6.739	0	53	4	0
Total OI	170.609	141	218	214	182

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2008-10-01	$43.88	$45.00	66.3%	19.0%	49.8%	49.6%	72.9%	-54.3%	-28.8%	2.8K	175.0K	-1.2K	0.00	154.06	N/A	N/A	0	4	124	90
2008-10-02	$42.09	$45.00	52.3%	15.0%	50.9%	35.9%	0.0%	6.8%	-8.2%	418	259.1K	-867	0.00	78.77	N/A	N/A	0	10	124	94
2008-10-03	$41.02	$45.00	52.3%	15.0%	51.4%	35.9%	53.4%	8.7%	-6.5%	386	202.4K	-877	6.00	90.96	N/A	N/A	1	6	124	84
2008-10-06	$39.14	$47.00	87.4%	13.8%	52.4%	70.3%	0.0%	-5.9%	-4.6%	849	233.1K	-690	0.00	141.99	N/A	N/A	0	10	125	90
2008-10-07	$36.57	$47.00	72.6%	15.0%	56.0%	55.3%	0.0%	6.3%	-5.3%	-459	248.9K	-332	0.00	76.47	N/A	N/A	0	20	125	80
2008-10-08	$35.90	$47.00	78.1%	15.8%	55.6%	60.8%	0.0%	4.8%	-6.6%	-24	182.2K	-260	0.00	75.40	N/A	N/A	1	0	125	60
2008-10-09	$32.39	$47.00	152.0%	18.8%	63.6%	100.0%	103.0%	8.8%	-16.3%	813	97.9K	-258	0.00	121.81	N/A	N/A	1	0	126	40
2008-10-10	$33.56	$47.00	145.3%	13.2%	66.3%	95.0%	0.0%	-14.1%	15.4%	1.3K	24.6K	-237	0.00	124.88	N/A	N/A	0	0	125	16
2008-10-13	$37.07	$47.00	141.2%	18.5%	77.3%	92.0%	66.4%	-9.9%	-25.0%	2.5K	-6.8K	-361	0.00	135.19	N/A	N/A	6	0	125	16
2008-10-14	$36.18	$37.00	99.9%	16.1%	76.6%	61.5%	0.0%	6.2%	-5.9%	1.8K	19.8K	-244	0.00	73.16	N/A	N/A	0	0	131	16
2008-10-15	$33.47	$37.00	62.2%	17.0%	79.1%	33.7%	0.0%	2.0%	-7.3%	1.1K	29.6K	-173	0.00	83.68	N/A	N/A	0	0	131	16
2008-10-16	$35.60	$37.00	58.6%	16.8%	78.9%	31.0%	51.7%	5.9%	-7.0%	1.5K	24.0K	-207	0.00	82.80	N/A	N/A	3	0	131	16
2008-10-17	$34.76	$37.00	57.0%	16.3%	76.0%	29.8%	0.0%	3.1%	-5.6%	1.5K	25.8K	-203	0.00	85.24	N/A	N/A	53	0	134	16
2008-10-20	$35.94	$37.00	48.5%	13.9%	77.7%	23.6%	48.5%	4.7%	-1.7%	5.5K	-63.1K	-442	0.00	91.34	N/A	N/A	10	0	146	6
2008-10-21	$35.09	$37.00	47.2%	13.5%	77.8%	22.6%	0.0%	2.4%	-1.6%	5.0K	-50.5K	-377	0.00	96.99	N/A	N/A	0	0	146	6
2008-10-22	$33.50	$37.00	55.8%	16.0%	78.6%	29.0%	0.0%	1.6%	-4.7%	4.0K	-41.7K	-356	0.00	96.49	N/A	N/A	0	0	146	6
2008-10-23	$32.84	$37.00	58.9%	16.9%	78.2%	31.2%	0.0%	9.1%	-4.4%	3.4K	-26.8K	-305	0.00	105.32	N/A	N/A	0	0	146	6
2008-10-24	$31.41	$37.00	64.2%	18.4%	78.4%	35.2%	0.0%	11.2%	-5.9%	2.7K	-17.5K	-255	0.00	105.04	N/A	N/A	0	0	146	6
2008-10-27	$30.02	$37.00	68.1%	19.5%	77.3%	38.1%	0.0%	23.6%	-3.3%	1.8K	-4.0K	-173	0.00	108.55	N/A	N/A	0	30	146	6
2008-10-28	$31.93	$37.00	60.5%	17.3%	80.7%	32.4%	0.0%	21.1%	-1.9%	1.7K	15.6K	-464	0.00	110.15	N/A	N/A	0	0	146	36
2008-10-29	$31.79	$37.00	63.1%	18.1%	80.8%	34.4%	0.0%	17.5%	-6.1%	1.7K	15.3K	-465	0.00	109.92	N/A	N/A	0	0	146	36
2008-10-30	$33.34	$37.00	59.3%	17.0%	83.2%	31.6%	0.0%	14.2%	-5.1%	3.2K	-6.8K	-540	0.00	109.97	N/A	N/A	0	0	146	36
2008-10-31	$35.12	$37.00	50.2%	14.4%	86.0%	24.8%	0.0%	2.5%	-2.0%	4.5K	-26.7K	-579	0.00	106.04	N/A	N/A	0	0	146	36