IWC Options History — November 2008 In November 2008, IWC traded between $25.31 and $35.65. ATM implied volatility averaged 74.0%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 2.5% (HV 20d: 71.5%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2008-11-11 : Highest Volume — 54 contracts2008-11-20 : Largest IV spike — 99.2% change2008-11-12 : Highest IV Rank — 100.0%2008-11-20 : Largest Expected Move — 35.0%Monthly Statistics Metric Avg Min Max Open Close Price $30.56 $25.31 $35.65 $35.55 $30.65 Max Pain $37.79 $37.00 $38.00 $37.00 $38.00 ATM IV 74.0% 45.9% 156.0% 48.4% 55.0% Expected Move 18.6% 13.0% 35.0% 13.9% 15.8% HV 20d 71.5% 63.4% 85.0% 85.0% 72.5% HV 60d 63.0% 58.2% 69.2% 58.5% 69.2% IV Rank 41.5% 21.7% 100.0% 23.5% 27.6% IV Percentile 89.8% 80.6% 100.0% 81.7% 81.0% Term Structure -8.7% -92.2% 27.4% -1.2% 25.8% VWIV 119.0% 119.0% 119.0% 119.0% 119.0% Skew 25d 15.3% -40.4% 58.9% 2.9% 52.5% Skew 10d 19.6% -40.4% 58.9% 7.7% 52.3% Call IV 25d 57.3% 27.9% 142.2% 45.9% 28.7% Put IV 25d 72.5% 45.3% 101.8% 48.7% 81.2% Bid-Ask Spread % 111.42 100.57 118.20 105.87 114.15 Gamma HHI 0.39 0.27 0.66 0.31 0.40 Net GEX 2.5K 682 4.9K 4.9K 3.8K Net DEX -16.8K -62.8K 22.9K -26.3K -62.8K Net VEX -539 -802 -334 -561 -457 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 5.947 0 54 0 0 Total OI 209.474 182 238 182 194
Daily Data (19 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 2008-11-03 $35.55 $37.00 48.4% 13.9% 85.0% 23.5% 0.0% 2.9% -1.2% 4.9K -26.3K -561 0.00 105.87 N/A N/A 0 0 146 36 2008-11-04 $35.65 $37.00 45.9% 13.2% 81.7% 21.7% 0.0% 2.0% -2.0% 4.9K -25.3K -537 0.00 106.61 N/A N/A 6 0 146 36 2008-11-05 $33.84 $37.00 58.7% 16.8% 83.5% 31.1% 0.0% 24.7% -1.3% 3.3K -13.0K -529 0.00 118.20 N/A N/A 0 0 152 36 2008-11-06 $32.86 $37.00 66.7% 19.1% 75.5% 37.0% 0.0% 25.0% -6.8% 2.7K -7.4K -523 0.00 115.97 N/A N/A 0 0 152 36 2008-11-07 $33.40 $38.00 61.2% 13.0% 74.6% 33.0% 0.0% 0.3% 0.7% 2.6K -1.8K -485 0.00 100.57 N/A N/A 0 0 152 36 2008-11-10 $32.43 $38.00 72.9% 14.4% 65.2% 41.6% 119.0% 10.3% 0.9% 1.8K 7.1K -452 0.00 106.29 N/A N/A 1 0 152 36 2008-11-11 $31.82 $38.00 81.9% 14.4% 65.0% 48.2% 0.0% 19.1% 4.5% 845 16.5K -420 0.00 109.54 N/A N/A 54 0 152 36 2008-11-12 $29.80 $38.00 156.0% 15.9% 63.4% 100.0% 0.0% 23.0% 0.5% 2.4K -21.8K -705 0.00 113.40 N/A N/A 16 0 198 36 2008-11-13 $31.75 $38.00 49.0% 14.0% 63.6% 23.2% 0.0% 13.5% 1.6% 3.5K -55.4K -802 0.00 112.77 N/A N/A 0 0 202 36 2008-11-14 $29.65 $38.00 57.5% 16.5% 67.2% 29.4% 0.0% 22.9% -1.2% 2.5K -22.0K -716 0.00 113.20 N/A N/A 0 0 202 36 2008-11-17 $29.38 $38.00 60.3% 17.3% 65.4% 31.3% 0.0% 24.3% -1.6% 2.3K -17.6K -694 0.00 110.10 N/A N/A 0 0 202 36 2008-11-18 $29.03 $38.00 63.6% 18.2% 65.2% 33.8% 0.0% 22.2% -4.8% 1.5K -11.6K -655 0.00 112.51 N/A N/A 0 0 202 36 2008-11-19 $26.88 $38.00 61.2% 17.6% 68.3% 32.0% 0.0% 53.4% 15.3% 1.0K 7.4K -565 0.00 109.59 N/A N/A 0 0 202 36 2008-11-20 $25.31 $38.00 122.0% 35.0% 70.5% 75.6% 0.0% -40.4% -92.2% 682 22.9K -484 0.00 112.93 N/A N/A 6 0 202 36 2008-11-21 $26.31 $38.00 116.6% 33.4% 71.7% 71.8% 0.0% -39.5% -86.1% 877 14.8K -527 0.00 113.72 N/A N/A 0 30 202 36 2008-11-24 $28.00 $38.00 63.1% 18.1% 74.6% 33.4% 0.0% 58.9% 27.4% 2.1K -33.3K -343 0.00 112.92 N/A N/A 0 0 188 6 2008-11-25 $28.30 $38.00 111.3% 31.9% 70.8% 68.0% 0.0% -38.0% -71.4% 2.2K -32.9K -334 0.00 115.47 N/A N/A 0 0 188 6 2008-11-26 $29.99 $38.00 54.5% 15.6% 74.3% 27.2% 0.0% 53.2% 27.2% 3.5K -56.9K -443 0.00 113.15 N/A N/A 0 0 188 6 2008-11-28 $30.65 $38.00 55.0% 15.8% 72.5% 27.6% 0.0% 52.5% 25.8% 3.8K -62.8K -457 0.00 114.15 N/A N/A 0 0 188 6
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