IWC Options History — December 2008

In December 2008, IWC traded between $27.11 and $31.85. ATM implied volatility averaged 70.5%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 4.7% (HV 20d: 75.2%). Max pain ranged from $30.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.08.

Notable Days

  • 2008-12-31: Highest Volume — 1,200 contracts
  • 2008-12-09: Largest IV spike — 109.0% change
  • 2008-12-10: Highest IV Rank — 92.6%
  • 2008-12-01: Largest Expected Move — 38.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.00$27.11$31.85$27.11$31.85
Max Pain$32.00$30.00$38.00$38.00$30.00
ATM IV70.5%40.1%145.7%134.8%40.1%
Expected Move17.7%11.5%38.7%38.7%11.5%
HV 20d75.2%45.6%85.6%80.7%45.6%
HV 60d74.1%73.0%75.4%73.1%73.3%
IV Rank38.7%16.9%92.6%84.8%16.9%
IV Percentile83.0%65.1%99.2%98.4%65.1%
Term Structure-6.3%-94.0%27.2%-94.0%2.1%
VWIV50.3%46.7%56.6%56.6%46.7%
Skew 25d14.4%-51.6%71.2%-51.6%4.5%
Skew 10d25.3%-51.6%71.1%-51.6%19.5%
Call IV 25d57.8%35.4%160.7%160.7%39.3%
Put IV 25d72.2%43.8%132.1%109.0%43.8%
Bid-Ask Spread %83.6437.33159.62114.56106.44
Gamma HHI0.510.270.740.650.39
Net GEX7.9K1.9K30.1K1.9K30.1K
Net DEX-116.1K-356.0K-27.8K-27.8K-356.0K
Net VEX-531-935-309-309-797
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.001.001.000.00
Total Volume66.81801,20001,200
Total OI226.636188323194288

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$27.11$38.00134.8%38.7%80.7%84.8%0.0%-51.6%-94.0%1.9K-27.8K-3090.00114.56N/AN/A001886
2008-12-02$28.63$38.0069.2%19.8%83.7%37.8%0.0%62.8%24.5%2.3K-40.6K-3621.00113.87N/AN/A661886
2008-12-03$29.47$38.0067.7%19.4%84.8%36.7%0.0%64.5%27.2%2.3K-35.2K-3370.00112.37N/AN/A2001826
2008-12-04$28.76$38.0075.1%21.5%83.5%42.0%0.0%71.2%24.2%2.1K-31.5K-3130.00113.80N/AN/A001826
2008-12-05$29.79$0.0067.6%17.2%84.5%36.6%0.0%14.4%-8.8%2.4K-37.6K-3370.0037.33N/AN/A001826
2008-12-08$30.89$0.0069.5%17.0%85.4%38.0%0.0%14.7%-6.8%2.6K-48.5K-3700.0039.99N/AN/A3001826
2008-12-09$29.99$0.00145.3%17.5%85.5%92.3%0.0%14.3%-8.1%2.8K-48.5K-4030.0042.70N/AN/A002026
2008-12-10$30.50$0.00145.7%16.7%85.6%92.6%0.0%13.4%-6.1%3.0K-53.3K-4200.0048.65N/AN/A1002026
2008-12-11$29.20$0.0058.6%16.8%83.7%30.2%0.0%11.0%-6.8%2.4K-36.0K-3420.0051.00N/AN/A001926
2008-12-12$30.08$0.0056.5%16.2%81.1%28.7%56.6%2.6%-5.6%2.7K-43.9K-3680.0057.89N/AN/A101926
2008-12-15$29.08$30.0059.0%16.9%78.3%30.4%0.0%13.1%-7.9%2.5K-35.8K-3220.0054.84N/AN/A601936
2008-12-16$30.81$30.0053.6%15.4%80.9%26.6%50.5%10.0%-3.5%3.2K-51.4K-3930.0060.22N/AN/A5001976
2008-12-17$31.00$30.0051.3%14.7%80.7%24.9%47.6%10.1%-2.5%7.4K-100.9K-5510.0063.46N/AN/A2102476
2008-12-18$30.75$30.0048.8%14.0%75.2%23.1%50.0%9.2%-1.6%9.2K-115.5K-6000.0068.88N/AN/A5002686
2008-12-19$31.03$30.0046.1%13.2%70.9%21.2%0.0%8.9%-1.0%14.4K-201.4K-7440.0074.65N/AN/A013176
2008-12-22$30.25$30.0047.5%13.6%71.1%22.2%0.0%7.9%0.4%13.6K-188.1K-6750.0082.80N/AN/A802181
2008-12-23$30.04$30.0047.0%13.5%68.2%21.8%0.0%8.6%2.0%13.5K-175.1K-6900.0082.18N/AN/A0102261
2008-12-24$30.13$30.0081.8%23.5%68.1%46.8%0.0%5.7%-29.2%9.2K-221.3K-8670.00158.87N/AN/A0022611
2008-12-26$30.40$30.0046.7%13.4%65.0%21.6%46.7%7.2%0.8%14.5K-167.7K-7220.0096.26N/AN/A50022611
2008-12-29$29.81$30.0092.5%26.5%64.9%54.4%0.0%6.3%-38.3%11.7K-287.5K-9350.00159.62N/AN/A0027611
2008-12-30$30.44$30.0046.2%13.3%46.8%21.3%0.0%8.1%1.0%21.1K-251.1K-8140.0099.62N/AN/A1027611
2008-12-31$31.85$30.0040.1%11.5%45.6%16.9%0.0%4.5%2.1%30.1K-356.0K-7970.00106.44N/AN/A1,200027711