IWC Options History — January 2009

In January 2009, IWC traded between $27.81 and $32.84. ATM implied volatility averaged 45.6%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 1.9% (HV 20d: 43.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2009-01-12: Highest Volume — 215 contracts
  • 2009-01-20: Largest IV spike — 24.8% change
  • 2009-01-20: Highest IV Rank — 27.4%
  • 2009-01-20: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.98$27.81$32.84$32.02$28.33
Max Pain$28.75$25.00$30.00$30.00$25.00
ATM IV45.6%39.6%54.8%39.6%47.4%
Expected Move13.0%11.3%15.7%11.3%13.6%
HV 20d43.7%36.5%49.0%44.7%45.8%
HV 60d64.7%61.0%72.0%72.0%61.0%
IV Rank20.9%16.5%27.4%16.5%22.1%
IV Percentile68.2%62.3%78.2%63.9%69.8%
Term Structure-5.3%-10.4%2.1%2.1%-10.4%
VWIV47.8%38.3%77.8%39.2%40.7%
Skew 25d10.8%6.8%12.8%6.8%9.6%
Skew 10d25.9%16.0%35.4%28.1%21.6%
Call IV 25d40.5%36.5%49.3%37.7%41.9%
Put IV 25d51.3%44.6%62.1%44.6%51.4%
Bid-Ask Spread %59.7137.06111.33111.3367.10
Gamma HHI0.430.250.620.440.62
Net GEX71.1K52.3K127.6K69.4K63.4K
Net DEX-2.4M-3.5M-1.9M-3.1M-2.0M
Net VEX-9.9K-10.6K-9.4K-9.6K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.002.001.960.00
Total Volume33.502151510
Total OI1,702.91,4882,0571,4881,613

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$32.02$30.0039.6%11.3%44.7%16.5%39.2%6.8%2.1%69.4K-3.1M-9.6K1.96111.33N/AN/A511001,47711
2009-01-05$32.19$28.0043.9%12.2%43.5%19.6%0.0%9.9%-2.3%55.3K-3.1M-10.1K0.0063.58N/AN/A5001,528111
2009-01-06$32.84$28.0040.9%11.7%42.4%17.5%0.0%10.4%-0.7%60.7K-3.5M-10.6K0.0058.06N/AN/A301,628111
2009-01-07$31.94$28.0044.3%12.8%42.2%19.9%0.0%11.2%-2.1%57.5K-3.1M-10.4K0.0057.97N/AN/A061,581111
2009-01-08$32.42$28.0044.5%12.8%40.8%20.0%38.3%11.1%-2.8%56.4K-3.2M-10.4K0.0058.27N/AN/A1801,581115
2009-01-09$31.09$28.0040.8%12.8%43.5%17.4%63.0%10.4%-4.4%58.3K-2.7M-10.3K2.0037.06N/AN/A361,597115
2009-01-12$30.24$25.0050.2%13.8%41.7%24.1%47.2%11.8%-5.9%63.7K-2.3M-10.1K0.0659.26N/AN/A202131,600121
2009-01-13$30.47$30.0045.2%13.0%40.5%20.6%0.0%10.9%-4.9%114.8K-2.6M-10.4K0.0060.97N/AN/A001,802134
2009-01-14$29.14$30.0051.8%13.9%41.8%25.3%42.5%11.9%-8.4%90.4K-2.0M-9.8K0.0040.80N/AN/A10101,802134
2009-01-15$29.67$30.0045.5%13.1%36.6%20.8%0.0%12.1%-5.5%117.2K-2.2M-10.2K2.0042.07N/AN/A10201,903134
2009-01-16$29.72$30.0043.9%12.6%36.5%19.6%40.2%11.5%-3.8%127.6K-2.1M-10.1K0.0046.91N/AN/A1001,903154
2009-01-20$27.81$30.0054.8%15.7%43.1%27.4%49.9%12.8%-10.3%52.3K-1.9M-9.4K0.0047.31N/AN/A201,54223
2009-01-21$29.10$30.0048.1%13.8%46.5%22.6%0.0%12.2%-7.5%60.3K-2.2M-9.7K0.0049.43N/AN/A001,54423
2009-01-22$28.25$30.0049.7%14.2%46.7%23.8%45.2%11.7%-8.1%54.5K-2.0M-9.4K0.0856.50N/AN/A5041,54423
2009-01-23$28.18$30.0047.8%13.7%46.7%22.4%0.0%11.7%-9.2%57.9K-2.0M-9.6K0.0067.54N/AN/A001,59425
2009-01-26$28.62$30.0045.2%13.0%47.2%20.6%77.8%10.4%-4.6%61.2K-2.1M-9.7K0.0076.14N/AN/A701,59425
2009-01-27$28.89$30.0043.7%12.5%47.2%19.5%41.8%10.2%-5.0%64.3K-2.2M-9.7K0.0069.64N/AN/A401,59425
2009-01-28$29.83$30.0040.7%11.7%48.2%17.3%40.7%9.4%-4.4%70.3K-2.5M-9.8K0.0057.88N/AN/A0101,59825
2009-01-29$28.83$25.0044.4%12.7%49.0%19.9%0.0%9.2%-7.2%66.7K-2.2M-9.6K0.0066.31N/AN/A001,59815
2009-01-30$28.33$25.0047.4%13.6%45.8%22.1%0.0%9.6%-10.4%63.4K-2.0M-9.4K0.0067.10N/AN/A001,59815