IWC Options History — February 2009

In February 2009, IWC traded between $24.50 and $29.70. ATM implied volatility averaged 72.3%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 30.9% (HV 20d: 41.4%). Max pain ranged from $25.00 to $34.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.13.

Notable Days

2009-02-24: Highest Volume — 80 contracts
2009-02-25: Largest IV spike — 113.5% change
2009-02-27: Highest IV Rank — 84.6%
2009-02-27: Largest Expected Move — 38.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.32	$24.50	$29.70	$28.83	$24.50
Max Pain	$32.11	$25.00	$34.00	$25.00	$34.00
ATM IV	72.3%	40.4%	134.5%	46.4%	134.5%
Expected Move	21.3%	11.6%	38.6%	13.3%	38.6%
HV 20d	41.4%	33.2%	46.6%	46.4%	35.0%
HV 60d	55.6%	44.2%	61.1%	61.1%	44.2%
IV Rank	40.0%	17.1%	84.6%	21.4%	84.6%
IV Percentile	77.2%	58.3%	97.2%	68.3%	97.2%
Term Structure	-32.8%	-116.6%	23.6%	-10.4%	-116.6%
Skew 25d	-2.0%	-58.4%	57.8%	11.3%	-55.7%
Skew 10d	-7.3%	-72.0%	57.8%	29.0%	-55.7%
Call IV 25d	71.5%	20.3%	162.3%	41.8%	162.3%
Put IV 25d	69.5%	42.7%	106.6%	53.0%	106.6%
Bid-Ask Spread %	106.13	61.72	122.21	61.72	114.93
Gamma HHI	0.69	0.51	0.84	0.58	0.72
Net GEX	60.9K	33.9K	76.3K	66.8K	46.2K
Net DEX	-1.7M	-2.5M	-794.8K	-2.2M	-794.8K
Net VEX	-8.4K	-9.7K	-6.6K	-9.4K	-6.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	1.00	0.00	0.00
Total Volume	16	0	80	20	4
Total OI	1,654.368	1,559	1,739	1,613	1,739

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
2009-02-02	$28.83	$25.00	46.4%	13.3%	46.4%	21.4%	0.0%	11.3%	-10.4%	66.8K	-2.2M	-9.4K	0.00	61.72	N/A	N/A	20	0	1,598	15
2009-02-03	$28.95	$25.00	44.3%	12.7%	46.4%	19.9%	0.0%	9.9%	-9.2%	68.9K	-2.2M	-9.3K	0.00	71.39	N/A	N/A	0	0	1,618	15
2009-02-04	$28.45	$25.00	45.5%	13.1%	45.6%	20.8%	0.0%	10.0%	-11.2%	66.5K	-2.0M	-9.1K	0.00	72.00	N/A	N/A	0	0	1,618	15
2009-02-05	$28.82	$25.00	43.3%	12.4%	45.4%	19.2%	0.0%	10.7%	-6.7%	68.5K	-2.1M	-9.2K	0.00	79.63	N/A	N/A	0	0	1,618	15
2009-02-06	$29.70	$34.00	40.8%	20.9%	46.6%	17.4%	0.0%	-19.4%	-37.2%	76.3K	-2.5M	-9.7K	0.00	122.21	N/A	N/A	7	0	1,618	15
2009-02-09	$29.51	$34.00	43.6%	13.1%	44.5%	19.4%	0.0%	17.6%	5.5%	74.5K	-2.4M	-9.2K	0.00	111.96	N/A	N/A	0	10	1,625	15
2009-02-10	$28.28	$34.00	49.1%	14.3%	45.9%	23.3%	0.0%	23.2%	7.3%	63.4K	-2.0M	-8.9K	0.00	112.41	N/A	N/A	12	0	1,625	25
2009-02-11	$28.35	$34.00	45.1%	14.3%	45.8%	20.5%	0.0%	26.0%	8.1%	65.1K	-1.9M	-8.8K	0.00	112.41	N/A	N/A	0	0	1,633	25
2009-02-12	$28.50	$34.00	40.4%	11.6%	43.2%	17.1%	0.0%	40.3%	23.6%	66.7K	-2.0M	-8.9K	0.00	115.62	N/A	N/A	0	0	1,633	25
2009-02-13	$28.26	$34.00	41.0%	11.8%	42.7%	17.6%	0.0%	39.4%	21.5%	66.4K	-1.9M	-8.7K	0.00	115.25	N/A	N/A	1	0	1,633	25
2009-02-17	$27.20	$34.00	48.5%	13.9%	44.5%	22.9%	0.0%	49.1%	21.0%	59.8K	-1.6M	-8.2K	0.00	115.89	N/A	N/A	0	0	1,632	25
2009-02-18	$26.90	$34.00	95.6%	27.4%	38.1%	56.7%	0.0%	-47.1%	-72.7%	61.2K	-1.5M	-8.1K	0.00	117.53	N/A	N/A	0	0	1,632	25
2009-02-19	$26.47	$34.00	100.0%	28.7%	34.1%	59.9%	0.0%	-48.2%	-78.6%	59.9K	-1.4M	-7.8K	0.20	116.98	N/A	N/A	51	10	1,632	25
2009-02-20	$25.98	$34.00	128.5%	36.8%	33.2%	80.3%	0.0%	4.3%	-85.7%	56.8K	-1.2M	-7.5K	0.00	116.56	N/A	N/A	9	0	1,683	35
2009-02-23	$24.85	$34.00	119.3%	34.2%	36.2%	73.7%	0.0%	-53.5%	-95.0%	49.0K	-1.1M	-6.7K	1.00	115.41	N/A	N/A	30	30	1,539	20
2009-02-24	$25.77	$34.00	57.4%	16.4%	38.5%	29.3%	0.0%	57.8%	14.6%	58.6K	-1.2M	-7.6K	0.00	113.79	N/A	N/A	0	80	1,569	50
2009-02-25	$25.04	$34.00	122.5%	35.1%	39.0%	76.0%	0.0%	-55.5%	-89.1%	33.9K	-1.7M	-8.2K	0.00	115.66	N/A	N/A	20	0	1,569	130
2009-02-26	$24.70	$34.00	127.6%	36.6%	36.1%	79.6%	0.0%	-58.4%	-112.9%	49.2K	-894.4K	-7.1K	0.00	115.06	N/A	N/A	0	20	1,589	130
2009-02-27	$24.50	$34.00	134.5%	38.6%	35.0%	84.6%	0.0%	-55.7%	-116.6%	46.2K	-794.8K	-6.6K	0.00	114.93	N/A	N/A	4	0	1,589	150