IWC Options History — March 2009

In March 2009, IWC traded between $21.57 and $27.92. ATM implied volatility averaged 87.9%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 34.4% (HV 20d: 53.4%). Max pain ranged from $24.00 to $34.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.53.

Notable Days

  • 2009-03-09: Highest Volume — 420 contracts
  • 2009-03-12: Largest IV drop — 75.4% change
  • 2009-03-02: Highest IV Rank — 100.0%
  • 2009-03-04: Largest Expected Move — 47.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.68$21.57$27.92$23.11$26.33
Max Pain$26.32$24.00$34.00$34.00$25.00
ATM IV87.9%43.6%180.1%156.3%50.3%
Expected Move18.8%12.5%47.8%44.8%14.4%
HV 20d53.4%38.0%64.9%39.2%60.8%
HV 60d46.8%43.8%50.9%44.2%50.3%
IV Rank45.8%16.6%100.0%100.0%20.7%
IV Percentile74.6%54.0%100.0%100.0%69.0%
Term Structure-17.0%-153.1%3.8%-139.5%1.4%
VWIV52.1%38.6%115.3%58.4%115.3%
Skew 25d8.0%2.6%12.6%12.6%5.9%
Skew 10d13.2%7.1%20.8%19.1%11.0%
Call IV 25d44.0%40.5%49.0%44.3%48.5%
Put IV 25d52.0%47.2%57.3%57.0%54.3%
Bid-Ask Spread %69.6845.60113.83113.8376.26
Gamma HHI0.640.530.720.720.55
Net GEX51.0K20.9K79.5K36.8K71.4K
Net DEX-858.4K-2.2M179.3K-530.9K-1.5M
Net VEX-7.6K-10.5K-3.5K-5.6K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.0010.002.000.00
Total Volume63.45504206010
Total OI2,181.1361,7432,4611,7432,461

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$23.11$34.00156.3%44.8%39.2%100.0%0.0%12.6%-139.5%36.8K-530.9K-5.6K2.00113.83N/AN/A20401,593150
2009-03-03$22.58$34.00132.2%37.9%38.0%82.8%0.0%11.8%0.0%31.6K-345.4K-5.2K0.00113.35N/AN/A001,613190
2009-03-04$23.22$34.00166.8%47.8%40.2%100.0%0.0%11.3%-153.1%35.0K-382.3K-5.1K0.00113.44N/AN/A3301,613190
2009-03-05$21.80$34.00148.4%42.6%44.3%87.8%0.0%11.1%0.0%25.2K-134.5K-3.8K0.00112.75N/AN/A001,606190
2009-03-06$22.01$26.00148.3%14.4%44.0%87.7%58.4%11.2%-9.7%27.3K-180.7K-4.3K1.1149.54N/AN/A18201,606190
2009-03-09$21.57$26.00180.1%14.3%40.9%100.0%51.6%11.9%-9.2%20.9K-29.8K-3.5K5.5654.82N/AN/A643561,615210
2009-03-10$22.86$26.00171.8%13.1%48.6%94.9%49.3%9.9%-7.3%27.7K179.3K-5.3K0.0747.77N/AN/A147101,665446
2009-03-11$22.84$25.00179.7%13.1%47.5%99.7%49.2%8.2%-7.5%32.1K64.6K-5.7K0.0052.19N/AN/A01001,797436
2009-03-12$24.37$25.0044.3%12.7%54.4%16.9%41.2%8.0%-5.5%41.4K-361.4K-7.7K0.6760.58N/AN/A30201,797536
2009-03-13$24.70$24.0043.9%12.6%54.7%16.7%42.7%8.1%-3.7%45.9K-532.9K-8.1K0.3350.34N/AN/A60201,827516
2009-03-16$24.13$24.0047.2%13.5%55.0%18.8%0.0%9.1%-6.3%45.0K-461.5K-7.7K0.0045.60N/AN/A001,887496
2009-03-17$25.31$24.0044.1%12.6%57.2%16.8%38.6%7.1%-3.9%57.4K-823.7K-8.6K0.0053.23N/AN/A2401,887496
2009-03-18$26.12$24.0043.6%12.5%58.4%16.6%41.4%5.7%-2.5%64.5K-1.2M-9.3K0.0065.68N/AN/A2001,886496
2009-03-19$25.93$24.0045.1%12.9%58.2%17.4%43.8%6.3%-2.4%62.9K-1.1M-9.0K10.0060.95N/AN/A2201,902496
2009-03-20$25.29$24.0047.7%13.7%58.5%19.1%0.0%9.0%-4.1%56.3K-884.6K-8.4K0.0051.74N/AN/A1001,904476
2009-03-23$27.15$24.0045.4%13.0%61.5%17.6%53.5%4.3%3.8%73.1K-1.9M-9.7K0.0074.42N/AN/A6801,780400
2009-03-24$26.07$24.0046.9%13.4%62.3%18.5%44.9%6.5%1.6%68.7K-1.4M-9.0K1.0054.14N/AN/A40401,808400
2009-03-25$26.68$24.0045.8%13.1%61.7%17.9%0.0%4.2%3.1%74.9K-1.8M-9.8K3.1469.97N/AN/A14441,848440
2009-03-26$27.92$24.0047.8%13.7%63.1%19.1%48.0%2.6%1.9%79.5K-2.2M-10.5K0.6775.90N/AN/A60401,862484
2009-03-27$26.89$25.0046.3%13.3%64.9%18.2%0.0%4.3%3.0%76.9K-1.8M-10.2K0.0069.88N/AN/A001,901494
2009-03-30$26.13$25.0051.0%14.6%61.8%21.1%51.3%6.8%0.8%68.6K-1.4M-9.6K1.5466.60N/AN/A26401,901494
2009-03-31$26.33$25.0050.3%14.4%60.8%20.7%115.3%5.9%1.4%71.4K-1.5M-10.1K0.0076.26N/AN/A1001,927534