IWC Options History — April 2009

In April 2009, IWC traded between $27.00 and $30.95. ATM implied volatility averaged 60.1%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 8.8% (HV 20d: 51.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 9.40.

Notable Days

  • 2009-04-29: Highest Volume — 90 contracts
  • 2009-04-09: Largest IV spike — 41.1% change
  • 2009-04-28: Highest IV Rank — 36.4%
  • 2009-04-28: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.09$27.00$30.95$27.00$30.62
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV60.1%41.0%76.0%47.9%69.3%
Expected Move17.7%13.7%21.8%13.7%19.9%
HV 20d51.3%42.1%60.7%60.7%43.2%
HV 60d50.4%48.9%51.8%50.6%49.9%
IV Rank26.6%15.0%36.4%19.1%32.3%
IV Percentile75.5%47.6%87.3%63.9%84.5%
Term Structure-27.1%-62.2%3.3%3.3%-62.2%
Skew 25d-20.8%-69.0%4.5%4.5%-69.0%
Skew 10d-19.4%-69.0%8.2%8.2%-69.0%
Call IV 25d72.1%47.9%103.8%47.9%103.8%
Put IV 25d51.3%34.8%58.0%52.4%34.8%
Bid-Ask Spread %97.0665.88116.5885.60115.23
Gamma HHI0.630.560.700.560.62
Net GEX81.4K77.3K85.1K77.3K78.5K
Net DEX-2.6M-3.3M-1.8M-1.8M-2.9M
Net VEX-9.8K-10.9K-8.8K-10.3K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.400.0040.0040.000.80
Total Volume16.905090060
Total OI2,305.4292,0212,5172,4542,103

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$27.00$25.0047.9%13.7%60.7%19.1%0.0%4.5%3.3%77.3K-1.8M-10.3K0.0085.60N/AN/A001,920534
2009-04-02$28.22$25.0050.6%14.5%55.9%20.8%0.0%1.0%2.7%80.6K-2.4M-10.7K40.00101.11N/AN/A1401,920534
2009-04-03$28.51$0.0047.5%15.6%55.9%19.0%0.0%-9.8%-14.5%80.2K-2.5M-10.9K0.0072.24N/AN/A001,920574
2009-04-06$28.04$0.0047.2%16.3%55.7%18.7%0.0%-0.4%-10.5%80.1K-2.3M-10.5K0.0065.88N/AN/A4001,920574
2009-04-07$27.14$0.0044.5%14.3%55.2%17.1%0.0%1.0%-2.5%82.0K-1.8M-10.1K0.0072.66N/AN/A001,943574
2009-04-08$27.74$0.0041.0%14.2%55.3%15.0%0.0%2.4%-3.1%84.8K-2.2M-10.2K0.0070.90N/AN/A4001,943574
2009-04-09$29.16$0.0057.9%16.6%53.6%25.3%0.0%-16.5%-22.9%81.0K-2.8M-10.3K0.0095.24N/AN/A001,903574
2009-04-13$29.28$0.0061.2%17.5%53.6%27.3%0.0%-18.3%-25.6%82.3K-2.9M-10.1K0.0096.66N/AN/A001,903574
2009-04-14$28.46$0.0059.9%17.2%54.0%26.5%0.0%-18.3%-23.5%79.3K-2.5M-9.9K0.00101.25N/AN/A001,903574
2009-04-15$29.03$0.0061.4%17.6%52.2%27.4%0.0%-21.6%-27.3%81.7K-2.8M-9.9K0.0096.56N/AN/A001,903574
2009-04-16$29.82$0.0057.0%16.4%51.9%24.8%0.0%-12.2%-21.0%85.1K-3.1M-9.8K0.00108.16N/AN/A001,903574
2009-04-17$30.16$0.0061.3%17.6%51.7%27.4%0.0%-22.1%-30.8%84.3K-3.3M-9.5K0.00101.81N/AN/A0101,900574
2009-04-20$28.55$0.0065.9%18.9%55.1%30.2%0.0%-23.2%-32.6%80.1K-2.1M-9.5K0.0096.66N/AN/A0101,727294
2009-04-21$29.68$0.0063.0%18.1%51.1%28.4%0.0%-16.4%-28.1%82.5K-2.5M-9.5K0.00104.07N/AN/A001,727304
2009-04-22$29.70$0.0069.3%19.9%48.3%32.2%0.0%-26.4%-37.9%81.6K-2.6M-9.4K25.00101.39N/AN/A2501,727304
2009-04-23$29.40$0.0067.8%19.4%48.3%31.3%0.0%-25.6%-35.6%81.3K-2.4M-9.6K0.00107.91N/AN/A001,727354
2009-04-24$29.92$0.0070.4%20.2%46.1%32.9%0.0%-28.8%-41.0%81.5K-2.6M-9.5K0.00104.17N/AN/A1101,727354
2009-04-27$29.62$0.0074.8%21.4%43.9%35.6%0.0%-34.0%-47.0%81.4K-2.4M-9.3K0.00108.15N/AN/A001,738354
2009-04-28$29.90$0.0076.0%21.8%42.1%36.4%0.0%-36.1%-49.6%83.8K-2.6M-9.2K0.00116.58N/AN/A101,738354
2009-04-29$30.95$0.0068.5%19.6%43.2%31.8%0.0%-66.9%-60.1%79.7K-3.1M-9.0K0.80116.13N/AN/A50401,739354
2009-04-30$30.62$0.0069.3%19.9%43.2%32.3%0.0%-69.0%-62.2%78.5K-2.9M-8.8K0.00115.23N/AN/A0601,709394