IWC Options History — May 2009

In May 2009, IWC traded between $30.03 and $32.14. ATM implied volatility averaged 59.9%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 22.0% (HV 20d: 37.8%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2009-05-12: Highest Volume — 1,000 contracts
  • 2009-05-11: Largest IV drop — 74.8% change
  • 2009-05-08: Highest IV Rank — 82.4%
  • 2009-05-01: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.20$30.03$32.14$30.69$31.89
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV59.9%33.5%151.4%71.1%33.5%
Expected Move11.3%9.6%20.4%20.4%9.6%
HV 20d37.8%34.0%41.9%40.8%35.9%
HV 60d49.3%47.1%50.3%49.8%47.1%
IV Rank26.0%9.5%82.4%33.3%9.5%
IV Percentile51.1%28.2%97.2%85.3%28.2%
Term Structure-3.7%-64.3%0.5%-64.3%0.2%
VWIV42.3%37.9%46.6%37.9%46.6%
Skew 25d4.0%-69.6%9.7%-69.6%7.0%
Skew 10d14.6%-69.6%30.2%-69.6%16.9%
Call IV 25d37.6%30.7%105.9%105.9%30.7%
Put IV 25d41.6%36.3%46.2%36.3%37.7%
Bid-Ask Spread %83.9767.84118.12118.12101.23
Gamma HHI0.440.310.590.580.31
Net GEX44.6K22.4K73.9K73.9K27.0K
Net DEX-3.0M-3.6M-1.9M-2.8M-3.6M
Net VEX-8.4K-10.8K-6.4K-9.1K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume56.0501,00001
Total OI2,752.852,1333,1832,1633,183

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$30.69$0.0071.1%20.4%40.8%33.3%0.0%-69.6%-64.3%73.9K-2.8M-9.1K0.00118.12N/AN/A001,709454
2009-05-04$31.66$28.0083.4%11.2%41.9%40.9%37.9%8.0%-0.1%73.6K-3.3M-8.3K0.0069.74N/AN/A3001,709454
2009-05-05$31.42$28.0089.9%11.6%41.4%44.9%0.0%7.8%-1.0%68.7K-3.2M-8.1K0.0070.27N/AN/A001,679454
2009-05-06$31.55$28.00140.5%11.2%38.8%75.8%0.0%7.3%-1.0%70.0K-3.3M-8.1K0.0071.99N/AN/A401,679454
2009-05-07$30.91$28.00137.8%11.5%39.7%74.1%0.0%7.4%-0.8%73.3K-3.0M-8.3K0.0067.84N/AN/A001,683454
2009-05-08$32.14$28.00151.4%10.9%38.2%82.4%0.0%6.8%-0.6%68.0K-3.6M-7.3K0.0075.18N/AN/A001,683454
2009-05-11$31.75$28.0038.2%10.9%38.7%13.2%0.0%7.5%-0.9%67.6K-3.5M-7.4K0.0075.13N/AN/A0151,683454
2009-05-12$31.38$28.0038.0%10.9%37.3%13.1%46.6%7.0%-0.4%73.2K-3.3M-7.4K0.0077.98N/AN/A01,0001,683469
2009-05-13$30.03$28.0040.5%11.6%40.6%14.6%0.0%9.7%-1.2%22.4K-1.9M-10.8K0.0081.93N/AN/A4001,6831,429
2009-05-14$30.58$28.0038.4%11.0%40.0%12.5%0.0%7.8%-1.2%25.9K-2.3M-10.3K0.0077.39N/AN/A001,7231,429
2009-05-15$30.32$28.0040.3%11.5%40.0%13.6%0.0%9.3%-2.4%25.2K-2.2M-10.6K0.0080.00N/AN/A001,7231,429
2009-05-18$31.46$28.0036.8%10.5%36.3%11.5%0.0%7.5%0.2%27.3K-3.0M-8.8K0.0086.17N/AN/A101,7231,429
2009-05-19$31.37$28.0036.5%10.5%34.0%11.3%0.0%7.5%0.3%27.2K-3.0M-8.7K0.0085.25N/AN/A0101,7241,429
2009-05-20$31.16$28.0036.3%10.4%34.2%11.2%0.0%8.3%0.0%29.5K-2.9M-8.8K0.0085.71N/AN/A001,7241,439
2009-05-21$30.65$28.0036.7%10.5%34.6%11.4%0.0%8.4%0.5%26.9K-2.6M-9.1K0.0085.55N/AN/A001,7241,439
2009-05-22$30.49$28.0038.2%11.0%34.2%12.4%0.0%7.8%0.1%26.6K-2.4M-9.1K0.0094.08N/AN/A001,7241,439
2009-05-26$31.84$28.0035.9%10.3%37.0%11.0%0.0%8.1%-0.5%29.0K-3.5M-7.2K0.0090.11N/AN/A0101,7241,439
2009-05-27$31.30$28.0037.5%10.8%37.7%11.9%0.0%8.8%-0.9%27.9K-3.1M-7.4K0.0094.10N/AN/A001,7241,449
2009-05-28$31.32$28.0036.6%10.5%35.7%11.4%0.0%7.7%0.1%27.9K-3.2M-6.7K0.0091.58N/AN/A0101,7241,449
2009-05-29$31.89$28.0033.5%9.6%35.9%9.5%0.0%7.0%0.2%27.0K-3.6M-6.4K0.00101.23N/AN/A101,7241,459