IWC Options History — June 2009

In June 2009, IWC traded between $31.62 and $33.99. ATM implied volatility averaged 31.6%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 1.6% (HV 20d: 30.0%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.09.

Notable Days

  • 2009-06-19: Highest Volume — 61 contracts
  • 2009-06-25: Largest IV drop — 12.2% change
  • 2009-06-03: Highest IV Rank — 10.2%
  • 2009-06-16: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.10$31.62$33.99$32.96$32.88
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV31.6%27.6%35.0%34.5%27.6%
Expected Move9.1%7.9%10.0%9.9%7.9%
HV 20d30.0%24.4%37.6%37.6%24.4%
HV 60d39.7%34.6%45.3%45.2%34.6%
IV Rank7.1%4.3%10.2%10.1%4.3%
IV Percentile24.6%17.5%29.0%29.0%17.5%
Term Structure0.9%-0.3%3.3%-0.2%1.3%
VWIV30.1%25.5%35.3%31.4%26.1%
Skew 25d6.7%4.2%8.2%7.2%5.6%
Skew 10d18.7%10.3%27.4%20.5%10.3%
Call IV 25d29.3%24.7%32.0%32.0%25.9%
Put IV 25d36.0%30.1%39.4%39.2%31.5%
Bid-Ask Spread %96.2567.38113.39112.61109.99
Gamma HHI0.190.150.270.230.18
Net GEX27.4K12.2K47.0K23.8K18.5K
Net DEX-3.4M-4.9M-431.1K-4.2M-582.2K
Net VEX-2.9K-5.0K-2.3K-5.0K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.000.920.000.00
Total Volume13.63606102
Total OI2,374.4555303,2853,183560

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$32.96$28.0034.5%9.9%37.6%10.1%0.0%7.2%-0.2%23.8K-4.2M-5.0K0.00112.61N/AN/A001,7241,459
2009-06-02$33.45$28.0034.3%9.8%36.4%10.0%0.0%7.0%-0.2%38.8K-4.7M-3.6K0.00104.66N/AN/A001,7241,459
2009-06-03$33.25$28.0034.6%9.9%36.4%10.2%31.4%5.9%0.2%26.8K-4.5M-3.9K0.00110.69N/AN/A4701,6941,459
2009-06-04$33.90$28.0033.0%9.5%36.8%9.1%35.3%6.2%0.9%40.9K-4.8M-3.5K0.00111.04N/AN/A3001,7401,459
2009-06-05$33.99$28.0031.8%9.5%35.7%8.4%0.0%7.3%0.1%37.3K-4.9M-3.3K0.0068.49N/AN/A001,7351,459
2009-06-08$33.72$28.0032.4%9.6%33.6%7.3%32.4%7.1%-0.1%25.4K-4.8M-2.9K0.0067.38N/AN/A1001,7351,459
2009-06-09$33.81$28.0029.3%9.2%33.1%5.3%0.0%7.2%0.6%32.5K-4.8M-2.8K0.0080.57N/AN/A001,7451,459
2009-06-10$33.52$28.0030.0%9.2%33.0%5.8%0.0%7.2%0.8%25.4K-4.7M-2.8K0.0081.28N/AN/A4401,7451,459
2009-06-11$33.83$28.0028.4%8.1%27.9%4.8%0.0%4.2%3.3%45.3K-4.9M-2.9K0.00105.69N/AN/A001,7871,459
2009-06-12$33.79$28.0031.3%9.0%27.6%6.6%0.0%7.4%0.3%47.0K-4.9M-2.8K0.0085.22N/AN/A4001,7861,459
2009-06-15$32.93$28.0034.4%9.9%29.3%8.5%0.0%8.2%-0.3%30.9K-4.6M-2.8K0.0080.47N/AN/A001,8261,459
2009-06-16$32.46$28.0035.0%10.0%27.3%8.9%0.0%7.9%0.0%12.2K-4.4M-2.7K0.0084.45N/AN/A001,8261,459
2009-06-17$32.81$28.0033.5%9.6%27.5%8.0%0.0%8.0%0.7%29.0K-4.5M-2.6K0.0087.27N/AN/A0241,8261,459
2009-06-18$32.89$28.0032.1%9.2%27.2%7.1%0.0%7.9%1.2%35.6K-4.6M-2.4K0.0089.34N/AN/A001,8261,449
2009-06-19$33.08$28.0031.0%8.9%26.3%6.4%0.0%7.7%1.8%43.0K-4.6M-2.3K0.00101.86N/AN/A6101,8261,449
2009-06-22$31.91$28.0033.7%9.7%29.7%8.1%0.0%6.7%1.4%12.8K-451.4K-2.6K0.9291.07N/AN/A1211341189
2009-06-23$31.62$28.0032.6%9.3%25.7%7.4%0.0%6.5%1.5%12.8K-431.1K-2.6K0.00100.48N/AN/A00351190
2009-06-24$31.96$28.0031.7%9.1%25.2%6.8%0.0%5.4%1.2%13.7K-463.6K-2.6K0.00109.02N/AN/A110351190
2009-06-25$32.80$28.0027.8%8.0%26.7%4.4%0.0%5.6%2.1%16.2K-561.6K-2.5K0.00110.52N/AN/A00362190
2009-06-26$33.50$28.0027.6%7.9%26.9%4.3%0.0%5.5%2.2%17.8K-636.4K-2.5K0.00113.39N/AN/A00362190
2009-06-29$33.06$28.0027.8%8.0%24.9%4.4%25.5%6.3%1.1%17.5K-594.9K-2.4K0.00111.93N/AN/A80362190
2009-06-30$32.88$28.0027.6%7.9%24.4%4.3%26.1%5.6%1.3%18.5K-582.2K-2.5K0.00109.99N/AN/A20370190