IWC Options History — July 2009

In July 2009, IWC traded between $30.84 and $36.01. ATM implied volatility averaged 30.6%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 2.6% (HV 20d: 28.0%). Max pain ranged from $28.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 4.67.

Notable Days

  • 2009-07-31: Highest Volume — 100 contracts
  • 2009-07-30: Largest IV spike — 145.7% change
  • 2009-07-30: Highest IV Rank — 29.8%
  • 2009-07-30: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.46$30.84$36.01$33.54$35.96
Max Pain$32.27$28.00$35.00$28.00$33.00
ATM IV30.6%26.2%68.3%26.2%26.9%
Expected Move8.8%7.5%19.6%7.5%7.7%
HV 20d28.0%22.1%31.3%25.4%22.1%
HV 60d31.5%29.2%34.7%34.6%29.3%
IV Rank6.2%3.4%29.8%3.4%3.9%
IV Percentile20.3%11.5%81.0%13.9%11.5%
Term Structure-0.6%-22.4%1.9%1.8%1.1%
VWIV27.2%24.9%29.6%28.3%24.9%
Skew 25d6.0%2.9%14.0%6.6%3.6%
Skew 10d17.2%6.5%31.3%10.8%12.5%
Call IV 25d28.9%14.1%92.8%24.4%25.4%
Put IV 25d35.0%28.1%96.5%31.0%29.0%
Bid-Ask Spread %99.8876.23157.56115.17108.96
Gamma HHI0.190.140.280.170.16
Net GEX23.2K11.6K43.9K20.9K19.6K
Net DEX-671.5K-934.7K-367.5K-656.0K-908.2K
Net VEX-2.3K-3.1K-1.8K-2.4K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.670.0040.000.000.25
Total Volume19.682010040100
Total OI631.636562798562798

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$33.54$28.0026.2%7.5%25.4%3.4%28.3%6.6%1.8%20.9K-656.0K-2.4K0.00115.17N/AN/A400372190
2009-07-02$32.38$28.0030.2%8.7%27.3%5.9%0.0%5.1%1.5%26.1K-582.1K-2.5K0.00114.54N/AN/A00412190
2009-07-06$32.05$0.0031.2%8.7%27.4%6.6%0.0%8.6%0.4%25.5K-546.3K-2.4K0.0081.94N/AN/A01412190
2009-07-07$31.49$0.0034.7%9.7%27.8%8.7%0.0%8.2%-0.2%21.5K-455.9K-2.4K0.0081.12N/AN/A00412191
2009-07-08$31.04$0.0034.1%9.6%28.0%8.4%0.0%7.6%-0.2%19.0K-408.9K-2.3K0.0076.23N/AN/A00412191
2009-07-09$30.84$0.0030.6%9.2%27.9%6.2%0.0%7.3%0.9%16.7K-376.7K-2.3K1.6783.70N/AN/A1220412191
2009-07-10$31.07$0.0029.8%9.2%27.8%5.7%0.0%7.4%0.5%16.2K-367.5K-2.3K0.0082.36N/AN/A00414211
2009-07-13$31.74$0.0031.1%8.4%29.3%6.5%0.0%6.9%1.7%21.9K-453.5K-2.3K0.0090.28N/AN/A00414211
2009-07-14$31.95$0.0029.9%8.2%28.2%5.7%0.0%6.7%1.7%24.1K-481.1K-2.2K0.0093.99N/AN/A00414211
2009-07-15$33.18$0.0027.4%8.2%31.0%4.1%0.0%6.7%0.5%40.2K-680.9K-2.2K0.0093.24N/AN/A20414211
2009-07-16$33.58$0.0027.4%7.9%31.0%4.2%0.0%6.0%0.9%41.5K-761.7K-2.2K0.0092.42N/AN/A120416211
2009-07-17$33.42$0.0028.6%8.2%31.1%4.9%0.0%6.3%1.4%43.9K-741.7K-2.2K0.0093.17N/AN/A00424211
2009-07-20$33.81$0.0027.4%7.9%31.3%4.2%25.5%5.5%0.6%18.2K-682.8K-2.0K0.0596.72N/AN/A211364201
2009-07-21$33.65$35.0026.2%7.5%28.2%3.4%27.6%5.3%1.5%21.0K-688.8K-2.1K0.0095.52N/AN/A05385202
2009-07-22$33.95$33.0026.5%7.6%27.9%3.6%0.0%4.2%1.2%20.7K-724.9K-2.1K0.00104.40N/AN/A00385207
2009-07-23$34.89$33.0027.4%7.9%29.1%4.1%0.0%3.5%0.7%21.2K-849.4K-2.1K40.0096.81N/AN/A140385207
2009-07-24$35.19$33.0027.2%7.8%28.0%4.0%0.0%3.4%0.7%16.8K-840.4K-2.1K0.00102.59N/AN/A00386247
2009-07-27$35.48$33.0027.6%7.9%27.3%4.3%0.0%2.9%1.3%17.1K-898.4K-1.8K0.0098.07N/AN/A600386247
2009-07-28$35.49$33.0026.7%7.6%26.6%3.7%29.6%14.0%-10.8%24.0K-934.7K-2.1K0.00140.78N/AN/A05446247
2009-07-29$35.41$33.0027.8%8.0%26.5%4.4%0.0%3.4%1.9%22.0K-896.8K-2.4K0.0097.86N/AN/A070446252
2009-07-30$36.01$33.0068.3%19.6%26.3%29.8%0.0%3.7%-22.4%11.6K-835.5K-3.1K0.07157.56N/AN/A403446322
2009-07-31$35.96$33.0026.9%7.7%22.1%3.9%24.9%3.6%1.1%19.6K-908.2K-2.8K0.25108.96N/AN/A8020476322