IWC Options History — August 2009

In August 2009, IWC traded between $35.58 and $38.31. ATM implied volatility averaged 26.0%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.2% (HV 20d: 22.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2009-08-24: Highest Volume — 190 contracts
  • 2009-08-18: Largest IV spike — 79.8% change
  • 2009-08-18: Highest IV Rank — 7.8%
  • 2009-08-18: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.07$35.58$38.31$36.55$37.26
Max Pain$31.33$30.00$35.00$33.00$32.00
ATM IV26.0%16.0%28.7%26.8%26.8%
Expected Move7.5%4.6%8.2%7.7%7.7%
HV 20d22.8%19.0%25.1%21.6%24.6%
HV 60d26.5%24.8%29.1%29.1%25.0%
IV Rank4.7%0.0%7.8%3.7%6.6%
IV Percentile8.9%0.0%18.7%10.7%9.5%
Term Structure2.8%0.6%12.4%0.7%2.9%
VWIV29.0%23.9%54.7%27.3%26.7%
Skew 25d4.0%-5.4%6.0%3.1%4.3%
Skew 10d8.2%-0.4%12.9%12.9%6.4%
Call IV 25d25.2%22.7%26.5%26.2%24.8%
Put IV 25d29.2%21.1%32.1%29.3%29.1%
Bid-Ask Spread %92.8450.87127.11102.44101.66
Gamma HHI0.380.190.580.340.31
Net GEX35.5K14.2K63.9K35.0K14.2K
Net DEX-1.1M-1.4M-721.9K-1.0M-994.2K
Net VEX-2.6K-3.0K-2.0K-3.0K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.001.000.000.30
Total Volume17.6670190113
Total OI924.19785969888969

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$36.55$33.0026.8%7.7%21.6%3.7%27.3%3.1%0.7%35.0K-1.0M-3.0K0.00102.44N/AN/A01546342
2009-08-04$36.92$35.0026.2%7.5%19.6%3.4%0.0%2.9%0.9%37.4K-1.1M-2.9K0.00110.49N/AN/A040546343
2009-08-05$36.55$35.0026.0%7.4%19.0%3.3%27.0%2.7%1.0%35.6K-1.0M-3.0K0.00116.25N/AN/A01546363
2009-08-06$35.93$35.0028.1%8.1%20.4%4.6%28.1%3.7%0.6%30.3K-866.6K-2.9K0.00110.70N/AN/A10546363
2009-08-07$36.95$30.0026.2%8.0%21.7%3.4%0.0%3.9%1.3%38.0K-1.1M-2.7K0.0082.46N/AN/A10546363
2009-08-10$37.14$30.0026.9%8.0%21.2%3.9%0.0%4.6%1.3%42.8K-1.2M-2.7K0.0078.19N/AN/A400547363
2009-08-11$36.46$30.0027.4%8.1%23.2%4.0%54.7%4.7%1.7%45.6K-1.0M-2.8K0.7588.98N/AN/A2015587363
2009-08-12$37.12$30.0025.4%7.9%20.5%2.7%0.0%5.9%1.8%59.1K-1.2M-2.6K0.0077.97N/AN/A010577363
2009-08-13$37.32$30.0027.7%7.9%20.4%4.2%25.0%5.1%1.4%63.9K-1.2M-2.6K0.0082.78N/AN/A10573351
2009-08-14$36.54$30.0026.6%7.6%22.2%2.8%0.0%5.1%2.8%47.9K-989.6K-2.4K0.0086.97N/AN/A30574347
2009-08-17$35.58$30.0016.0%4.6%24.6%0.0%29.4%-5.4%12.4%21.5K-721.9K-2.0K0.00127.11N/AN/A03577347
2009-08-18$36.12$30.0028.7%8.2%24.8%7.8%28.7%6.0%2.2%32.6K-864.3K-2.3K0.0086.30N/AN/A010577350
2009-08-19$36.67$30.0027.4%7.9%25.1%7.0%0.0%5.9%2.8%42.5K-965.5K-2.4K0.0086.33N/AN/A00577360
2009-08-20$37.08$30.0026.5%7.6%23.7%6.4%0.0%5.1%3.5%47.6K-1.1M-2.2K0.0088.80N/AN/A00576360
2009-08-21$37.86$30.0025.6%7.3%24.5%5.9%23.9%5.2%4.5%61.3K-1.4M-2.1K0.0050.87N/AN/A20576360
2009-08-24$37.88$30.0026.5%7.6%24.4%6.4%27.7%4.4%3.0%19.7K-1.1M-2.0K0.7683.31N/AN/A10882433352
2009-08-25$38.16$32.0026.3%7.5%24.5%6.3%28.0%3.7%3.1%16.8K-1.2M-2.7K1.0096.68N/AN/A33521434
2009-08-26$38.31$32.0026.4%7.6%24.4%6.4%26.1%3.6%2.9%17.8K-1.3M-2.6K0.6793.82N/AN/A64523433
2009-08-27$38.26$32.0025.1%7.2%23.9%5.5%24.9%4.0%3.1%19.1K-1.3M-2.6K0.00101.99N/AN/A02529437
2009-08-28$37.84$32.0024.4%7.0%24.4%5.1%0.0%5.2%3.7%17.7K-1.2M-2.7K0.0095.50N/AN/A20529439
2009-08-31$37.26$32.0026.8%7.7%24.6%6.6%26.7%4.3%2.9%14.2K-994.2K-2.6K0.30101.66N/AN/A103530439