IWC Options History — September 2009

In September 2009, IWC traded between $36.25 and $40.45. ATM implied volatility averaged 27.1%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.6% (HV 20d: 21.5%). Max pain ranged from $32.00 to $37.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 24.77.

Notable Days

  • 2009-09-03: Highest Volume — 525 contracts
  • 2009-09-17: Largest IV spike — 19.4% change
  • 2009-09-30: Highest IV Rank — 8.3%
  • 2009-09-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.88$36.25$40.45$36.30$39.47
Max Pain$36.29$32.00$37.00$32.00$37.00
ATM IV27.1%22.6%29.5%29.0%29.5%
Expected Move7.9%6.5%8.5%8.3%8.5%
HV 20d21.5%18.3%26.2%26.2%18.7%
HV 60d24.3%22.2%25.7%25.6%22.2%
IV Rank6.8%4.1%8.3%8.0%8.3%
IV Percentile11.8%0.4%23.8%18.7%23.8%
Term Structure3.8%0.6%25.6%2.8%0.6%
VWIV32.4%24.0%63.1%63.1%29.2%
Skew 25d5.9%3.9%12.1%3.9%5.5%
Skew 10d15.5%6.4%20.9%8.6%17.6%
Call IV 25d25.0%15.3%27.7%27.7%26.9%
Put IV 25d30.9%27.4%33.2%31.6%32.4%
Bid-Ask Spread %91.2973.18143.46104.5295.46
Gamma HHI0.240.170.300.270.17
Net GEX8.6K-25.7K53.5K6.9K-25.7K
Net DEX-809.4K-1.5M-39.2K-718.3K-39.2K
Net VEX-5.5K-7.6K-2.5K-2.5K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio24.770.00210.0020.0037.50
Total Volume87.238052500
Total OI1,599.2869762,0229761,826

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$36.30$32.0029.0%8.3%26.2%8.0%0.0%3.9%2.8%6.9K-718.3K-2.5K0.00104.52N/AN/A00535441
2009-09-02$36.25$32.0029.2%8.4%25.9%8.0%63.1%5.1%2.6%6.8K-705.4K-2.5K0.00105.94N/AN/A02535441
2009-09-03$36.64$32.0027.4%7.9%25.4%7.0%26.3%4.7%2.9%9.5K-819.0K-2.5K20.00103.92N/AN/A25500535441
2009-09-04$37.15$37.0025.8%8.4%23.9%6.0%0.0%6.8%2.4%-5.6K-624.8K-5.3K0.0073.78N/AN/A00560941
2009-09-08$37.33$37.0026.7%8.4%23.9%6.6%0.0%6.5%2.7%-1.8K-699.2K-5.0K210.0073.18N/AN/A1210560941
2009-09-09$38.07$37.0024.8%8.0%23.8%5.4%29.4%7.0%4.0%481-896.9K-5.6K0.0074.72N/AN/A0805591,141
2009-09-10$38.73$37.0026.5%7.6%23.7%6.4%0.0%7.0%4.7%-1.1K-1.1M-5.4K0.0082.89N/AN/A105591,221
2009-09-11$38.60$37.0027.4%7.9%23.7%7.0%0.0%6.2%4.3%-4.5K-1.0M-5.4K0.0081.47N/AN/A8005581,221
2009-09-14$38.88$37.0026.4%7.6%22.2%6.4%0.0%6.1%4.0%44.6K-1.0M-5.0K0.0083.61N/AN/A8005381,221
2009-09-15$39.36$37.0026.9%7.7%19.4%6.7%24.0%6.5%3.9%53.5K-1.1M-5.4K0.0086.72N/AN/A4005581,221
2009-09-16$39.95$37.0022.6%6.5%19.4%4.1%0.0%12.1%25.6%31.7K-1.2M-5.9K0.00143.46N/AN/A3705861,221
2009-09-17$39.88$37.0027.0%7.7%19.2%6.7%31.1%5.9%4.5%30.7K-1.5M-5.4K3.9286.49N/AN/A512006041,221
2009-09-18$40.25$37.0028.2%8.1%19.1%7.5%27.7%5.0%4.0%-2.1K-1.5M-5.6K0.0080.28N/AN/A26806291,393
2009-09-21$40.06$37.0027.0%7.7%18.3%6.7%0.0%5.8%1.8%11.6K-652.1K-6.8K0.0084.97N/AN/A005101,065
2009-09-22$40.45$37.0026.8%7.7%18.4%6.6%0.0%4.9%2.0%13.1K-841.5K-6.0K1.0084.89N/AN/A115101,065
2009-09-23$40.15$37.0027.1%7.8%18.7%6.8%0.0%4.1%1.2%16.3K-751.4K-6.3K0.0093.20N/AN/A005101,065
2009-09-24$39.39$37.0028.4%8.1%20.2%7.6%28.4%5.1%1.7%3.9K-443.0K-6.6K0.0086.63N/AN/A015101,065
2009-09-25$39.22$37.0028.3%8.1%20.3%7.5%0.0%5.9%0.7%3.3K-397.2K-6.6K0.0089.92N/AN/A01005101,066
2009-09-28$40.25$37.0027.6%7.9%21.5%7.1%29.2%5.1%1.0%4.0K-663.8K-6.2K37.50101.39N/AN/A41505101,166
2009-09-29$40.05$37.0026.9%7.7%20.6%6.7%0.0%5.3%1.3%-15.3K-333.9K-7.3K0.0099.72N/AN/A005101,316
2009-09-30$39.47$37.0029.5%8.5%18.7%8.3%0.0%5.5%0.6%-25.7K-39.2K-7.6K0.0095.46N/AN/A005101,316