IWC Options History — October 2009

In October 2009, IWC traded between $35.86 and $40.55. ATM implied volatility averaged 28.1%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.2% (HV 20d: 23.9%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 28.26.

Notable Days

  • 2009-10-28: Highest Volume — 428 contracts
  • 2009-10-12: Largest IV spike — 15.2% change
  • 2009-10-30: Highest IV Rank — 10.5%
  • 2009-10-30: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.84$35.86$40.55$38.14$35.86
Max Pain$38.82$37.00$39.00$37.00$39.00
ATM IV28.1%24.3%33.2%31.7%33.2%
Expected Move8.2%7.2%9.5%9.1%9.5%
HV 20d23.9%22.8%26.7%23.2%26.7%
HV 60d23.0%22.0%24.9%23.2%24.9%
IV Rank7.4%5.1%10.5%9.6%10.5%
IV Percentile17.4%0.8%38.5%28.2%38.5%
Term Structure1.9%-10.8%11.4%0.8%-0.8%
VWIV27.0%16.1%32.1%28.5%32.1%
Skew 25d8.7%5.0%60.6%5.2%7.5%
Skew 10d14.8%8.1%22.0%10.7%22.0%
Call IV 25d25.9%22.8%30.4%29.5%30.4%
Put IV 25d34.6%28.1%88.5%34.7%37.8%
Bid-Ask Spread %83.7659.91148.4987.8682.66
Gamma HHI0.310.170.540.190.54
Net GEX-71.3K-143.7K31.5K-63.8K-64.9K
Net DEX738.4K-280.8K2.3M618.9K1.6M
Net VEX-8.9K-10.0K-7.9K-7.9K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio28.260.00300.005.003.13
Total Volume84.182042812040
Total OI2,232.51,8262,5801,8262,093

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$38.14$37.0031.7%9.1%23.2%9.6%28.5%5.2%0.8%-63.8K618.9K-7.9K5.0087.86N/AN/A201005101,316
2009-10-02$37.82$37.0030.5%8.7%23.3%8.9%30.2%5.0%2.0%-85.5K1.0M-8.3K300.0092.56N/AN/A13005101,416
2009-10-05$38.56$39.0028.8%8.7%23.7%7.8%30.1%7.1%2.3%-76.9K833.5K-10.0K0.0061.27N/AN/A4005111,716
2009-10-06$39.27$39.0028.8%8.6%24.4%7.8%0.0%6.8%2.6%-45.7K273.5K-9.4K0.0068.39N/AN/A005511,716
2009-10-07$39.31$39.0028.6%8.4%23.6%7.7%0.0%6.9%2.6%-39.1K218.6K-9.3K0.0071.16N/AN/A005511,716
2009-10-08$39.57$39.0026.4%8.0%22.9%6.4%29.7%6.5%3.8%-26.5K64.6K-9.1K0.0059.91N/AN/A01505511,716
2009-10-09$40.03$39.0024.3%7.8%23.2%5.1%0.0%6.2%4.5%-25.4K-48.5K-8.9K0.0068.89N/AN/A0205511,866
2009-10-12$39.85$39.0028.0%7.8%23.2%7.3%30.0%6.7%4.5%-20.4K62.8K-8.9K0.0070.76N/AN/A01405511,886
2009-10-13$39.75$39.0026.4%7.7%22.8%6.4%0.0%6.0%4.6%-33.0K290.4K-9.5K0.0071.35N/AN/A005512,026
2009-10-14$40.55$39.0024.3%7.4%23.3%5.1%0.0%6.3%-4.2%-5.5K-280.8K-8.6K0.0077.63N/AN/A005512,026
2009-10-15$40.42$39.0026.8%7.7%23.3%6.6%26.7%5.4%4.0%14.3K-229.0K-8.4K1.0072.68N/AN/A225512,026
2009-10-16$40.00$39.0025.1%7.2%23.4%5.6%25.3%5.2%4.9%31.5K77.4K-8.4K0.0080.17N/AN/A4205522,028
2009-10-19$40.21$39.0025.4%7.3%23.4%5.7%23.9%5.4%11.4%-122.6K444.8K-8.3K0.0086.76N/AN/A1903131,775
2009-10-20$39.51$39.0026.1%7.5%24.0%6.2%26.0%6.3%4.8%-129.5K765.0K-8.9K0.0096.01N/AN/A203301,775
2009-10-21$38.92$39.0027.3%7.8%24.4%6.9%0.0%5.4%3.6%-134.8K1.0M-9.1K0.0076.24N/AN/A503321,775
2009-10-22$39.45$39.0026.5%7.6%24.0%6.4%0.0%5.4%3.1%-137.0K732.4K-8.6K0.0082.60N/AN/A003371,775
2009-10-23$38.55$39.0026.4%7.6%25.4%6.3%0.0%5.3%3.7%-143.7K1.2M-8.9K0.0082.14N/AN/A003371,775
2009-10-26$38.03$39.0029.4%8.4%23.6%8.2%22.8%60.6%-10.8%-129.1K1.9M-9.9K0.29128.07N/AN/A35103371,775
2009-10-27$37.38$39.0032.3%9.3%24.2%10.0%16.1%8.4%-5.0%-118.5K1.6M-8.9K0.00148.49N/AN/A01003621,785
2009-10-28$36.24$39.0033.0%9.5%25.8%10.4%29.2%7.6%-1.0%-115.7K2.3M-8.7K1.4088.41N/AN/A1782503621,751
2009-10-29$36.98$39.0028.9%8.3%24.6%7.9%27.0%6.3%0.3%-97.0K1.8M-8.5K3.1388.77N/AN/A963004901,691
2009-10-30$35.86$39.0033.2%9.5%26.7%10.5%32.1%7.5%-0.8%-64.9K1.6M-8.5K0.0082.66N/AN/A0405761,517