IWC Options History — November 2009

In November 2009, IWC traded between $35.46 and $37.70. ATM implied volatility averaged 28.0%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 0.6% (HV 20d: 28.6%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 14.53.

Notable Days

  • 2009-11-18: Highest Volume — 106 contracts
  • 2009-11-03: Largest IV spike — 29.4% change
  • 2009-11-04: Highest IV Rank — 11.1%
  • 2009-11-04: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.76$35.46$37.70$35.52$36.44
Max Pain$37.40$37.00$39.00$39.00$37.00
ATM IV28.0%24.6%34.1%24.8%29.2%
Expected Move8.1%7.0%9.8%7.1%8.4%
HV 20d28.6%25.0%31.1%25.4%26.4%
HV 60d24.8%24.2%25.5%24.3%25.2%
IV Rank7.3%5.3%11.1%5.4%8.1%
IV Percentile21.3%2.0%40.9%2.0%35.3%
Term Structure1.8%-0.5%10.0%10.0%0.4%
VWIV28.1%25.9%30.4%29.0%25.9%
Skew 25d5.7%2.2%31.9%31.9%4.5%
Skew 10d12.4%5.9%31.9%31.9%9.8%
Call IV 25d27.0%16.0%29.8%16.0%27.1%
Put IV 25d32.7%27.5%47.8%47.8%31.6%
Bid-Ask Spread %95.1481.09127.83127.8395.51
Gamma HHI0.400.270.520.500.48
Net GEX-73.1K-95.7K-52.2K-81.5K-76.7K
Net DEX1.3M126.2K2.0M1.7M454.9K
Net VEX-6.3K-8.4K-4.6K-8.4K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.530.00105.0010.000.00
Total Volume16.150106202
Total OI2,023.81,5272,2392,1331,533

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$35.52$39.0024.8%7.1%25.4%5.4%0.0%31.9%10.0%-81.5K1.7M-8.4K0.00127.83N/AN/A0205761,557
2009-11-03$36.02$39.0032.1%9.2%25.0%9.8%0.0%7.4%-0.3%-76.2K1.8M-8.0K0.0099.15N/AN/A005761,577
2009-11-04$35.46$39.0034.1%9.8%25.2%11.1%0.0%7.6%0.3%-78.9K2.0M-7.8K0.0099.96N/AN/A005761,577
2009-11-05$36.65$39.0029.7%8.5%28.4%8.4%0.0%5.7%0.6%-71.2K1.5M-7.9K10.0099.61N/AN/A2205761,577
2009-11-06$36.67$37.0027.3%8.3%27.9%6.9%29.0%5.2%1.6%-70.2K1.5M-7.4K2.0081.09N/AN/A10205781,558
2009-11-09$37.27$37.0028.1%8.2%28.8%7.4%0.0%3.4%1.3%-69.1K1.3M-7.2K0.0085.48N/AN/A1005881,578
2009-11-10$36.87$37.0026.5%8.0%28.9%6.4%27.9%4.0%1.9%-70.3K1.5M-6.7K25.0083.05N/AN/A2505981,578
2009-11-11$37.16$37.0025.9%7.9%27.9%6.0%0.0%3.7%2.2%-73.6K1.4M-6.8K0.0085.91N/AN/A0116001,598
2009-11-12$36.27$37.0029.8%8.6%28.8%8.5%0.0%4.8%1.3%-81.3K1.8M-6.6K0.0083.94N/AN/A046001,608
2009-11-13$36.49$37.0029.1%8.4%29.0%8.0%0.0%4.6%1.7%-77.4K1.8M-6.3K0.0084.81N/AN/A006001,612
2009-11-16$37.53$37.0028.7%8.2%31.1%7.8%30.4%2.5%0.9%-68.4K1.2M-6.0K1.3198.22N/AN/A16216001,612
2009-11-17$37.70$37.0027.1%7.8%30.7%6.8%0.0%3.3%1.4%-70.8K1.2M-5.4K2.00105.06N/AN/A485851,633
2009-11-18$37.63$37.0027.4%7.9%30.4%7.0%27.4%2.2%1.9%-68.4K1.3M-5.3K105.0099.04N/AN/A11055811,640
2009-11-19$36.66$37.0027.7%7.9%31.0%7.1%0.0%4.1%2.0%-88.1K1.8M-5.9K0.0093.43N/AN/A005801,659
2009-11-20$36.69$37.0026.7%7.6%30.2%6.5%0.0%4.6%3.0%-95.7K1.8M-5.6K0.0090.77N/AN/A1005801,659
2009-11-23$37.45$37.0025.9%7.4%30.9%6.0%25.9%2.6%1.4%-58.8K126.2K-4.7K0.00100.81N/AN/A702421,285
2009-11-24$37.33$37.0024.6%7.0%30.3%5.3%0.0%2.8%2.2%-52.2K135.7K-4.7K0.00102.97N/AN/A002481,285
2009-11-25$37.15$37.0025.3%7.2%28.1%5.7%0.0%2.9%2.3%-60.4K176.2K-4.6K0.0098.83N/AN/A002481,285
2009-11-27$36.25$37.0030.2%8.7%28.6%8.7%0.0%5.9%-0.5%-73.5K613.0K-5.5K0.0087.39N/AN/A002481,285
2009-11-30$36.44$37.0029.2%8.4%26.4%8.1%0.0%4.5%0.4%-76.7K454.9K-4.8K0.0095.51N/AN/A202481,285