IWC Options History — December 2009

In December 2009, IWC traded between $36.79 and $39.40. ATM implied volatility averaged 23.7%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.1% (HV 20d: 21.5%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.23.

Notable Days

  • 2009-12-11: Highest Volume — 302 contracts
  • 2009-12-30: Largest IV spike — 88.2% change
  • 2009-12-17: Highest IV Rank — 8.4%
  • 2009-12-17: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.20$36.79$39.40$36.95$39.03
Max Pain$38.09$37.00$39.00$37.00$38.00
ATM IV23.7%11.8%29.7%26.5%21.3%
Expected Move6.8%3.4%8.5%7.6%6.1%
HV 20d21.5%15.8%26.5%26.5%16.3%
HV 60d24.9%23.0%25.4%25.2%23.0%
IV Rank5.0%0.0%8.4%6.4%5.7%
IV Percentile8.4%0.0%42.1%13.9%2.4%
Term Structure3.3%-0.7%12.8%0.8%4.6%
VWIV28.4%18.9%66.1%26.6%21.9%
Skew 25d6.0%-0.4%10.3%3.3%7.0%
Skew 10d15.5%-0.0%24.8%7.2%10.2%
Call IV 25d21.0%10.7%26.6%26.6%17.0%
Put IV 25d26.9%13.1%32.5%29.9%24.0%
Bid-Ask Spread %104.8679.32147.57104.13123.26
Gamma HHI0.360.290.500.410.44
Net GEX37.2K-62.2K152.5K-62.2K152.5K
Net DEX-593.9K-1.5M277.6K212.9K-1.4M
Net VEX-4.8K-5.8K-4.0K-4.4K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.002.500.202.50
Total Volume37.27303021842
Total OI1,513.4559291,9581,5351,218

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$36.95$37.0026.5%7.6%26.5%6.4%26.6%3.3%0.8%-62.2K212.9K-4.4K0.20104.13N/AN/A1532501,285
2009-12-02$37.25$37.0023.6%6.8%26.2%4.6%22.8%-0.4%5.0%-32.7K-7.8K-4.1K0.00128.24N/AN/A0402531,288
2009-12-03$36.79$37.0026.6%7.6%26.0%6.5%66.1%3.9%1.2%-57.9K277.6K-4.4K0.00107.72N/AN/A202531,328
2009-12-04$37.72$39.0026.7%7.6%24.8%6.5%0.0%7.3%2.4%-34.0K-17.6K-4.0K0.0087.45N/AN/A0422531,328
2009-12-07$38.00$39.0027.3%7.7%24.9%6.9%0.0%7.2%2.0%-35.1K-71.9K-4.2K0.0079.32N/AN/A002531,368
2009-12-08$37.72$39.0027.0%7.8%24.5%6.7%0.0%7.6%2.2%-39.1K5.0K-4.1K0.0084.93N/AN/A1002531,368
2009-12-09$37.71$39.0026.3%7.5%24.1%6.3%0.0%7.4%2.9%-42.0K-17.7K-4.1K0.0088.88N/AN/A202631,368
2009-12-10$37.34$39.0027.2%7.8%24.3%6.8%25.2%7.4%2.9%-46.0K73.8K-4.2K0.0093.98N/AN/A1002651,368
2009-12-11$37.69$38.0025.0%7.2%22.7%5.5%23.3%6.8%3.6%-39.2K-74.2K-4.0K0.0092.39N/AN/A30202751,368
2009-12-14$38.21$38.0024.8%7.1%23.0%5.4%0.0%5.8%3.9%37.2K-660.4K-5.0K0.4096.25N/AN/A525771,368
2009-12-15$37.89$38.0024.7%7.1%21.2%5.3%0.0%6.8%3.7%28.6K-570.6K-4.9K0.0094.41N/AN/A2505761,368
2009-12-16$38.23$38.0023.9%6.8%21.3%4.8%0.0%6.3%3.9%49.9K-739.9K-4.9K0.00106.72N/AN/A2005771,368
2009-12-17$37.74$38.0029.7%8.5%21.9%8.4%0.0%10.3%-0.7%13.2K-456.4K-5.2K0.00147.57N/AN/A805861,368
2009-12-18$38.02$38.0023.3%6.7%19.6%4.5%0.0%7.0%4.0%43.8K-712.0K-4.8K0.50101.86N/AN/A215901,368
2009-12-21$38.55$38.0021.0%6.0%20.1%3.1%0.0%6.1%3.3%85.9K-655.9K-4.6K0.00106.19N/AN/A2000523406
2009-12-22$39.08$38.0019.4%5.6%19.4%2.1%0.0%4.9%3.1%142.1K-1.3M-5.3K0.0099.94N/AN/A030723406
2009-12-23$39.19$38.0020.5%5.9%19.3%2.8%0.0%6.4%2.9%124.6K-1.3M-5.8K0.00100.40N/AN/A011723436
2009-12-24$39.30$38.0020.5%5.9%19.1%2.8%18.9%6.2%2.9%122.7K-1.4M-5.7K0.00108.09N/AN/A150723447
2009-12-28$39.29$38.0021.5%6.2%16.2%3.4%0.0%5.7%2.5%133.5K-1.4M-5.7K0.00106.26N/AN/A10738447
2009-12-29$39.30$38.0011.8%3.4%16.3%0.0%0.0%2.4%12.8%140.6K-1.4M-5.7K0.00142.85N/AN/A01739447
2009-12-30$39.40$38.0022.1%6.3%15.8%6.2%22.1%6.2%2.6%131.0K-1.5M-5.5K0.00106.02N/AN/A310739448
2009-12-31$39.03$38.0021.3%6.1%16.3%5.7%21.9%7.0%4.6%152.5K-1.4M-5.7K2.50123.26N/AN/A1230770448