IWC Options History — January 2010

In January 2010, IWC traded between $37.99 and $41.15. ATM implied volatility averaged 24.5%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.7% (HV 20d: 18.8%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.42.

Notable Days

2010-01-20: Highest Volume — 492 contracts
2010-01-29: Largest IV spike — 170.8% change
2010-01-29: Highest IV Rank — 33.1%
2010-01-29: Largest Expected Move — 19.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.77	$37.99	$41.15	$40.15	$37.99
Max Pain	$38.00	$38.00	$38.00	$38.00	$38.00
ATM IV	24.5%	17.3%	67.5%	21.4%	67.5%
Expected Move	7.2%	5.7%	19.3%	6.8%	19.3%
HV 20d	18.8%	15.7%	22.8%	17.8%	22.8%
HV 60d	23.5%	22.0%	24.1%	23.8%	22.0%
IV Rank	7.6%	3.3%	33.1%	5.8%	33.1%
IV Percentile	12.4%	0.8%	88.5%	2.8%	88.5%
Term Structure	0.6%	-22.6%	2.8%	1.9%	-22.6%
VWIV	22.8%	19.4%	32.3%	32.3%	23.2%
Skew 25d	7.7%	5.0%	39.3%	6.5%	39.3%
Skew 10d	19.7%	10.3%	77.7%	12.6%	77.7%
Call IV 25d	21.8%	18.1%	40.8%	21.2%	40.8%
Put IV 25d	29.5%	23.5%	80.1%	27.6%	80.1%
Bid-Ask Spread %	90.22	67.80	155.16	77.63	155.16
Gamma HHI	0.31	0.24	0.42	0.39	0.29
Net GEX	91.6K	38.3K	183.3K	132.9K	47.4K
Net DEX	-1.4M	-2.6M	-113.0K	-1.9M	-254.6K
Net VEX	-5.2K	-7.7K	-3.0K	-5.0K	-7.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.00	2.20	0.00	0.09
Total Volume	40.579	0	492	3	12
Total OI	1,316.737	916	1,514	1,259	1,514

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$40.15	$38.00	21.4%	6.8%	17.8%	5.8%	32.3%	6.5%	1.9%	132.9K	-1.9M	-5.0K	0.00	77.63	N/A	N/A	0	3	781	478
2010-01-05	$39.95	$38.00	21.4%	6.8%	16.3%	5.8%	0.0%	6.3%	1.8%	146.3K	-1.8M	-4.9K	0.00	67.80	N/A	N/A	2	0	781	481
2010-01-06	$39.74	$38.00	20.9%	6.5%	16.5%	5.4%	0.0%	6.1%	2.0%	153.0K	-1.8M	-5.0K	0.00	81.45	N/A	N/A	0	0	783	481
2010-01-07	$40.27	$38.00	21.5%	6.4%	16.5%	5.8%	0.0%	5.7%	2.1%	135.1K	-2.1M	-4.5K	0.00	78.81	N/A	N/A	1	0	783	481
2010-01-08	$40.56	$38.00	17.4%	6.0%	16.5%	3.4%	19.6%	5.2%	2.2%	117.7K	-2.3M	-4.0K	0.27	84.16	N/A	N/A	48	13	784	481
2010-01-11	$40.62	$38.00	21.1%	6.1%	15.7%	5.6%	0.0%	5.3%	2.0%	129.5K	-2.4M	-4.0K	0.00	86.28	N/A	N/A	0	0	822	494
2010-01-12	$40.06	$38.00	22.3%	6.4%	16.8%	6.2%	0.0%	5.2%	1.9%	183.3K	-2.1M	-4.1K	0.00	73.83	N/A	N/A	1	0	822	494
2010-01-13	$40.60	$38.00	17.3%	5.8%	16.8%	3.3%	0.0%	5.4%	2.6%	129.0K	-2.4M	-3.7K	0.00	88.16	N/A	N/A	2	0	823	494
2010-01-14	$40.83	$38.00	20.1%	5.7%	16.3%	4.9%	20.2%	5.2%	2.4%	84.5K	-2.6M	-3.4K	2.20	89.07	N/A	N/A	10	22	825	494
2010-01-15	$40.22	$38.00	21.5%	6.2%	17.4%	5.8%	19.4%	5.0%	2.5%	45.1K	-2.4M	-3.6K	1.00	92.96	N/A	N/A	11	11	835	516
2010-01-19	$41.15	$38.00	20.2%	5.8%	17.9%	5.0%	19.8%	5.5%	2.8%	38.3K	-1.2M	-3.0K	0.63	97.05	N/A	N/A	16	10	443	473
2010-01-20	$40.44	$38.00	22.2%	6.4%	19.4%	6.2%	20.0%	5.8%	2.8%	40.3K	-1.0M	-3.5K	0.74	96.07	N/A	N/A	282	210	459	482
2010-01-21	$39.49	$38.00	24.4%	7.0%	21.1%	7.5%	23.9%	6.3%	1.6%	62.0K	-669.9K	-7.4K	0.23	90.69	N/A	N/A	26	6	731	692
2010-01-22	$38.85	$38.00	27.3%	7.8%	21.5%	9.2%	26.8%	7.8%	0.6%	53.4K	-422.8K	-7.6K	0.00	81.96	N/A	N/A	0	3	745	698
2010-01-25	$38.88	$38.00	24.9%	7.1%	21.5%	7.8%	23.2%	7.5%	1.5%	58.4K	-399.6K	-7.2K	0.00	83.35	N/A	N/A	2	0	745	701
2010-01-26	$38.50	$38.00	26.5%	7.6%	21.7%	8.8%	0.0%	7.0%	0.7%	57.2K	-239.2K	-6.8K	0.67	80.73	N/A	N/A	15	10	747	701
2010-01-27	$38.93	$38.00	23.1%	6.6%	22.1%	6.7%	0.0%	5.3%	1.9%	67.4K	-393.5K	-7.1K	0.00	107.49	N/A	N/A	0	10	762	710
2010-01-28	$38.36	$38.00	24.9%	7.1%	22.7%	7.8%	0.0%	6.3%	1.4%	58.9K	-113.0K	-6.8K	0.00	101.49	N/A	N/A	45	0	762	720
2010-01-29	$37.99	$38.00	67.5%	19.3%	22.8%	33.1%	23.2%	39.3%	-22.6%	47.4K	-254.6K	-7.7K	0.09	155.16	N/A	N/A	11	1	794	720