IWC Options History — February 2010

In February 2010, IWC traded between $37.14 and $40.07. ATM implied volatility averaged 23.5%, placing in the 7.0% 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 $38.00 to $39.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 2.76.

Notable Days

2010-02-23: Highest Volume — 102 contracts
2010-02-04: Largest IV spike — 14.7% change
2010-02-08: Highest IV Rank — 10.4%
2010-02-08: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.81	$37.14	$40.07	$38.21	$39.76
Max Pain	$38.79	$38.00	$39.00	$38.00	$39.00
ATM IV	23.5%	19.5%	29.2%	24.8%	19.5%
Expected Move	6.8%	5.6%	8.2%	7.1%	5.6%
HV 20d	21.5%	18.2%	23.9%	22.8%	18.2%
HV 60d	20.7%	19.1%	21.9%	21.9%	19.2%
IV Rank	7.0%	4.6%	10.4%	7.7%	4.6%
IV Percentile	14.2%	2.0%	53.2%	12.7%	2.0%
Term Structure	1.4%	-0.2%	3.2%	1.4%	1.8%
VWIV	22.7%	19.7%	26.9%	25.2%	19.7%
Skew 25d	6.1%	4.6%	8.1%	6.3%	6.1%
Skew 10d	11.8%	7.4%	18.1%	14.4%	10.3%
Call IV 25d	21.5%	17.8%	25.0%	21.7%	17.8%
Put IV 25d	27.6%	23.9%	33.1%	28.0%	23.9%
Bid-Ask Spread %	92.41	69.20	118.15	112.61	105.06
Gamma HHI	0.37	0.29	0.51	0.29	0.42
Net GEX	74.6K	51.8K	101.2K	70.3K	81.8K
Net DEX	-294.1K	-1.3M	484.1K	-118.3K	-393.1K
Net VEX	-6.2K	-7.2K	-5.6K	-6.5K	-7.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.76	0.00	30.00	0.00	1.11
Total Volume	32.895	0	102	0	19
Total OI	1,624.579	1,474	1,757	1,526	1,636

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
2010-02-01	$38.21	$38.00	24.8%	7.1%	22.8%	7.7%	0.0%	6.3%	1.4%	70.3K	-118.3K	-6.5K	0.00	112.61	N/A	N/A	0	0	805	721
2010-02-02	$38.66	$38.00	22.0%	6.3%	20.6%	6.1%	0.0%	4.8%	1.6%	79.0K	-314.8K	-6.6K	0.00	111.85	N/A	N/A	51	0	805	721
2010-02-03	$38.40	$38.00	23.5%	6.7%	20.6%	7.0%	0.0%	4.7%	1.6%	84.6K	-215.0K	-6.4K	5.56	118.15	N/A	N/A	9	50	846	721
2010-02-04	$37.19	$38.00	26.9%	7.7%	23.2%	9.0%	0.0%	5.2%	1.0%	51.8K	463.2K	-6.1K	0.00	109.16	N/A	N/A	1	0	846	771
2010-02-05	$37.35	$39.00	27.1%	8.0%	22.6%	9.1%	0.0%	7.6%	0.3%	56.1K	397.0K	-6.1K	0.00	69.99	N/A	N/A	34	0	847	771
2010-02-08	$37.14	$39.00	29.2%	8.2%	22.2%	10.4%	25.2%	8.1%	-0.2%	57.8K	484.1K	-5.8K	0.00	69.20	N/A	N/A	13	0	873	771
2010-02-09	$37.55	$39.00	25.4%	7.7%	22.8%	8.1%	26.9%	8.1%	0.7%	72.6K	287.0K	-6.0K	2.00	71.37	N/A	N/A	20	40	861	771
2010-02-10	$37.59	$39.00	24.6%	7.6%	22.6%	7.6%	0.0%	7.7%	0.7%	75.2K	349.8K	-6.0K	0.00	80.40	N/A	N/A	0	0	869	811
2010-02-11	$38.36	$39.00	25.7%	7.4%	23.4%	8.3%	22.7%	6.3%	1.3%	93.8K	-87.9K	-6.2K	0.00	77.99	N/A	N/A	23	0	869	811
2010-02-12	$38.64	$39.00	23.8%	6.8%	23.4%	7.2%	0.0%	7.2%	2.1%	98.2K	-277.3K	-6.1K	0.00	90.09	N/A	N/A	0	0	864	811
2010-02-16	$39.28	$39.00	24.5%	7.0%	23.9%	7.6%	0.0%	5.8%	1.5%	80.0K	-739.5K	-5.7K	0.00	89.51	N/A	N/A	0	0	864	811
2010-02-17	$39.55	$39.00	22.1%	6.4%	22.4%	6.2%	23.6%	6.3%	2.5%	54.0K	-908.2K	-5.6K	0.00	89.80	N/A	N/A	43	0	864	811
2010-02-18	$40.00	$39.00	21.5%	6.2%	22.1%	5.8%	0.0%	4.7%	3.0%	55.1K	-1.3M	-5.7K	0.10	89.74	N/A	N/A	48	5	903	811
2010-02-19	$39.92	$39.00	21.0%	6.0%	20.3%	5.5%	21.1%	5.4%	3.2%	101.2K	-1.3M	-6.1K	30.00	91.50	N/A	N/A	2	60	951	806
2010-02-22	$40.02	$39.00	21.1%	6.0%	19.3%	5.6%	22.1%	5.1%	1.0%	77.6K	-529.0K	-6.1K	2.32	99.20	N/A	N/A	22	51	675	799
2010-02-23	$39.77	$39.00	22.0%	6.3%	19.5%	6.1%	23.3%	5.9%	0.8%	65.2K	-309.1K	-6.4K	0.32	87.10	N/A	N/A	77	25	697	839
2010-02-24	$40.07	$39.00	21.9%	6.3%	19.2%	6.0%	21.9%	4.6%	0.7%	78.1K	-583.7K	-7.2K	0.00	95.62	N/A	N/A	5	0	762	853
2010-02-25	$39.96	$39.00	20.8%	6.0%	19.0%	5.4%	20.8%	6.2%	0.9%	84.4K	-522.6K	-7.0K	0.00	97.41	N/A	N/A	27	0	767	853
2010-02-26	$39.76	$39.00	19.5%	5.6%	18.2%	4.6%	19.7%	6.1%	1.8%	81.8K	-393.1K	-7.0K	1.11	105.06	N/A	N/A	9	10	783	853