IWC Options History — March 2010

In March 2010, IWC traded between $40.80 and $43.80. ATM implied volatility averaged 19.6%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.6% (HV 20d: 15.0%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 2.19.

Notable Days

  • 2010-03-10: Highest Volume — 230 contracts
  • 2010-03-11: Largest IV spike — 34.5% change
  • 2010-03-25: Highest IV Rank — 7.3%
  • 2010-03-25: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.69$40.80$43.80$40.80$42.93
Max Pain$41.35$39.00$42.00$39.00$42.00
ATM IV19.6%15.2%22.0%18.2%19.1%
Expected Move5.7%5.2%6.3%5.2%5.5%
HV 20d15.0%13.1%19.5%19.5%13.8%
HV 60d19.0%18.2%19.7%19.7%18.2%
IV Rank5.3%2.1%7.3%3.8%5.3%
IV Percentile5.2%0.4%17.1%1.6%3.6%
Term Structure2.1%-0.4%3.2%1.8%2.5%
VWIV20.7%17.2%23.9%18.2%20.6%
Skew 25d4.2%1.1%5.3%4.3%4.0%
Skew 10d11.1%0.3%15.9%5.8%14.8%
Call IV 25d18.5%17.0%20.4%18.2%17.9%
Put IV 25d22.7%21.2%25.2%22.4%21.9%
Bid-Ask Spread %97.3980.78116.03112.17108.78
Gamma HHI0.300.150.580.580.30
Net GEX17.3K-59.0K109.2K109.2K-59.0K
Net DEX-1.1M-2.1M137.3K-1.1M137.3K
Net VEX-6.2K-7.3K-5.5K-7.1K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.190.0020.001.825.00
Total Volume37.6090230620
Total OI1,455.879321,7421,6501,125

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$40.80$39.0018.2%5.2%19.5%3.8%18.2%4.3%1.8%109.2K-1.1M-7.1K1.82112.17N/AN/A2240792858
2010-03-02$41.09$39.0019.5%5.6%19.5%4.6%0.0%3.7%1.8%102.6K-1.3M-7.3K0.00102.23N/AN/A20811898
2010-03-03$41.42$39.0020.4%5.8%19.4%5.1%20.4%1.1%0.7%101.5K-1.5M-7.0K0.00108.14N/AN/A420812898
2010-03-04$41.58$39.0019.7%5.6%19.0%4.7%0.0%1.6%-0.4%89.7K-1.6M-6.7K1.00116.03N/AN/A11775898
2010-03-05$42.45$41.0018.6%5.5%14.4%4.1%23.4%4.8%2.4%60.7K-2.1M-5.9K0.2490.72N/AN/A4511775899
2010-03-08$42.59$41.0018.5%5.5%14.5%4.0%17.2%4.6%2.3%61.0K-1.9M-5.8K0.0083.69N/AN/A140715888
2010-03-09$42.71$41.0020.0%5.7%13.8%4.9%20.8%4.7%2.0%47.2K-1.7M-5.7K2.1187.10N/AN/A3676670888
2010-03-10$42.98$42.0015.2%5.9%13.7%2.1%21.5%4.5%1.8%28.8K-1.8M-5.9K1.4584.75N/AN/A94136697962
2010-03-11$43.11$42.0020.5%5.9%13.6%5.2%0.0%4.3%2.6%30.7K-1.7M-6.3K0.4580.78N/AN/A1157061,009
2010-03-12$42.90$42.0020.3%5.8%13.3%6.1%0.0%4.9%2.5%38.3K-1.6M-6.3K20.0083.28N/AN/A2407061,012
2010-03-15$42.71$42.0020.8%6.0%13.7%6.5%23.9%4.7%2.2%34.4K-1.3M-6.5K0.0090.86N/AN/A106811,052
2010-03-16$43.07$42.0020.0%5.7%13.1%5.9%0.0%4.5%2.7%-11.4K-1.6M-6.1K0.0091.78N/AN/A006801,052
2010-03-17$43.22$42.0020.3%5.8%13.1%6.1%0.0%3.8%3.0%-20.9K-1.7M-5.9K0.1098.68N/AN/A1016801,052
2010-03-18$43.02$42.0019.7%5.7%13.2%5.7%0.0%4.1%3.1%4.8K-1.6M-6.1K0.0091.90N/AN/A006891,053
2010-03-19$42.52$42.0019.6%5.6%14.2%5.6%0.0%5.1%3.2%10.0K-1.4M-6.1K0.00100.41N/AN/A0106891,053
2010-03-22$43.15$42.0019.8%5.7%14.7%5.8%20.5%5.3%2.1%-25.6K-329.9K-5.8K0.71105.26N/AN/A4230383568
2010-03-23$43.80$42.0018.6%5.3%14.7%4.9%0.0%3.9%1.9%-16.3K-547.3K-5.5K0.00100.03N/AN/A00385568
2010-03-24$43.34$42.0020.4%5.9%15.7%6.2%0.0%4.8%2.0%-23.4K-313.2K-5.6K0.0092.25N/AN/A10364568
2010-03-25$43.05$42.0022.0%6.3%16.0%7.3%0.0%5.3%1.4%-27.0K-203.3K-5.8K0.0093.15N/AN/A065365568
2010-03-26$42.94$42.0020.7%5.9%15.8%6.4%20.6%4.7%2.2%-39.3K-27.2K-6.2K5.0095.36N/AN/A20100365633
2010-03-29$43.24$42.0019.3%5.5%13.6%5.4%0.0%4.3%2.8%-49.2K16.8K-6.5K0.00107.55N/AN/A07385733
2010-03-30$43.27$42.0019.4%5.6%13.5%5.5%0.0%4.0%2.1%-48.4K-8.6K-6.5K0.00115.11N/AN/A00385740
2010-03-31$42.93$42.0019.1%5.5%13.8%5.3%0.0%4.0%2.5%-59.0K137.3K-6.5K0.00108.78N/AN/A00385740