IWC Options History — April 2010

In April 2010, IWC traded between $43.23 and $48.13. ATM implied volatility averaged 19.1%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.9% (HV 20d: 16.2%). Max pain ranged from $42.00 to $47.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 5.40.

Notable Days

  • 2010-04-22: Highest Volume — 270 contracts
  • 2010-04-12: Largest IV spike — 19.1% change
  • 2010-04-30: Highest IV Rank — 8.8%
  • 2010-04-30: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.03$43.23$48.13$43.23$46.73
Max Pain$44.90$42.00$47.00$42.00$47.00
ATM IV19.1%14.9%24.1%20.3%24.1%
Expected Move5.8%5.2%6.9%5.8%6.9%
HV 20d16.2%14.0%22.3%14.0%22.3%
HV 60d17.7%16.3%18.8%18.2%18.5%
IV Rank5.3%2.2%8.8%6.1%8.8%
IV Percentile9.8%0.4%31.7%9.5%31.7%
Term Structure1.5%0.5%2.6%1.3%1.3%
VWIV21.8%18.1%24.9%22.9%24.0%
Skew 25d5.0%4.0%7.3%5.2%7.2%
Skew 10d13.7%6.2%21.6%6.2%21.6%
Call IV 25d18.3%16.6%22.3%17.3%22.3%
Put IV 25d23.3%21.2%29.5%22.6%29.5%
Bid-Ask Spread %84.0071.79112.42112.4285.71
Gamma HHI0.190.120.280.280.19
Net GEX-33.7K-64.6K-2.0K-51.9K-60.2K
Net DEX-728.0K-1.2M8.4K8.4K-379.8K
Net VEX-5.5K-6.5K-4.6K-6.3K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.400.0022.0014.296.00
Total Volume57.333027010770
Total OI1,192.2389381,3051,1251,305

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$43.23$42.0020.3%5.8%14.0%6.1%0.0%5.2%1.3%-51.9K8.4K-6.3K14.29112.42N/AN/A7100385740
2010-04-05$44.29$44.0019.3%5.8%14.6%5.4%0.0%5.0%1.4%-35.8K-367.8K-6.0K0.0079.99N/AN/A200392813
2010-04-06$44.64$44.0016.6%5.6%14.8%3.5%0.0%4.4%1.5%-21.1K-495.9K-5.6K0.0075.93N/AN/A340382813
2010-04-07$44.56$44.0016.9%5.6%14.8%3.7%0.0%4.6%1.4%-19.1K-542.3K-5.8K0.0080.87N/AN/A100406813
2010-04-08$44.69$44.0017.0%5.7%14.8%3.8%0.0%4.7%1.3%-15.1K-591.3K-5.8K0.0075.93N/AN/A00406813
2010-04-09$44.79$44.0014.9%5.5%14.7%2.2%0.0%4.8%1.8%-2.0K-697.8K-5.6K0.0079.99N/AN/A00416813
2010-04-12$45.04$44.0017.7%5.8%14.6%4.3%22.9%5.5%1.1%-6.2K-796.5K-5.3K0.5086.67N/AN/A21416813
2010-04-13$45.11$44.0017.8%5.7%14.4%4.3%21.8%5.1%1.2%-9.6K-839.1K-5.2K4.5071.79N/AN/A2090414812
2010-04-14$46.29$44.0016.6%5.5%16.4%3.5%24.2%4.3%1.5%-33.1K-1.2M-4.7K0.0080.47N/AN/A026434825
2010-04-15$46.62$44.0018.9%5.4%16.5%5.2%22.2%4.3%1.7%-28.3K-1.1M-4.6K22.0089.75N/AN/A122434810
2010-04-16$46.02$45.0020.7%5.9%17.3%6.4%0.0%4.2%1.9%-23.1K-1.1M-4.7K0.0082.08N/AN/A05433825
2010-04-19$45.77$45.0020.2%5.8%16.7%6.0%20.0%5.1%0.5%-53.7K-490.3K-4.8K0.0085.00N/AN/A620298640
2010-04-20$46.51$45.0018.5%5.3%16.8%4.8%24.9%5.0%2.3%-36.1K-847.6K-4.7K0.0075.41N/AN/A0223360640
2010-04-21$46.84$45.0018.3%5.3%16.4%4.7%18.1%4.6%2.6%-49.5K-707.5K-5.3K0.0289.06N/AN/A431360729
2010-04-22$47.43$45.0019.7%5.6%15.8%5.7%22.1%4.7%1.9%-29.5K-958.3K-5.2K17.0080.94N/AN/A15255400730
2010-04-23$47.94$46.0018.2%5.2%15.4%4.6%18.2%4.2%2.1%-39.4K-996.8K-5.3K0.5091.99N/AN/A126415762
2010-04-26$47.97$46.0020.0%5.7%15.2%5.9%20.8%4.0%1.3%-40.2K-1.0M-5.1K4.2389.85N/AN/A2293415756
2010-04-27$46.91$47.0023.3%6.7%18.1%8.3%22.1%5.9%0.8%-64.6K-462.0K-6.2K0.0084.88N/AN/A400423819
2010-04-28$47.11$47.0022.3%6.4%18.1%7.5%0.0%7.3%1.4%-52.1K-612.3K-6.2K12.0082.42N/AN/A112463819
2010-04-29$48.13$47.0020.4%5.9%18.4%6.2%0.0%5.6%1.5%-37.4K-1.0M-5.7K0.0082.88N/AN/A011464831
2010-04-30$46.73$47.0024.1%6.9%22.3%8.8%24.0%7.2%1.3%-60.2K-379.8K-6.5K6.0085.71N/AN/A1060464841