IWC Options History — May 2010

In May 2010, IWC traded between $41.31 and $47.68. ATM implied volatility averaged 37.2%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 0.3% (HV 20d: 37.5%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 4.27.

Notable Days

  • 2010-05-20: Highest Volume — 626 contracts
  • 2010-05-06: Largest IV spike — 119.4% change
  • 2010-05-20: Highest IV Rank — 65.1%
  • 2010-05-06: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.06$41.31$47.68$47.68$42.71
Max Pain$46.00$45.00$47.00$47.00$45.00
ATM IV37.2%22.1%66.8%22.1%33.5%
Expected Move10.5%6.3%19.2%6.3%9.6%
HV 20d37.5%21.8%45.9%21.8%45.2%
HV 60d25.2%17.3%30.2%17.3%30.2%
IV Rank36.8%7.4%65.1%7.4%38.5%
IV Percentile87.0%27.0%98.8%27.0%91.3%
Term Structure-2.7%-40.2%2.5%1.8%1.5%
VWIV40.0%20.3%63.8%20.3%41.6%
Skew 25d11.9%3.4%19.5%6.4%12.2%
Skew 10d23.7%-18.9%41.6%15.5%33.7%
Call IV 25d32.3%20.3%78.2%20.3%29.6%
Put IV 25d44.2%26.6%81.5%26.6%41.8%
Bid-Ask Spread %61.3142.13158.2585.6269.86
Gamma HHI0.150.110.210.210.16
Net GEX-43.5K-143.0K45.1K-42.4K-27.8K
Net DEX362.6K-1.3M2.4M-816.7K363.4K
Net VEX-10.0K-13.7K-6.1K-6.1K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.270.0015.330.001.61
Total Volume201.65662614235
Total OI2,100.151,3242,6851,3241,870

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$47.68$47.0022.1%6.3%21.8%7.4%20.3%6.4%1.8%-42.4K-816.7K-6.1K0.0085.62N/AN/A140474850
2010-05-04$46.28$47.0028.9%8.3%24.8%12.3%0.0%9.2%-0.1%-61.6K-178.5K-6.8K0.2279.12N/AN/A18741488850
2010-05-05$45.47$47.0030.5%8.7%25.7%13.4%29.7%8.7%-1.3%-45.6K-40.7K-8.2K1.3383.80N/AN/A153203675891
2010-05-06$43.79$47.0066.8%19.2%29.1%39.4%63.8%3.4%-40.2%-16.6K152.9K-8.9K8.54158.25N/AN/A50427826845
2010-05-07$42.29$46.0046.8%11.3%31.4%25.1%35.2%12.8%-1.7%-46.1K1.0M-9.4K3.6142.13N/AN/A461668761,103
2010-05-10$44.74$46.0031.9%8.6%37.8%14.5%35.9%10.3%2.5%-22.6K-17.0K-9.6K2.6653.62N/AN/A832219201,172
2010-05-11$45.23$46.0033.1%8.9%38.0%37.7%63.5%10.0%1.6%-9.5K-231.7K-11.4K0.9149.10N/AN/A55509231,372
2010-05-12$46.72$46.0026.8%7.9%38.6%26.6%28.9%9.2%2.1%45.1K-1.3M-11.6K3.8856.81N/AN/A803109561,422
2010-05-13$46.29$46.0031.3%9.0%38.7%34.5%32.8%9.2%0.2%6.2K-652.6K-13.0K4.0048.07N/AN/A10408761,702
2010-05-14$45.33$46.0033.7%9.7%39.1%38.9%35.3%10.4%-0.8%-33.2K72.8K-13.7K0.0048.30N/AN/A01118861,742
2010-05-17$45.42$46.0034.7%9.9%39.1%40.6%33.7%11.9%-0.9%-34.4K7.2K-13.1K4.0042.80N/AN/A271088861,799
2010-05-18$44.68$46.0036.5%10.5%39.0%43.8%33.9%12.9%-1.1%-84.7K597.5K-12.6K5.0045.37N/AN/A158641,731
2010-05-19$43.79$46.0037.6%10.8%39.3%45.7%35.7%13.7%-1.2%-143.0K1.1M-12.3K15.3345.66N/AN/A3468641,731
2010-05-20$41.31$46.0048.5%13.9%43.4%65.1%48.5%19.5%-7.0%-132.7K2.4M-11.9K3.5044.65N/AN/A1394878661,691
2010-05-21$41.88$46.0042.9%12.3%43.6%55.0%55.8%18.1%-2.4%-76.4K1.7M-12.0K14.2245.06N/AN/A273849781,664
2010-05-24$41.39$46.0044.3%12.7%43.5%57.7%49.8%18.0%-4.3%-37.3K929.8K-7.9K2.0844.54N/AN/A13277151,047
2010-05-25$41.36$45.0040.3%11.6%43.2%50.5%38.0%15.3%-1.3%-40.3K989.5K-7.5K1.2157.51N/AN/A48587281,030
2010-05-26$41.41$45.0041.1%11.8%43.1%51.9%42.2%14.7%-2.1%-41.6K1.0M-7.7K1.0363.94N/AN/A70727351,081
2010-05-27$43.34$45.0033.4%9.6%45.9%38.3%36.2%12.3%0.1%-25.4K165.3K-8.1K8.0062.03N/AN/A4328021,072
2010-05-28$42.71$45.0033.5%9.6%45.2%38.5%41.6%12.2%1.5%-27.8K363.4K-8.0K1.6169.86N/AN/A901458031,067