IWC Options History — June 2010

In June 2010, IWC traded between $39.14 and $43.13. ATM implied volatility averaged 36.8%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 4.4% (HV 20d: 41.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 3.09.

Notable Days

  • 2010-06-14: Highest Volume — 197 contracts
  • 2010-06-04: Largest IV spike — 20.2% change
  • 2010-06-07: Highest IV Rank — 63.1%
  • 2010-06-07: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.21$39.14$43.13$41.41$39.14
Max Pain$41.41$40.00$45.00$45.00$41.00
ATM IV36.8%29.7%47.4%44.0%39.3%
Expected Move10.4%8.5%12.7%12.6%11.3%
HV 20d41.2%34.6%48.0%45.1%34.6%
HV 60d34.2%30.6%35.9%30.6%35.9%
IV Rank44.3%31.7%63.1%57.0%48.7%
IV Percentile91.2%77.8%98.4%97.6%94.0%
Term Structure-0.1%-3.4%2.0%-1.9%-0.1%
VWIV37.2%31.3%43.7%38.9%32.0%
Skew 25d9.1%4.5%13.2%13.2%6.7%
Skew 10d16.3%8.6%28.2%25.9%10.0%
Call IV 25d31.8%26.6%37.8%37.8%35.1%
Put IV 25d40.9%36.0%51.0%51.0%41.8%
Bid-Ask Spread %49.0828.5176.8465.0573.21
Gamma HHI0.200.100.330.180.15
Net GEX-12.7K-65.1K43.6K-36.9K39.2K
Net DEX271.1K-680.5K1.7M892.3K-190.0K
Net VEX-6.6K-7.9K-5.8K-7.8K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.090.0050.000.000.00
Total Volume53.5451197301
Total OI1,775.4099292,3751,9941,205

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$41.41$45.0044.0%12.6%45.1%57.0%38.9%13.2%-1.9%-36.9K892.3K-7.8K0.0065.05N/AN/A3008261,168
2010-06-02$42.66$45.0036.0%10.3%46.1%42.8%38.6%10.9%-0.6%-29.6K346.1K-7.9K0.0074.50N/AN/A2308561,168
2010-06-03$43.13$45.0035.7%10.2%46.1%42.4%42.7%10.4%-0.1%-23.6K83.9K-7.8K0.0076.84N/AN/A0118781,168
2010-06-04$40.88$41.0042.9%12.0%48.0%55.2%43.7%8.8%-2.0%-36.5K1.0M-7.5K0.2328.51N/AN/A96228781,179
2010-06-07$39.58$41.0047.4%12.7%47.8%63.1%42.5%6.7%-3.4%-37.1K1.5M-7.1K0.0034.02N/AN/A509441,201
2010-06-08$39.35$41.0045.3%11.6%42.3%59.4%35.3%4.5%-0.3%-39.6K1.7M-6.6K0.7551.81N/AN/A59449441,201
2010-06-09$39.32$41.0045.2%12.1%41.8%59.1%37.4%8.1%-2.2%-39.5K1.7M-6.6K1.0841.45N/AN/A12139571,245
2010-06-10$40.68$40.0037.1%10.6%42.0%44.8%0.0%9.1%-0.2%-48.4K1.2M-6.9K0.8533.57N/AN/A26229571,237
2010-06-11$41.41$40.0035.9%10.3%42.9%42.8%0.0%10.0%0.5%-51.8K811.3K-7.0K0.0034.92N/AN/A209801,259
2010-06-14$41.57$40.0034.8%10.0%42.7%40.8%36.5%9.5%0.9%-54.7K669.6K-6.7K0.8433.44N/AN/A107909811,259
2010-06-15$42.61$41.0032.5%9.3%43.8%36.7%0.0%9.7%0.7%-56.5K96.7K-6.9K0.0031.91N/AN/A0581,0151,338
2010-06-16$42.53$41.0032.0%9.2%43.6%35.8%33.5%9.8%1.5%-65.1K83.4K-6.5K0.0035.22N/AN/A2601,0151,336
2010-06-17$42.52$41.0031.4%9.0%43.1%34.7%0.0%10.2%2.0%-44.0K-64.4K-6.4K50.0044.79N/AN/A1501,0391,336
2010-06-18$42.66$41.0029.7%8.5%37.5%31.7%31.6%9.4%2.0%-11.0K-190.8K-6.1K4.5547.28N/AN/A221001,0391,336
2010-06-21$41.97$41.0031.5%9.0%37.7%34.9%0.0%9.1%0.9%34.1K-680.5K-5.9K0.0054.68N/AN/A110562367
2010-06-22$41.20$41.0033.7%9.7%38.1%38.8%39.8%9.9%0.0%32.9K-502.9K-5.8K0.4046.93N/AN/A6225573367
2010-06-23$41.18$41.0032.6%9.3%38.1%36.8%0.0%9.0%0.9%36.4K-553.4K-6.2K0.0051.45N/AN/A110626392
2010-06-24$40.61$41.0033.7%9.7%38.4%38.8%31.3%9.9%1.0%32.0K-411.5K-6.0K0.0042.94N/AN/A300619392
2010-06-25$41.50$41.0033.7%9.7%35.3%38.9%33.7%9.5%0.5%37.0K-630.3K-6.1K0.0063.58N/AN/A130619392
2010-06-28$41.19$41.0033.9%9.7%35.1%39.2%0.0%8.3%0.9%39.4K-571.6K-5.9K0.0049.75N/AN/A1820632392
2010-06-29$39.47$41.0040.7%11.7%36.6%51.2%40.8%7.9%-2.4%43.6K-332.4K-6.3K0.0063.86N/AN/A024789392
2010-06-30$39.14$41.0039.3%11.3%34.6%48.7%32.0%6.7%-0.1%39.2K-190.0K-6.2K0.0073.21N/AN/A10789416