IWC Options History — July 2010

In July 2010, IWC traded between $37.67 and $41.81. ATM implied volatility averaged 32.5%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.2% (HV 20d: 31.3%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.95.

Notable Days

  • 2010-07-22: Highest Volume — 623 contracts
  • 2010-07-12: Largest IV spike — 26.2% change
  • 2010-07-01: Highest IV Rank — 46.2%
  • 2010-07-06: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.88$37.67$41.81$38.75$41.26
Max Pain$41.90$41.00$42.00$41.00$42.00
ATM IV32.5%27.9%37.8%37.8%29.7%
Expected Move9.4%8.2%10.9%10.8%8.5%
HV 20d31.3%27.5%35.5%34.2%31.2%
HV 60d37.3%35.9%38.7%35.9%37.5%
IV Rank36.7%28.6%46.2%46.2%31.7%
IV Percentile81.8%67.5%93.7%93.7%74.2%
Term Structure1.1%0.1%3.1%0.4%2.4%
VWIV31.9%25.9%40.0%40.0%35.8%
Skew 25d8.0%3.0%10.4%5.9%7.7%
Skew 10d15.2%8.6%24.2%15.5%20.9%
Call IV 25d29.1%25.8%34.1%34.1%26.4%
Put IV 25d37.1%34.0%40.0%40.0%34.0%
Bid-Ask Spread %50.2233.8589.2781.1458.49
Gamma HHI0.180.110.250.140.23
Net GEX43.6K6.1K73.5K35.7K58.9K
Net DEX-319.3K-1.2M350.5K-82.7K-920.5K
Net VEX-6.5K-9.4K-4.9K-5.9K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.950.0012.501.710.13
Total Volume50.2380623571
Total OI1,375.0951,0711,7771,2051,777

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$38.75$41.0037.8%10.8%34.2%46.2%40.0%5.9%0.4%35.7K-82.7K-5.9K1.7181.14N/AN/A2136789416
2010-07-02$38.32$41.0034.6%9.9%29.2%40.4%0.0%3.0%3.1%26.4K150.1K-5.7K0.0089.27N/AN/A012787451
2010-07-06$37.67$42.0037.8%10.9%27.6%46.0%0.0%6.1%0.7%19.0K314.0K-5.2K0.0044.85N/AN/A042787461
2010-07-07$38.73$42.0034.1%9.8%29.6%39.6%32.7%7.7%1.1%25.7K138.9K-5.2K1.3040.84N/AN/A1013787463
2010-07-08$39.27$42.0032.3%9.8%30.1%36.4%29.9%8.1%0.8%35.0K-16.3K-5.5K0.0037.12N/AN/A230797476
2010-07-09$39.97$42.0029.1%9.3%28.1%30.6%28.0%9.1%0.9%50.8K-242.2K-5.8K0.0037.29N/AN/A150800476
2010-07-12$39.46$42.0036.7%10.0%27.5%44.1%0.0%9.1%0.1%41.0K-51.1K-5.3K0.0043.54N/AN/A00808476
2010-07-13$40.81$42.0031.9%9.2%30.3%35.6%0.0%10.4%0.3%73.5K-558.4K-5.8K11.0033.85N/AN/A111808476
2010-07-14$40.67$42.0027.9%9.3%28.7%28.6%0.0%10.4%0.2%73.3K-466.0K-5.7K0.0035.34N/AN/A00808487
2010-07-15$40.19$42.0034.3%9.8%28.9%39.9%35.3%10.2%0.3%58.7K-243.5K-5.4K12.5037.72N/AN/A450808487
2010-07-16$38.68$42.0034.8%10.0%31.5%40.7%33.1%6.9%0.6%6.1K350.5K-4.9K0.2544.50N/AN/A5714812527
2010-07-19$38.84$42.0033.9%9.7%31.5%39.1%31.9%8.0%0.8%28.8K-13.6K-5.0K0.1742.39N/AN/A122674398
2010-07-20$39.45$42.0033.3%9.5%32.0%38.1%32.3%8.3%0.9%34.1K-133.0K-5.1K1.7045.86N/AN/A1017671400
2010-07-21$38.72$42.0033.3%9.5%32.0%38.1%0.0%7.2%1.4%25.7K47.3K-4.9K0.0045.70N/AN/A06681417
2010-07-22$40.08$42.0032.1%9.2%34.7%36.0%29.8%8.3%0.7%37.7K-248.4K-5.4K1.0650.10N/AN/A303320681423
2010-07-23$41.04$42.0029.4%8.4%35.5%31.3%25.9%9.0%1.8%50.2K-755.6K-9.4K0.0058.87N/AN/A180984743
2010-07-26$41.81$42.0028.7%8.2%35.2%30.0%27.1%8.4%1.3%62.7K-1.2M-9.2K0.0054.14N/AN/A2101,002743
2010-07-27$41.67$42.0028.9%8.3%35.1%30.4%32.7%8.1%1.4%63.4K-1.1M-9.2K11.5058.76N/AN/A2231,012743
2010-07-28$41.08$42.0031.2%8.9%31.8%34.4%0.0%7.2%1.3%53.9K-822.3K-9.1K0.1357.23N/AN/A811,012754
2010-07-29$41.07$42.0031.0%8.9%31.6%34.0%35.8%7.9%1.5%55.2K-838.0K-9.1K0.0057.66N/AN/A021,020755
2010-07-30$41.26$42.0029.7%8.5%31.2%31.7%0.0%7.7%2.4%58.9K-920.5K-8.9K0.0058.49N/AN/A011,020757