IWC Options History — August 2010

In August 2010, IWC traded between $37.13 and $41.79. ATM implied volatility averaged 33.2%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 5.8% (HV 20d: 27.4%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 6.56.

Notable Days

  • 2010-08-10: Highest Volume — 611 contracts
  • 2010-08-16: Largest IV spike — 100.4% change
  • 2010-08-16: Highest IV Rank — 100.0%
  • 2010-08-16: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.16$37.13$41.79$41.68$37.55
Max Pain$40.45$40.00$42.00$42.00$40.00
ATM IV33.2%27.1%69.1%27.3%32.7%
Expected Move9.6%7.8%19.8%7.8%9.4%
HV 20d27.4%23.2%31.1%30.8%27.5%
HV 60d32.8%28.7%36.8%36.8%28.7%
IV Rank37.9%27.6%100.0%27.8%36.5%
IV Percentile77.6%56.3%100.0%59.5%79.0%
Term Structure1.0%-17.8%3.0%1.8%1.5%
VWIV31.4%23.3%44.7%25.5%31.6%
Skew 25d8.7%6.7%24.4%6.9%7.3%
Skew 10d15.8%-31.1%23.8%20.5%23.2%
Call IV 25d28.1%22.9%31.1%25.0%30.0%
Put IV 25d36.8%31.7%47.3%31.8%37.3%
Bid-Ask Spread %79.5763.9397.7772.4193.33
Gamma HHI0.210.160.240.240.23
Net GEX36.6K8.6K87.6K70.2K87.6K
Net DEX680.0K-1.2M2.0M-1.1M1.4M
Net VEX-7.9K-10.4K-5.6K-8.5K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.560.0060.0025.000.00
Total Volume72.3180611268
Total OI2,201.7271,7782,6031,7782,603

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$41.68$42.0027.3%7.8%30.8%27.8%25.5%6.9%1.8%70.2K-1.1M-8.5K25.0072.41N/AN/A1251,020758
2010-08-03$41.45$42.0029.7%8.5%30.0%32.3%0.0%6.8%1.4%63.4K-969.0K-8.6K0.0071.92N/AN/A001,021781
2010-08-04$41.79$42.0027.2%7.8%28.8%27.7%0.0%6.8%2.2%72.3K-1.2M-8.4K1.0072.26N/AN/A25251,021781
2010-08-05$41.27$42.0029.7%8.5%29.1%32.2%0.0%6.7%1.2%61.3K-869.3K-8.8K0.0086.52N/AN/A001,046806
2010-08-06$40.97$40.0027.1%8.5%28.8%27.6%0.0%8.0%3.0%57.0K-690.1K-8.5K0.0063.93N/AN/A061,046806
2010-08-09$41.37$40.0028.1%8.5%28.4%29.3%29.8%8.6%2.1%69.8K-894.7K-8.1K60.0071.15N/AN/A1601,046807
2010-08-10$40.57$40.0029.4%8.5%26.9%31.7%28.9%9.1%2.6%39.6K-339.1K-8.2K1.0366.27N/AN/A3013101,045847
2010-08-11$38.82$40.0033.4%9.6%31.1%38.9%40.0%8.1%1.6%18.1K1.1M-9.6K1.2065.22N/AN/A10121,3231,108
2010-08-12$38.62$40.0033.5%9.6%30.9%39.0%0.0%8.3%1.6%13.3K1.2M-9.1K0.0067.48N/AN/A901,3231,115
2010-08-13$38.24$40.0034.5%9.9%27.9%40.8%0.0%8.7%1.9%10.1K1.5M-8.5K2.0071.40N/AN/A10201,3301,115
2010-08-16$38.55$40.0069.1%19.8%28.1%100.0%0.0%24.4%-17.8%22.5K148.1K-10.4K0.0097.77N/AN/A001,3401,115
2010-08-17$39.27$40.0031.8%9.1%28.3%35.0%28.6%8.9%3.0%16.3K916.9K-8.9K0.0080.43N/AN/A1501,3401,115
2010-08-18$39.24$40.0031.8%9.1%27.5%35.0%0.0%8.6%2.4%15.6K920.9K-8.7K0.5082.09N/AN/A1051,3481,115
2010-08-19$38.14$40.0034.1%9.8%26.2%39.0%44.7%9.3%1.8%8.6K1.7M-7.5K0.0079.43N/AN/A0341,3491,120
2010-08-20$38.12$40.0033.8%9.7%24.4%38.5%28.2%8.9%2.3%14.2K1.7M-7.3K0.9179.09N/AN/A11101,3491,122
2010-08-23$37.56$40.0031.8%9.1%23.2%35.0%28.9%8.1%2.1%13.1K1.9M-6.1K0.1392.37N/AN/A80101,0801,062
2010-08-24$37.13$41.0034.5%9.9%23.3%39.7%23.3%8.1%1.4%9.2K2.0M-5.6K0.0086.26N/AN/A0201,0881,052
2010-08-25$37.71$41.0032.7%9.4%24.2%36.5%30.8%7.7%1.5%14.4K1.8M-6.2K0.0084.99N/AN/A1901,0881,062
2010-08-26$37.39$40.0035.0%10.0%24.2%40.6%37.0%7.4%0.4%14.9K2.0M-5.7K0.0085.75N/AN/A061,1061,062
2010-08-27$38.50$40.0031.3%9.0%26.9%34.1%31.6%6.8%2.0%28.5K1.4M-6.6K0.0289.46N/AN/A538101,1061,068
2010-08-30$37.56$40.0032.5%9.3%27.4%36.1%0.0%7.2%1.8%84.8K1.4M-6.9K0.0091.02N/AN/A001,5351,068
2010-08-31$37.55$40.0032.7%9.4%27.5%36.5%0.0%7.3%1.5%87.6K1.4M-6.8K0.0093.33N/AN/A801,5351,068