IWC Options History — September 2010

In September 2010, IWC traded between $38.93 and $42.00. ATM implied volatility averaged 28.2%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.8% (HV 20d: 27.4%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 16.50.

Notable Days

  • 2010-09-10: Highest Volume — 565 contracts
  • 2010-09-07: Largest IV spike — 19.0% change
  • 2010-09-23: Highest IV Rank — 32.6%
  • 2010-09-07: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.36$38.93$42.00$38.93$42.00
Max Pain$38.67$38.00$40.00$40.00$40.00
ATM IV28.2%23.6%30.4%29.3%29.2%
Expected Move8.2%7.7%8.8%8.4%8.4%
HV 20d27.4%21.5%31.8%30.8%21.5%
HV 60d28.7%27.4%29.7%29.7%27.4%
IV Rank28.6%20.8%32.6%30.7%30.4%
IV Percentile57.2%31.0%69.8%65.1%62.3%
Term Structure1.9%0.7%3.2%2.5%0.7%
VWIV28.4%22.8%31.7%22.8%29.4%
Skew 25d6.2%3.8%8.7%6.4%5.6%
Skew 10d10.4%7.4%18.7%18.7%9.2%
Call IV 25d26.5%25.1%27.6%26.4%26.4%
Put IV 25d32.8%30.5%35.5%32.8%32.0%
Bid-Ask Spread %49.6121.02110.72101.7083.36
Gamma HHI0.320.230.900.230.26
Net GEX217.6K12.4K1.0M120.3K18.0K
Net DEX-942.5K-1.7M340.0K340.0K-1.5M
Net VEX-5.8K-8.0K-4.0K-8.0K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.500.00206.000.050.00
Total Volume95.0950565203
Total OI2,001.4768192,9372,6061,262

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$38.93$40.0029.3%8.4%30.8%30.7%22.8%6.4%2.5%120.3K340.0K-8.0K0.05101.70N/AN/A1911,5381,068
2010-09-02$39.09$40.0027.9%8.0%30.7%28.2%0.0%5.9%3.2%127.2K202.6K-7.9K0.00110.72N/AN/A001,5391,067
2010-09-03$39.75$39.0023.6%7.9%31.4%20.8%31.5%6.7%2.6%153.0K-426.0K-7.9K1.6121.02N/AN/A2003221,5391,067
2010-09-07$38.98$38.0028.1%8.8%31.8%28.6%0.0%8.3%1.4%262.4K-539.4K-6.9K0.0024.84N/AN/A201,739789
2010-09-08$39.20$38.0027.9%8.7%31.3%28.2%0.0%7.8%1.6%280.4K-744.2K-6.8K0.0024.17N/AN/A001,739789
2010-09-09$39.26$38.0030.1%8.6%27.0%32.0%0.0%7.7%1.6%302.1K-741.7K-6.6K0.0023.57N/AN/A001,739789
2010-09-10$39.42$38.0029.9%8.6%26.9%31.6%29.8%7.6%2.0%329.0K-858.6K-6.3K0.9824.91N/AN/A2852801,739789
2010-09-13$40.38$38.0027.9%8.0%27.8%28.1%0.0%6.1%2.5%310.5K-1.7M-6.8K2.5035.30N/AN/A4101,9241,009
2010-09-14$40.15$38.0027.6%7.9%27.8%27.6%0.0%5.8%2.5%396.2K-1.0M-6.0K0.0037.09N/AN/A001,9281,009
2010-09-15$40.28$38.0027.8%8.0%27.2%27.9%27.7%5.6%2.7%408.4K-1.3M-5.7K5.0037.89N/AN/A2101,9281,009
2010-09-16$39.98$38.0027.8%8.0%27.3%27.9%0.0%6.0%2.1%466.6K-583.5K-5.0K0.0037.90N/AN/A001,930999
2010-09-17$40.11$38.0028.2%8.1%25.0%28.7%0.0%6.5%2.3%1.0M-771.6K-4.5K0.2938.47N/AN/A308901,930999
2010-09-20$41.37$38.0027.5%7.9%26.9%27.4%27.5%3.8%1.3%81.5K-1.5M-4.0K0.0053.00N/AN/A190692127
2010-09-21$41.16$38.0029.1%8.3%26.3%30.2%0.0%6.5%0.8%81.0K-1.5M-4.2K0.0046.55N/AN/A06706127
2010-09-22$40.67$38.0028.3%8.1%26.3%28.9%28.4%6.9%1.8%86.3K-1.3M-4.2K206.0048.30N/AN/A1206706133
2010-09-23$40.19$39.0030.4%8.7%26.6%32.6%28.7%8.7%1.4%43.1K-706.0K-4.9K0.0036.66N/AN/A20707339
2010-09-24$41.45$39.0027.2%7.8%27.9%27.0%27.6%5.4%2.0%31.6K-1.3M-4.8K12.8059.35N/AN/A564709339
2010-09-27$41.38$39.0029.8%8.5%26.5%31.4%31.7%5.3%0.9%27.8K-1.1M-5.0K1.7159.78N/AN/A5187714391
2010-09-28$41.81$40.0026.9%7.7%24.4%26.5%0.0%3.9%2.1%12.9K-1.4M-5.3K0.0063.86N/AN/A00764478
2010-09-29$41.98$40.0027.2%7.8%24.3%27.0%27.6%4.0%2.6%12.4K-1.4M-5.2K0.0073.47N/AN/A200764478
2010-09-30$42.00$40.0029.2%8.4%21.5%30.4%29.4%5.6%0.7%18.0K-1.5M-5.2K0.0083.36N/AN/A30784478