IWC Options History — October 2010

In October 2010, IWC traded between $41.75 and $44.93. ATM implied volatility averaged 26.6%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.5% (HV 20d: 20.1%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.84.

Notable Days

  • 2010-10-11: Highest Volume — 678 contracts
  • 2010-10-14: Largest IV spike — 14.8% change
  • 2010-10-29: Highest IV Rank — 30.6%
  • 2010-10-04: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.85$41.75$44.93$42.26$44.38
Max Pain$41.43$38.00$43.00$40.00$43.00
ATM IV26.6%23.8%29.3%26.2%29.3%
Expected Move8.0%7.5%8.6%7.5%8.4%
HV 20d20.1%17.0%22.4%21.5%17.3%
HV 60d25.3%23.9%27.7%27.3%23.9%
IV Rank25.9%21.0%30.6%25.3%30.6%
IV Percentile46.2%31.0%65.5%40.5%65.5%
Term Structure0.9%-0.7%3.5%3.5%-0.7%
VWIV29.3%26.6%32.4%28.4%32.4%
Skew 25d5.4%3.8%6.6%4.7%6.2%
Skew 10d9.3%6.9%10.5%6.9%9.9%
Call IV 25d26.4%23.8%28.8%24.4%26.1%
Put IV 25d31.8%29.1%35.4%29.1%32.3%
Bid-Ask Spread %45.3020.1781.6181.6158.37
Gamma HHI0.200.150.280.270.17
Net GEX5.4K-38.9K20.3K11.3K19.4K
Net DEX-2.0M-3.0M-1.2M-1.7M-2.0M
Net VEX-7.5K-10.4K-4.1K-4.8K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.840.0040.000.000.00
Total Volume108.571067820
Total OI1,595.4761,2632,1851,2631,704

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$42.26$40.0026.2%7.5%21.5%25.3%28.4%4.7%3.5%11.3K-1.7M-4.8K0.0081.61N/AN/A20785478
2010-10-04$41.75$38.0026.9%8.6%21.6%26.4%0.0%6.6%0.9%13.5K-1.5M-4.8K0.0020.17N/AN/A00786478
2010-10-05$42.97$38.0025.9%8.2%21.9%24.7%0.0%5.0%0.8%7.5K-2.1M-4.2K2.5026.69N/AN/A615786478
2010-10-06$42.93$38.0025.5%8.3%22.0%23.9%0.0%6.4%1.0%6.9K-2.1M-4.1K1.0027.43N/AN/A8282792479
2010-10-07$42.82$38.0027.2%8.4%22.1%26.9%31.1%6.6%0.8%8.2K-2.0M-4.6K40.0025.13N/AN/A5200874561
2010-10-08$43.44$42.0024.6%8.0%22.4%22.5%0.0%5.5%1.0%-38.9K-2.2M-4.9K0.0034.62N/AN/A032874761
2010-10-11$43.54$42.0025.0%7.8%21.3%23.1%28.8%5.2%1.5%-30.2K-2.2M-4.7K0.0835.81N/AN/A62850874771
2010-10-12$43.63$42.0023.9%8.0%21.0%21.1%0.0%6.0%0.9%-798-3.0M-7.0K1.5034.93N/AN/A1452181,159821
2010-10-13$44.39$42.0023.8%7.9%21.5%21.0%0.0%4.5%0.8%8.0K-2.9M-8.9K0.0042.50N/AN/A02501,1511,034
2010-10-14$44.54$42.0027.3%7.8%21.0%27.2%28.7%4.4%0.6%6.9K-3.0M-8.7K0.0040.25N/AN/A1401,148984
2010-10-15$44.38$42.0027.9%8.0%21.2%28.2%0.0%5.1%1.2%8.0K-2.9M-8.8K0.0042.98N/AN/A001,154984
2010-10-18$44.93$42.0026.1%7.5%19.1%25.0%28.0%4.2%1.7%7.9K-1.6M-8.1K0.0059.00N/AN/A730780627
2010-10-19$43.96$42.0028.3%8.1%21.0%28.8%0.0%3.8%0.8%7.4K-1.2M-8.9K0.0047.31N/AN/A10814627
2010-10-20$44.33$42.0027.9%8.0%20.3%28.2%26.6%6.0%0.7%8.4K-1.4M-8.7K0.0042.63N/AN/A210814627
2010-10-21$44.03$42.0027.0%7.7%19.8%26.6%28.4%6.4%0.9%9.1K-1.3M-8.9K0.0045.78N/AN/A017835627
2010-10-22$44.33$43.0026.3%7.5%17.3%25.4%0.0%5.3%1.2%7.6K-1.5M-8.7K0.0048.71N/AN/A00835631
2010-10-25$44.59$43.0026.4%7.6%17.2%25.5%31.2%5.8%0.4%9.1K-1.6M-8.3K0.0059.88N/AN/A036835631
2010-10-26$44.65$43.0026.9%7.7%17.0%26.5%32.4%6.0%0.7%4.6K-1.6M-8.3K1.0058.86N/AN/A200200835667
2010-10-27$44.60$43.0026.8%7.7%17.1%26.2%0.0%4.8%1.1%20.3K-2.1M-10.3K0.0057.42N/AN/A101,035667
2010-10-28$44.34$43.0029.0%8.3%17.4%30.0%0.0%5.3%-0.0%19.6K-2.0M-10.4K0.0061.17N/AN/A021,035667
2010-10-29$44.38$43.0029.3%8.4%17.3%30.6%0.0%6.2%-0.7%19.4K-2.0M-10.3K0.0058.37N/AN/A001,035669