IWC Options History — November 2010

In November 2010, IWC traded between $43.99 and $46.45. ATM implied volatility averaged 25.8%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.9% (HV 20d: 17.9%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.22.

Notable Days

  • 2010-11-22: Highest Volume — 81 contracts
  • 2010-11-23: Largest IV spike — 16.9% change
  • 2010-11-01: Highest IV Rank — 32.3%
  • 2010-11-01: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.65$43.99$46.45$43.99$45.93
Max Pain$42.19$42.00$43.00$43.00$42.00
ATM IV25.8%22.4%30.2%30.2%29.0%
Expected Move7.5%6.5%8.7%8.7%8.3%
HV 20d17.9%15.5%20.3%17.0%20.1%
HV 60d21.6%19.3%24.2%23.9%19.3%
IV Rank24.5%18.5%32.3%32.3%30.0%
IV Percentile45.0%28.6%71.0%71.0%64.3%
Term Structure1.1%-1.5%3.8%-0.6%-1.4%
VWIV26.6%22.5%33.5%31.2%33.5%
Skew 25d6.2%2.9%7.9%5.7%7.1%
Skew 10d14.1%2.2%20.8%9.2%16.4%
Call IV 25d23.6%20.8%28.6%27.4%26.7%
Put IV 25d29.8%26.0%33.8%33.1%33.8%
Bid-Ask Spread %48.0222.4396.1462.0927.75
Gamma HHI0.160.130.190.190.17
Net GEX60.7K15.9K89.1K15.9K82.9K
Net DEX-3.1M-3.6M-1.8M-1.8M-3.4M
Net VEX-7.5K-10.1K-6.0K-10.1K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.0026.001.332.50
Total Volume20.52408174
Total OI1,651.7141,4201,7311,7041,553

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$43.99$43.0030.2%8.7%17.0%32.3%31.2%5.7%-0.6%15.9K-1.8M-10.1K1.3362.09N/AN/A341,035669
2010-11-02$44.91$43.0029.4%8.4%15.5%30.8%0.0%5.2%-0.7%23.5K-2.3M-9.7K0.0036.74N/AN/A3401,038673
2010-11-03$45.18$43.0027.3%7.8%15.5%27.0%0.0%4.7%-0.2%28.7K-2.6M-9.3K1.3378.16N/AN/A681,053673
2010-11-04$46.23$43.0024.6%7.0%17.0%22.3%29.3%2.9%0.4%40.3K-3.2M-8.1K26.0046.15N/AN/A2521,055676
2010-11-05$46.42$42.0022.7%6.9%16.5%19.1%23.7%5.3%2.2%50.6K-3.4M-7.7K0.0036.73N/AN/A4001,057624
2010-11-08$46.45$42.0022.6%7.1%16.6%18.9%22.6%5.3%2.0%59.1K-3.4M-7.4K0.0037.29N/AN/A101,072624
2010-11-09$45.86$42.0023.8%7.2%17.5%21.0%25.7%5.5%2.1%57.2K-3.2M-7.7K0.7139.82N/AN/A14101,073624
2010-11-10$46.43$42.0022.4%7.1%17.0%18.5%0.0%6.0%2.5%75.9K-3.5M-6.9K0.0041.25N/AN/A401,065634
2010-11-11$46.20$42.0024.9%7.1%17.2%22.9%26.5%7.0%2.3%72.3K-3.4M-7.2K1.5739.98N/AN/A7111,069634
2010-11-12$45.42$42.0027.5%7.9%18.4%27.4%0.0%7.0%1.6%48.7K-2.9M-8.1K0.0039.04N/AN/A401,076639
2010-11-15$45.44$42.0028.0%8.0%17.9%28.3%0.0%7.4%1.2%54.1K-3.0M-7.6K0.0049.50N/AN/A0101,074639
2010-11-16$44.55$42.0027.3%7.8%17.6%27.0%0.0%7.2%2.0%40.6K-2.5M-8.1K0.0051.05N/AN/A001,074639
2010-11-17$44.56$42.0026.1%7.5%17.4%25.0%0.0%7.3%2.9%54.1K-2.6M-7.8K0.0051.12N/AN/A031,074639
2010-11-18$45.52$42.0023.9%6.8%18.7%21.1%25.6%7.5%3.5%77.1K-3.1M-7.0K0.0032.94N/AN/A6101,074642
2010-11-19$45.64$42.0023.0%6.6%18.6%19.6%24.6%6.6%3.8%75.6K-3.0M-6.9K0.0032.86N/AN/A801,024642
2010-11-22$45.76$42.0022.8%6.5%18.5%19.2%24.9%4.6%1.4%79.0K-3.1M-6.2K0.0566.54N/AN/A7741,023397
2010-11-23$45.34$42.0026.6%7.6%18.9%26.0%31.1%6.8%-0.1%89.1K-3.1M-7.1K18.0027.76N/AN/A2361,100401
2010-11-24$46.34$42.0025.3%7.2%20.3%23.6%22.5%6.8%-0.2%82.7K-3.6M-6.3K0.0096.14N/AN/A1901,099437
2010-11-26$46.27$42.0026.8%7.7%20.1%26.2%0.0%7.2%-0.3%85.4K-3.6M-6.2K0.0093.03N/AN/A001,109437
2010-11-29$46.31$42.0028.3%8.1%20.1%28.8%25.0%7.9%-1.5%82.3K-3.6M-6.0K2.5022.43N/AN/A251,109437
2010-11-30$45.93$42.0029.0%8.3%20.1%30.0%33.5%7.1%-1.4%82.9K-3.4M-6.2K0.0027.75N/AN/A041,111442