IWC Options History — December 2010

In December 2010, IWC traded between $46.70 and $50.40. ATM implied volatility averaged 21.6%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 7.3% (HV 20d: 14.3%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2010-12-10: Highest Volume — 405 contracts
  • 2010-12-13: Largest IV spike — 12.5% change
  • 2010-12-01: Highest IV Rank — 24.2%
  • 2010-12-01: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.07$46.70$50.40$46.70$50.11
Max Pain$42.86$42.00$43.00$42.00$43.00
ATM IV21.6%18.8%25.7%25.7%22.4%
Expected Move6.2%5.4%7.4%7.4%6.4%
HV 20d14.3%8.5%19.7%19.6%8.8%
HV 60d17.4%15.0%19.1%19.0%15.1%
IV Rank16.7%11.7%24.2%24.2%13.8%
IV Percentile23.9%7.1%42.1%42.1%32.1%
Term Structure2.2%-0.2%3.2%-0.1%2.7%
VWIV21.4%18.5%25.4%25.4%19.8%
Skew 25d4.3%3.0%6.6%6.6%5.2%
Skew 10d8.3%5.4%17.4%17.4%8.3%
Call IV 25d20.4%17.9%23.3%23.3%19.9%
Put IV 25d24.7%21.3%29.8%29.8%25.1%
Bid-Ask Spread %26.4715.5838.0922.9429.37
Gamma HHI0.270.170.450.170.23
Net GEX104.9K66.5K162.3K81.2K162.3K
Net DEX-4.0M-4.9M-2.4M-3.8M-4.2M
Net VEX-5.5K-9.5K-3.1K-5.4K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.000.450.00
Total Volume68.2731405161
Total OI1,329.9096921,5851,5491,294

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$46.70$42.0025.7%7.4%19.6%24.2%25.4%6.6%-0.1%81.2K-3.8M-5.4K0.4522.94N/AN/A1151,111438
2010-12-02$47.08$42.0024.6%7.0%19.7%22.4%22.7%5.9%-0.2%82.8K-4.2M-4.8K0.0021.57N/AN/A701,122443
2010-12-03$47.41$42.0022.0%6.3%18.2%17.9%0.0%4.6%1.3%79.4K-4.4M-4.0K0.0021.72N/AN/A0201,117443
2010-12-06$47.76$43.0020.8%6.3%18.3%15.9%0.0%4.0%2.8%85.6K-4.5M-3.9K0.0018.45N/AN/A2301,116440
2010-12-07$48.14$43.0022.8%6.6%18.4%19.2%22.0%4.5%2.2%81.3K-4.6M-3.6K1.0015.58N/AN/A10101,108440
2010-12-08$48.25$43.0021.3%6.3%17.6%16.7%0.0%4.0%2.2%87.6K-4.6M-3.4K0.0026.15N/AN/A401,108445
2010-12-09$48.50$43.0020.4%6.3%17.3%15.1%22.7%3.8%2.7%90.7K-4.7M-3.4K0.0018.42N/AN/A3201,112445
2010-12-10$49.06$43.0020.2%6.0%17.4%14.8%0.0%3.0%2.6%86.1K-4.9M-3.1K0.0020.54N/AN/A40501,113445
2010-12-13$48.87$43.0022.8%6.3%15.9%19.2%0.0%3.6%2.2%130.4K-4.4M-5.0K0.4320.57N/AN/A731,117445
2010-12-14$48.79$43.0023.5%6.0%16.0%20.5%0.0%4.3%2.5%129.0K-4.4M-5.0K1.0022.39N/AN/A14141,115442
2010-12-15$48.64$43.0021.6%6.2%13.7%17.1%0.0%4.7%2.8%139.5K-4.4M-5.2K0.0020.50N/AN/A4201,129448
2010-12-16$49.24$43.0021.3%6.1%13.9%16.6%20.1%4.6%3.0%121.1K-4.7M-5.1K0.0824.72N/AN/A2621,137448
2010-12-17$49.37$43.0020.3%5.8%12.5%14.9%19.0%4.3%3.2%72.8K-4.5M-5.0K0.0028.55N/AN/A20611,085447
2010-12-20$49.69$43.0019.1%5.5%12.5%12.9%23.5%3.3%1.6%66.5K-2.4M-4.7K0.0038.09N/AN/A208165240
2010-12-21$50.29$43.0018.8%5.4%12.8%12.2%0.0%3.4%2.2%103.6K-3.2M-6.0K0.0035.55N/AN/A0584441
2010-12-22$50.13$43.0020.0%5.7%12.0%14.4%18.5%4.4%2.2%95.3K-3.1M-6.2K0.0436.27N/AN/A112483936
2010-12-23$50.10$43.0020.8%6.0%10.4%15.8%20.7%4.0%2.6%116.7K-3.4M-7.4K0.0034.37N/AN/A10095132
2010-12-27$50.40$43.0021.7%6.2%10.2%17.4%21.8%3.8%2.2%116.4K-3.5M-7.1K0.0027.04N/AN/A0996132
2010-12-28$50.28$43.0022.1%6.3%10.4%18.0%22.2%4.4%2.6%111.1K-3.4M-7.2K0.0028.28N/AN/A1096141
2010-12-29$50.34$43.0021.2%6.1%9.5%16.5%19.8%4.1%2.9%112.5K-3.4M-7.1K0.0035.61N/AN/A287096141
2010-12-30$50.33$43.0021.2%6.1%8.5%11.7%19.8%4.0%3.1%156.3K-4.2M-9.5K0.0035.63N/AN/A2201,23241
2010-12-31$50.11$43.0022.4%6.4%8.8%13.8%0.0%5.2%2.7%162.3K-4.2M-9.5K0.0029.37N/AN/A011,25341