IWC Options History — January 2011

In January 2011, IWC traded between $49.07 and $51.86. ATM implied volatility averaged 22.0%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.5% (HV 20d: 15.5%). Max pain ranged from $43.00 to $51.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.96.

Notable Days

2011-01-03: Highest Volume — 274 contracts
2011-01-13: Largest IV spike — 26.6% change
2011-01-28: Highest IV Rank — 18.5%
2011-01-28: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.43	$49.07	$51.86	$51.00	$49.22
Max Pain	$49.40	$43.00	$51.00	$43.00	$51.00
ATM IV	22.0%	18.2%	24.9%	20.4%	24.5%
Expected Move	6.5%	5.9%	7.1%	5.9%	7.0%
HV 20d	15.5%	10.1%	21.8%	10.1%	21.8%
HV 60d	16.1%	14.7%	17.6%	15.4%	17.6%
IV Rank	13.1%	6.1%	18.5%	10.2%	17.8%
IV Percentile	27.6%	4.4%	44.0%	17.9%	41.7%
Term Structure	1.4%	0.5%	3.2%	3.2%	0.5%
VWIV	21.8%	17.3%	26.1%	19.7%	26.1%
Skew 25d	5.3%	3.8%	6.8%	4.6%	6.7%
Skew 10d	8.7%	5.8%	14.8%	7.6%	11.3%
Call IV 25d	20.5%	17.3%	22.7%	18.8%	21.4%
Put IV 25d	25.9%	23.0%	29.5%	23.4%	28.1%
Bid-Ask Spread %	29.63	11.51	85.52	36.22	27.63
Gamma HHI	0.22	0.19	0.25	0.23	0.21
Net GEX	171.5K	141.9K	219.2K	157.8K	218.1K
Net DEX	-4.3M	-5.5M	-3.3M	-4.6M	-3.5M
Net VEX	-9.5K	-10.7K	-8.5K	-9.0K	-9.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.96	0.00	30.00	2.11	0.16
Total Volume	41.9	0	274	274	36
Total OI	1,576.9	1,295	1,692	1,295	1,627

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-01-03	$51.00	$43.00	20.4%	5.9%	10.1%	10.2%	19.7%	4.6%	3.2%	157.8K	-4.6M	-9.0K	2.11	36.22	N/A	N/A	88	186	1,253	42
2011-01-04	$50.20	$43.00	22.1%	6.4%	12.1%	13.4%	20.6%	4.7%	2.6%	141.9K	-4.0M	-10.7K	0.00	29.77	N/A	N/A	51	0	1,334	228
2011-01-05	$50.95	$43.00	20.6%	5.9%	12.7%	10.6%	0.0%	3.8%	3.0%	143.6K	-4.5M	-10.4K	0.00	27.88	N/A	N/A	17	0	1,359	228
2011-01-06	$50.73	$43.00	20.9%	6.0%	13.0%	11.1%	22.5%	4.4%	2.9%	145.1K	-4.4M	-10.5K	2.00	85.52	N/A	N/A	2	4	1,359	228
2011-01-07	$50.52	$51.00	19.8%	6.6%	13.2%	9.0%	21.8%	5.5%	1.2%	154.7K	-4.3M	-10.2K	0.00	11.51	N/A	N/A	3	0	1,361	229
2011-01-10	$50.81	$51.00	21.5%	6.8%	12.8%	12.2%	0.0%	5.1%	0.9%	153.8K	-4.5M	-10.0K	0.00	13.13	N/A	N/A	5	0	1,363	229
2011-01-11	$51.12	$51.00	21.1%	6.8%	12.7%	11.5%	0.0%	4.6%	0.7%	152.4K	-4.7M	-9.6K	0.00	14.53	N/A	N/A	0	0	1,368	229
2011-01-12	$51.61	$51.00	18.2%	6.3%	12.8%	6.1%	21.8%	3.8%	1.2%	146.0K	-5.1M	-9.1K	0.00	33.71	N/A	N/A	62	0	1,368	229
2011-01-13	$51.48	$51.00	23.1%	6.6%	12.8%	15.1%	23.4%	4.9%	0.9%	165.9K	-5.1M	-9.5K	0.11	16.97	N/A	N/A	19	2	1,430	229
2011-01-14	$51.86	$51.00	21.3%	6.1%	12.4%	11.9%	0.0%	4.3%	0.8%	171.8K	-5.5M	-9.1K	0.00	18.45	N/A	N/A	2	0	1,446	231
2011-01-18	$51.77	$51.00	21.2%	6.1%	12.5%	11.7%	0.0%	4.6%	0.8%	176.1K	-5.5M	-8.5K	0.00	21.29	N/A	N/A	18	0	1,445	231
2011-01-19	$50.06	$51.00	23.8%	6.8%	17.8%	16.4%	24.3%	5.7%	0.9%	203.1K	-4.2M	-9.5K	0.78	22.02	N/A	N/A	9	7	1,456	231
2011-01-20	$49.31	$51.00	24.3%	7.0%	18.0%	17.4%	20.8%	6.0%	1.5%	168.7K	-3.7M	-9.4K	0.00	44.00	N/A	N/A	20	0	1,461	227
2011-01-21	$49.10	$51.00	23.5%	6.7%	18.0%	15.8%	22.5%	5.7%	1.4%	171.5K	-3.6M	-9.3K	0.00	40.90	N/A	N/A	5	0	1,465	227
2011-01-24	$49.47	$51.00	23.6%	6.8%	18.3%	16.1%	22.4%	6.4%	0.8%	172.0K	-3.3M	-9.0K	0.91	18.70	N/A	N/A	11	10	1,245	160
2011-01-25	$49.52	$51.00	21.7%	6.2%	18.1%	12.5%	0.0%	6.2%	1.3%	180.8K	-3.4M	-8.7K	1.11	24.44	N/A	N/A	9	10	1,249	150
2011-01-26	$50.41	$51.00	21.4%	6.1%	19.3%	12.1%	17.3%	6.8%	1.4%	168.0K	-3.9M	-8.5K	0.00	28.49	N/A	N/A	211	0	1,246	160
2011-01-27	$50.48	$51.00	21.6%	6.2%	19.3%	12.3%	17.8%	6.5%	1.0%	219.2K	-4.5M	-9.7K	0.00	33.40	N/A	N/A	20	0	1,447	160
2011-01-28	$49.07	$51.00	24.9%	7.1%	21.8%	18.5%	24.6%	6.8%	0.5%	218.9K	-3.5M	-10.0K	30.00	44.10	N/A	N/A	1	30	1,448	160
2011-01-31	$49.22	$51.00	24.5%	7.0%	21.8%	17.8%	26.1%	6.7%	0.5%	218.1K	-3.5M	-9.8K	0.16	27.63	N/A	N/A	31	5	1,449	178