IWC Options History — February 2011

In February 2011, IWC traded between $50.19 and $52.42. ATM implied volatility averaged 21.7%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.1% (HV 20d: 20.6%). Max pain ranged from $43.00 to $51.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 12.46.

Notable Days

2011-02-08: Highest Volume — 2,684 contracts
2011-02-22: Largest IV spike — 23.3% change
2011-02-23: Highest IV Rank — 21.4%
2011-02-23: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.24	$50.19	$52.42	$50.45	$51.86
Max Pain	$49.05	$43.00	$51.00	$51.00	$50.00
ATM IV	21.7%	19.1%	26.5%	23.6%	22.1%
Expected Move	6.4%	5.7%	7.6%	6.8%	6.3%
HV 20d	20.6%	16.7%	22.7%	22.7%	18.6%
HV 60d	17.0%	16.0%	17.7%	17.7%	17.3%
IV Rank	12.6%	7.8%	21.4%	16.0%	13.3%
IV Percentile	26.4%	7.1%	50.4%	37.3%	32.1%
Term Structure	1.8%	0.1%	3.1%	0.8%	1.4%
VWIV	23.3%	20.1%	28.6%	23.2%	20.1%
Skew 25d	6.0%	4.6%	7.6%	7.1%	7.3%
Skew 10d	10.9%	8.6%	17.2%	10.1%	12.7%
Call IV 25d	20.0%	18.6%	23.2%	19.5%	19.4%
Put IV 25d	26.0%	23.8%	30.8%	26.6%	26.6%
Bid-Ask Spread %	30.54	20.31	81.10	27.62	26.52
Gamma HHI	0.45	0.20	0.64	0.20	0.63
Net GEX	-216.3K	-551.9K	255.3K	216.8K	-512.3K
Net DEX	-2.3M	-5.5M	2.2M	-4.5M	-1.9M
Net VEX	-19.0K	-26.1K	-8.2K	-9.4K	-20.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	12.46	0.00	190.71	0.00	0.00
Total Volume	211.737	2	2,684	108	134
Total OI	3,638.105	1,652	4,692	1,652	4,378

Daily Data (19 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
2011-02-01	$50.45	$51.00	23.6%	6.8%	22.7%	16.0%	23.2%	7.1%	0.8%	216.8K	-4.5M	-9.4K	0.00	27.62	N/A	N/A	108	0	1,469	183
2011-02-02	$50.38	$51.00	23.5%	6.7%	22.0%	15.8%	25.7%	5.8%	1.1%	239.6K	-4.6M	-9.6K	0.00	33.25	N/A	N/A	0	15	1,534	183
2011-02-03	$50.46	$51.00	22.0%	6.3%	21.3%	13.1%	21.4%	5.1%	1.9%	233.8K	-4.7M	-9.5K	1.15	31.70	N/A	N/A	13	15	1,534	198
2011-02-04	$50.37	$43.00	20.0%	6.7%	21.3%	9.5%	24.2%	6.4%	1.5%	255.3K	-4.7M	-9.1K	0.00	27.49	N/A	N/A	0	154	1,547	199
2011-02-07	$51.06	$43.00	20.3%	6.5%	21.8%	9.9%	21.1%	6.3%	1.6%	245.9K	-5.2M	-8.7K	0.00	21.28	N/A	N/A	25	0	1,547	243
2011-02-08	$51.30	$43.00	19.1%	6.3%	21.8%	7.8%	23.3%	5.8%	2.1%	250.3K	-5.5M	-8.2K	190.71	31.93	N/A	N/A	14	2,670	1,563	243
2011-02-09	$51.09	$50.00	19.6%	6.5%	21.7%	8.6%	23.9%	5.7%	1.4%	-425.7K	-106.0K	-25.0K	1.14	27.37	N/A	N/A	63	72	1,577	2,902
2011-02-10	$51.15	$50.00	22.3%	6.4%	21.4%	13.6%	25.2%	5.9%	2.0%	-407.8K	-317.7K	-25.1K	0.25	29.06	N/A	N/A	16	4	1,620	2,924
2011-02-11	$51.69	$50.00	19.9%	5.7%	21.8%	9.3%	23.7%	5.2%	3.1%	-392.8K	-1.8M	-23.0K	16.00	22.75	N/A	N/A	5	80	1,635	2,924
2011-02-14	$51.85	$50.00	20.5%	5.9%	21.6%	10.4%	21.1%	5.1%	2.6%	-390.2K	-2.1M	-21.6K	0.00	25.67	N/A	N/A	467	0	1,630	2,982
2011-02-15	$51.54	$50.00	20.7%	5.9%	21.7%	10.6%	22.3%	5.4%	2.7%	-389.2K	-1.2M	-26.1K	0.50	27.17	N/A	N/A	2	1	1,704	2,982
2011-02-16	$51.89	$50.00	20.1%	5.8%	17.9%	9.7%	20.3%	5.2%	3.0%	-354.7K	-2.1M	-24.6K	0.00	20.31	N/A	N/A	16	0	1,706	2,983
2011-02-17	$52.33	$50.00	20.6%	5.9%	16.9%	10.6%	0.0%	4.6%	2.7%	-307.8K	-3.2M	-22.9K	0.00	26.86	N/A	N/A	2	0	1,709	2,983
2011-02-18	$52.42	$50.00	20.9%	6.0%	16.7%	11.1%	24.0%	4.7%	2.9%	-304.5K	-3.4M	-22.5K	0.00	26.15	N/A	N/A	27	0	1,709	2,983
2011-02-22	$51.04	$50.00	25.8%	7.4%	19.7%	20.0%	28.6%	6.5%	0.5%	-490.6K	428.0K	-24.4K	0.15	39.43	N/A	N/A	20	3	1,476	2,835
2011-02-23	$50.19	$50.00	26.5%	7.6%	20.7%	21.4%	27.3%	7.6%	0.1%	-510.7K	2.2M	-24.8K	1.52	25.46	N/A	N/A	21	32	1,496	2,835
2011-02-24	$50.59	$50.00	23.9%	6.9%	19.9%	16.7%	22.4%	7.1%	1.2%	-551.9K	1.3M	-24.3K	0.00	29.11	N/A	N/A	2	0	1,497	2,857
2011-02-25	$51.81	$50.00	21.5%	6.2%	21.6%	12.2%	22.1%	7.3%	0.9%	-513.2K	-1.5M	-21.5K	0.31	81.10	N/A	N/A	32	10	1,497	2,857
2011-02-28	$51.86	$50.00	22.1%	6.3%	18.6%	13.3%	20.1%	7.3%	1.4%	-512.3K	-1.9M	-20.3K	0.00	26.52	N/A	N/A	134	0	1,521	2,857