IWC Options History — March 2011

In March 2011, IWC traded between $48.82 and $53.16. ATM implied volatility averaged 24.7%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.1% (HV 20d: 21.6%). Max pain ranged from $48.00 to $54.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 5.51.

Notable Days

  • 2011-03-01: Highest Volume — 2,712 contracts
  • 2011-03-07: Largest IV spike — 18.6% change
  • 2011-03-16: Highest IV Rank — 29.2%
  • 2011-03-16: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.13$48.82$53.16$51.01$53.16
Max Pain$50.78$48.00$54.00$50.00$50.00
ATM IV24.7%19.4%30.7%25.7%19.4%
Expected Move7.1%5.6%8.8%7.4%5.6%
HV 20d21.6%17.9%25.4%19.8%19.7%
HV 60d19.4%17.6%20.4%17.6%20.0%
IV Rank18.1%8.3%29.2%19.9%8.3%
IV Percentile40.5%6.3%73.4%47.2%6.3%
Term Structure1.2%-0.9%2.6%0.5%2.3%
VWIV24.5%17.8%29.2%27.4%17.8%
Skew 25d6.2%3.8%8.4%7.1%4.5%
Skew 10d10.1%6.1%16.8%14.0%8.4%
Call IV 25d21.6%17.8%26.4%22.4%17.8%
Put IV 25d27.9%22.2%32.6%29.5%22.2%
Bid-Ask Spread %27.1711.5556.9824.2433.84
Gamma HHI0.280.160.590.590.30
Net GEX149.4K-526.1K507.7K-526.1K206.7K
Net DEX-2.8M-5.2M-35.4K-35.4K-2.2M
Net VEX-8.9K-22.0K-6.5K-22.0K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.510.0066.0042.740.00
Total Volume17612,7122,7125
Total OI1,654.9577404,5124,5121,030

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$51.01$50.0025.7%7.4%19.8%19.9%27.4%7.1%0.5%-526.1K-35.4K-22.0K42.7424.24N/AN/A622,6501,6552,857
2011-03-02$51.13$50.0026.1%7.5%17.9%20.7%28.1%6.9%0.5%-502.2K-766.0K-21.2K0.0028.78N/AN/A32301,7172,767
2011-03-03$52.19$48.0023.2%6.6%19.2%15.3%22.2%6.8%1.2%216.6K-5.0M-9.0K0.0025.33N/AN/A15201,437267
2011-03-04$52.06$54.0022.5%6.9%19.2%14.0%0.0%6.6%1.9%258.4K-5.1M-9.6K66.0011.55N/AN/A21321,559267
2011-03-07$51.12$54.0026.7%7.6%20.5%21.7%0.0%6.3%0.8%279.4K-4.6M-8.9K0.0013.77N/AN/A1001,559171
2011-03-08$51.94$54.0025.6%7.4%20.7%19.8%0.0%7.1%1.0%275.3K-5.2M-8.7K0.3212.70N/AN/A31101,569171
2011-03-09$51.77$54.0025.3%7.5%20.7%19.1%23.8%6.4%0.8%278.9K-5.0M-8.5K0.0011.63N/AN/A101,550171
2011-03-10$50.31$54.0029.2%8.4%23.1%26.5%29.1%5.5%0.0%289.4K-3.9M-8.5K0.0018.69N/AN/A0551,551171
2011-03-11$50.28$50.0027.9%8.0%23.1%23.9%0.0%4.4%0.4%284.6K-3.9M-8.2K0.7519.00N/AN/A431,551216
2011-03-14$49.92$50.0027.7%7.9%22.8%23.6%0.0%4.4%0.7%296.2K-3.6M-7.5K1.1024.29N/AN/A31341,551219
2011-03-15$49.40$50.0029.2%8.4%22.9%26.4%29.2%3.8%-0.2%351.5K-3.2M-7.4K2.2632.02N/AN/A23521,556205
2011-03-16$48.82$50.0030.7%8.8%23.1%29.2%21.7%6.2%-0.9%405.5K-2.7M-7.3K0.4756.98N/AN/A53251,577193
2011-03-17$49.09$50.0028.5%8.2%23.0%25.2%25.1%5.9%0.1%507.7K-3.1M-6.9K0.0051.85N/AN/A3001,603188
2011-03-18$49.94$50.0025.1%7.2%23.8%18.8%27.9%7.3%1.8%-327-4.4M-6.5K2.0041.50N/AN/A361,620188
2011-03-21$51.10$50.0023.2%6.7%25.4%15.4%24.9%8.4%1.6%65.2K-1.1M-6.6K1.2224.84N/AN/A911615125
2011-03-22$51.03$50.0023.2%6.7%23.6%15.4%24.9%7.6%1.3%65.2K-1.0M-6.6K0.1025.35N/AN/A101624136
2011-03-23$51.33$50.0022.8%6.5%22.8%14.7%27.5%6.4%1.6%71.1K-1.1M-6.6K0.1625.57N/AN/A508624137
2011-03-24$51.54$50.0020.8%6.0%22.7%10.9%24.7%7.2%2.6%88.5K-1.3M-7.0K1.7328.41N/AN/A4069672133
2011-03-25$51.86$50.0021.2%6.1%21.1%11.7%21.3%6.7%2.3%95.8K-1.4M-7.4K2.0026.92N/AN/A510712198
2011-03-28$51.79$50.0022.3%6.4%21.1%13.7%20.0%5.9%1.8%90.7K-1.4M-7.3K0.0026.91N/AN/A1010707208
2011-03-29$52.21$50.0021.9%6.3%20.4%12.8%0.0%6.5%2.0%154.0K-1.7M-7.7K0.0029.69N/AN/A50808208
2011-03-30$52.92$50.0019.6%5.6%20.8%8.8%21.8%5.3%2.3%185.1K-2.1M-7.7K0.4530.99N/AN/A2210813208
2011-03-31$53.16$50.0019.4%5.6%19.7%8.3%17.8%4.5%2.3%206.7K-2.2M-7.6K0.0033.84N/AN/A50823207