IWC Options History — April 2011

In April 2011, IWC traded between $51.55 and $54.01. ATM implied volatility averaged 18.4%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.2% (HV 20d: 15.2%). Max pain ranged from $50.00 to $54.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.47.

Notable Days

2011-04-25: Highest Volume — 296 contracts
2011-04-13: Largest IV drop — 15.5% change
2011-04-11: Highest IV Rank — 11.3%
2011-04-11: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.89	$51.55	$54.01	$53.39	$54.01
Max Pain	$53.00	$50.00	$54.00	$50.00	$53.00
ATM IV	18.4%	16.1%	22.6%	19.4%	17.1%
Expected Move	5.6%	4.6%	6.7%	5.6%	4.9%
HV 20d	15.2%	13.3%	19.7%	19.7%	14.0%
HV 60d	19.2%	17.5%	20.3%	19.8%	17.5%
IV Rank	4.1%	0.0%	11.3%	8.4%	1.9%
IV Percentile	5.1%	0.0%	28.2%	6.7%	2.0%
Term Structure	2.0%	1.0%	3.4%	2.1%	2.5%
VWIV	20.4%	15.9%	28.0%	17.4%	20.2%
Skew 25d	5.2%	3.5%	6.9%	3.8%	4.2%
Skew 10d	9.7%	6.6%	16.4%	7.0%	7.0%
Call IV 25d	17.6%	14.5%	20.7%	17.4%	15.7%
Put IV 25d	22.8%	18.5%	26.7%	21.2%	19.9%
Bid-Ask Spread %	30.23	17.08	61.67	29.21	61.67
Gamma HHI	0.29	0.18	0.41	0.32	0.30
Net GEX	157.9K	26.2K	335.1K	221.4K	165.8K
Net DEX	-1.9M	-3.0M	-894.3K	-2.4M	-2.5M
Net VEX	-7.2K	-9.2K	-6.0K	-7.5K	-9.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.47	0.00	40.00	0.50	0.00
Total Volume	42.55	0	296	3	10
Total OI	1,035.15	628	1,198	1,035	1,198

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
2011-04-01	$53.39	$50.00	19.4%	5.6%	19.7%	8.4%	17.4%	3.8%	2.1%	221.4K	-2.4M	-7.5K	0.50	29.21	N/A	N/A	2	1	828	207
2011-04-04	$53.49	$0.00	19.9%	6.3%	18.3%	9.2%	0.0%	5.1%	1.0%	239.0K	-2.5M	-7.2K	0.00	37.63	N/A	N/A	83	0	830	208
2011-04-05	$53.82	$0.00	18.2%	5.9%	17.6%	6.1%	0.0%	5.4%	1.3%	293.1K	-2.9M	-7.3K	0.00	17.89	N/A	N/A	0	0	901	208
2011-04-06	$53.95	$0.00	17.8%	6.1%	17.5%	5.4%	0.0%	4.9%	1.2%	304.7K	-3.0M	-7.1K	0.00	37.65	N/A	N/A	22	0	901	208
2011-04-07	$53.70	$0.00	17.7%	6.1%	13.6%	5.2%	0.0%	5.3%	1.2%	335.1K	-2.8M	-7.2K	0.00	17.08	N/A	N/A	0	0	923	208
2011-04-08	$53.13	$0.00	19.9%	6.3%	14.4%	6.1%	22.8%	5.9%	1.3%	319.2K	-2.4M	-7.0K	0.00	17.72	N/A	N/A	0	57	923	208
2011-04-11	$52.41	$52.00	22.6%	6.7%	15.2%	11.3%	22.5%	6.9%	1.1%	240.9K	-1.7M	-6.8K	0.50	17.57	N/A	N/A	20	10	901	255
2011-04-12	$51.55	$54.00	21.5%	6.4%	16.0%	9.2%	0.0%	6.2%	1.5%	87.5K	-1.1M	-6.4K	2.00	19.27	N/A	N/A	1	2	881	265
2011-04-13	$51.63	$54.00	18.1%	6.1%	15.1%	0.9%	28.0%	5.9%	1.7%	71.1K	-1.1M	-6.1K	0.92	24.98	N/A	N/A	24	22	881	265
2011-04-14	$51.92	$54.00	19.8%	5.7%	15.1%	4.0%	21.4%	5.8%	2.4%	90.2K	-1.2M	-6.1K	0.00	25.19	N/A	N/A	0	20	870	287
2011-04-15	$52.38	$54.00	20.0%	5.7%	14.3%	4.4%	19.5%	6.3%	1.2%	103.6K	-1.3M	-6.2K	0.00	22.45	N/A	N/A	3	0	870	307
2011-04-18	$51.63	$53.00	18.7%	5.4%	13.3%	2.0%	21.5%	5.7%	2.2%	30.5K	-910.7K	-6.0K	0.00	33.87	N/A	N/A	0	7	467	161
2011-04-19	$51.59	$53.00	17.1%	4.9%	13.3%	0.0%	0.0%	5.3%	2.6%	26.2K	-894.3K	-6.0K	0.04	60.18	N/A	N/A	100	4	467	168
2011-04-20	$52.52	$53.00	16.4%	4.7%	14.6%	0.0%	16.2%	5.0%	3.1%	54.4K	-1.2M	-6.6K	1.03	33.56	N/A	N/A	34	35	567	172
2011-04-21	$52.89	$53.00	16.2%	4.6%	14.7%	0.0%	0.0%	4.9%	2.9%	66.0K	-1.4M	-7.0K	40.00	31.67	N/A	N/A	1	40	601	207
2011-04-25	$52.93	$53.00	17.2%	4.9%	14.6%	1.8%	21.3%	4.3%	2.4%	56.9K	-1.3M	-7.2K	0.14	31.96	N/A	N/A	260	36	602	247
2011-04-26	$53.49	$53.00	18.1%	5.2%	14.9%	3.7%	15.9%	4.7%	2.4%	136.7K	-2.1M	-9.2K	0.00	28.49	N/A	N/A	25	0	861	283
2011-04-27	$53.61	$53.00	17.0%	4.9%	14.7%	1.6%	18.0%	4.4%	2.3%	143.0K	-2.2M	-9.2K	0.00	28.75	N/A	N/A	32	0	886	283
2011-04-28	$53.85	$53.00	16.1%	4.6%	14.1%	0.0%	0.0%	3.5%	3.4%	173.3K	-2.4M	-9.2K	0.00	27.77	N/A	N/A	0	0	915	283
2011-04-29	$54.01	$53.00	17.1%	4.9%	14.0%	1.9%	20.2%	4.2%	2.5%	165.8K	-2.5M	-9.2K	0.00	61.67	N/A	N/A	0	10	915	283