IWC Options History — May 2011

In May 2011, IWC traded between $50.14 and $53.11. ATM implied volatility averaged 20.3%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.2% (HV 20d: 18.1%). Max pain ranged from $50.00 to $53.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2011-05-12: Highest Volume — 200 contracts
  • 2011-05-11: Largest IV spike — 17.2% change
  • 2011-05-16: Highest IV Rank — 15.1%
  • 2011-05-16: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.69$50.14$53.11$53.11$52.86
Max Pain$50.52$50.00$53.00$53.00$50.00
ATM IV20.3%17.3%24.1%19.3%19.0%
Expected Move5.9%5.3%6.9%5.5%5.5%
HV 20d18.1%15.3%20.6%15.3%20.6%
HV 60d18.6%17.9%19.5%17.9%18.4%
IV Rank7.9%2.1%15.1%6.1%5.4%
IV Percentile15.9%2.8%41.7%6.7%7.1%
Term Structure2.3%-0.0%3.5%2.3%1.9%
VWIV19.6%10.6%28.1%19.3%20.1%
Skew 25d4.7%-11.7%6.5%4.5%4.8%
Skew 10d12.3%0.4%19.1%8.7%8.3%
Call IV 25d19.4%16.7%47.8%17.0%17.1%
Put IV 25d24.1%21.5%36.2%21.5%21.9%
Bid-Ask Spread %79.1354.71139.8879.7585.61
Gamma HHI0.290.210.360.290.35
Net GEX166.4K103.6K320.5K150.5K320.5K
Net DEX-1.5M-2.6M-810.9K-2.0M-2.6M
Net VEX-7.5K-9.0K-5.9K-9.0K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.004.320.000.00
Total Volume29.190200201
Total OI1,297.9521,2011,4961,2021,260

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$53.11$53.0019.3%5.5%15.3%6.1%19.3%4.5%2.3%150.5K-2.0M-9.0K0.0079.75N/AN/A200915287
2011-05-03$52.46$53.0020.2%5.8%15.8%7.7%18.1%4.9%1.7%128.7K-1.6M-8.7K0.4389.20N/AN/A2812914287
2011-05-04$51.65$53.0018.7%5.3%16.4%4.8%18.6%4.7%2.9%108.7K-1.2M-8.3K4.32108.01N/AN/A2295941285
2011-05-05$51.36$52.0021.1%6.0%16.4%9.4%10.6%5.4%1.6%111.6K-1.1M-8.1K0.0093.16N/AN/A170961300
2011-05-06$51.66$50.0019.4%5.9%16.6%6.3%22.1%6.2%3.0%121.7K-1.2M-7.9K0.0062.56N/AN/A010944300
2011-05-09$52.13$50.0018.5%5.8%16.7%4.4%0.0%5.7%3.2%146.9K-1.5M-7.7K0.0060.92N/AN/A00944298
2011-05-10$53.06$50.0017.3%5.5%17.2%2.1%0.0%5.9%3.3%205.7K-2.1M-7.9K0.0068.80N/AN/A00944298
2011-05-11$52.19$50.0020.2%5.9%17.2%7.7%0.0%5.7%3.2%151.0K-1.5M-7.7K0.0054.71N/AN/A00944298
2011-05-12$52.71$50.0019.6%5.6%17.5%6.5%21.1%5.7%3.5%184.8K-1.8M-7.7K0.0069.99N/AN/A2000944298
2011-05-13$51.83$50.0021.2%6.1%18.5%9.5%0.0%5.4%2.7%185.7K-1.8M-8.5K0.0068.11N/AN/A001,132298
2011-05-16$50.80$50.0024.1%6.9%19.5%15.1%19.4%-11.7%-0.0%117.1K-1.2M-7.6K0.67139.88N/AN/A15101,132298
2011-05-17$50.62$50.0021.1%6.1%18.9%9.4%18.6%5.7%2.9%103.6K-810.9K-6.9K0.0069.52N/AN/A201,147308
2011-05-18$51.39$50.0020.2%5.8%19.8%7.7%18.7%5.4%3.5%144.9K-1.3M-7.3K0.0078.68N/AN/A2001,147308
2011-05-19$51.45$50.0020.1%5.7%18.6%7.4%0.0%5.8%3.5%190.7K-1.4M-7.4K0.0074.85N/AN/A2201,167308
2011-05-20$51.22$50.0020.4%5.8%18.4%8.0%20.9%5.5%3.2%185.5K-1.3M-7.3K1.0076.61N/AN/A221,188308
2011-05-23$50.40$50.0023.0%6.6%19.1%12.9%28.1%6.5%1.0%157.5K-1.2M-6.5K1.6467.37N/AN/A22361,054166
2011-05-24$50.14$50.0022.9%6.6%18.5%12.8%20.3%5.6%0.6%133.2K-947.5K-5.9K0.0064.94N/AN/A101,032193
2011-05-25$50.84$50.0021.0%6.0%19.4%9.1%19.1%6.1%1.2%171.8K-1.2M-6.2K1.1075.48N/AN/A10111,032193
2011-05-26$51.57$50.0019.3%5.5%20.1%6.0%20.1%5.4%1.4%218.3K-1.7M-6.5K0.0078.32N/AN/A5301,035189
2011-05-27$51.98$50.0019.8%5.7%20.4%7.0%0.0%4.7%1.4%256.3K-2.0M-6.8K0.0095.26N/AN/A021,071189
2011-05-31$52.86$50.0019.0%5.5%20.6%5.4%0.0%4.8%1.9%320.5K-2.6M-6.6K0.0085.61N/AN/A011,071189