IWC Options History — June 2011

In June 2011, IWC traded between $48.48 and $51.24. ATM implied volatility averaged 23.3%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.6% (HV 20d: 21.7%). Max pain ranged from $50.00 to $51.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 4.26.

Notable Days

  • 2011-06-22: Highest Volume — 262 contracts
  • 2011-06-28: Largest IV drop — 11.2% change
  • 2011-06-16: Highest IV Rank — 18.6%
  • 2011-06-16: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.81$48.48$51.24$51.22$51.24
Max Pain$50.18$50.00$51.00$50.00$50.00
ATM IV23.3%18.1%26.0%23.5%18.1%
Expected Move6.7%5.2%7.4%6.7%5.2%
HV 20d21.7%18.0%23.3%23.1%18.3%
HV 60d18.7%18.2%19.1%19.1%18.9%
IV Rank13.6%3.6%18.6%13.9%3.6%
IV Percentile41.5%4.0%57.1%41.3%4.0%
Term Structure1.2%-0.2%3.5%0.1%3.5%
VWIV23.1%19.7%28.3%23.6%19.7%
Skew 25d5.2%2.2%7.8%4.8%6.8%
Skew 10d11.6%4.2%18.7%16.4%14.4%
Call IV 25d20.7%14.2%23.4%20.9%14.2%
Put IV 25d25.9%21.0%29.3%25.8%21.0%
Bid-Ask Spread %54.6129.7095.5790.6695.57
Gamma HHI0.350.230.480.340.39
Net GEX90.8K16.3K214.6K210.5K145.4K
Net DEX-816.1K-1.6M-237.3K-1.5M-1.6M
Net VEX-4.4K-6.0K-3.0K-6.0K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.260.0053.000.000.00
Total Volume30.5450262350
Total OI1,012.2273781,3031,259794

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$51.22$50.0023.5%6.7%23.1%13.9%23.6%4.8%0.1%210.5K-1.5M-6.0K0.0090.66N/AN/A3501,071188
2011-06-02$51.17$50.0023.6%6.8%22.4%14.2%0.0%4.3%-0.2%214.6K-1.5M-5.9K0.0092.18N/AN/A031,071188
2011-06-03$50.45$51.0022.7%6.6%22.9%12.3%23.0%4.0%2.0%165.7K-1.1M-5.1K3.5029.77N/AN/A20701,071189
2011-06-06$49.68$51.0023.9%6.8%23.3%14.7%0.0%3.4%1.1%113.1K-754.0K-4.4K0.0030.27N/AN/A001,071184
2011-06-07$49.86$51.0023.4%6.7%23.0%13.7%21.3%3.5%1.7%120.9K-801.4K-4.4K0.0029.70N/AN/A2901,071184
2011-06-08$49.25$51.0024.9%6.9%22.0%16.5%21.9%2.6%1.5%82.5K-558.5K-4.0K0.5033.64N/AN/A421,099184
2011-06-09$49.52$50.0022.6%6.5%21.7%12.2%0.0%3.0%1.5%84.9K-600.7K-3.9K0.0037.60N/AN/A001,101182
2011-06-10$48.78$50.0023.2%6.6%21.6%13.3%0.0%2.2%1.3%38.2K-332.1K-3.4K0.0053.66N/AN/A001,101182
2011-06-13$48.48$50.0024.9%7.1%21.1%16.5%20.9%3.4%0.4%17.4K-237.3K-3.0K0.0035.69N/AN/A2101,101182
2011-06-14$49.39$50.0023.3%6.7%21.5%13.6%0.0%6.0%0.9%44.6K-509.8K-3.4K0.0047.69N/AN/A001,121182
2011-06-15$48.60$50.0024.4%7.0%22.1%15.7%0.0%5.3%1.1%16.3K-314.0K-3.1K0.0034.68N/AN/A1001,121182
2011-06-16$48.89$50.0026.0%7.4%21.4%18.6%0.0%5.8%1.0%17.0K-393.7K-3.1K0.0042.05N/AN/A001,111182
2011-06-17$48.76$50.0025.7%7.4%21.4%18.0%27.4%6.2%1.0%24.3K-364.2K-3.1K1.7547.39N/AN/A8141,111182
2011-06-20$49.03$50.0024.6%7.0%21.6%15.9%21.6%6.7%0.4%41.8K-385.9K-3.0K0.0047.73N/AN/A4034137
2011-06-21$50.16$50.0023.8%6.8%22.6%14.5%23.6%6.3%0.2%49.7K-554.1K-3.3K0.8757.34N/AN/A393434537
2011-06-22$49.60$50.0022.8%6.5%22.9%12.6%0.0%6.4%1.4%51.7K-497.9K-3.4K0.0153.72N/AN/A260238454
2011-06-23$49.90$50.0023.1%6.6%22.4%13.1%0.0%6.5%0.9%109.8K-1.1M-5.5K0.0064.84N/AN/A0064454
2011-06-24$49.88$50.0024.0%6.9%21.7%14.9%28.3%6.5%0.4%107.2K-1.1M-5.5K53.0060.18N/AN/A15364454
2011-06-27$50.28$50.0024.3%7.0%21.7%15.4%0.0%7.8%0.4%104.1K-1.1M-5.6K0.0072.74N/AN/A10645107
2011-06-28$50.84$50.0021.6%6.2%21.1%10.3%19.7%6.4%2.0%113.8K-1.3M-5.6K0.0067.04N/AN/A110646107
2011-06-29$50.81$50.0019.3%5.5%18.0%5.9%0.0%6.6%3.5%123.8K-1.3M-5.7K0.0077.18N/AN/A510657107
2011-06-30$51.24$50.0018.1%5.2%18.3%3.6%0.0%6.8%3.5%145.4K-1.6M-5.9K0.0095.57N/AN/A00687107