IWC Options History — July 2011

In July 2011, IWC traded between $49.61 and $53.05. ATM implied volatility averaged 22.2%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.9% (HV 20d: 17.3%). Max pain ranged from $50.00 to $51.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 5.11.

Notable Days

2011-07-19: Highest Volume — 465 contracts
2011-07-11: Largest IV spike — 38.6% change
2011-07-27: Highest IV Rank — 26.9%
2011-07-27: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.56	$49.61	$53.05	$51.82	$49.71
Max Pain	$50.95	$50.00	$51.00	$50.00	$51.00
ATM IV	22.2%	16.5%	30.4%	17.3%	27.7%
Expected Move	6.5%	5.0%	8.7%	5.0%	7.9%
HV 20d	17.3%	16.0%	19.7%	17.9%	19.3%
HV 60d	19.4%	18.9%	20.1%	19.1%	19.8%
IV Rank	11.4%	0.8%	26.9%	2.3%	21.9%
IV Percentile	36.9%	1.2%	92.5%	3.2%	79.8%
Term Structure	0.4%	-8.6%	3.0%	3.0%	-1.2%
VWIV	22.7%	15.8%	27.5%	22.1%	27.5%
Skew 25d	5.7%	2.8%	7.2%	3.3%	7.2%
Skew 10d	9.3%	5.4%	20.8%	5.4%	9.9%
Call IV 25d	20.5%	16.7%	32.0%	16.7%	25.0%
Put IV 25d	26.2%	20.0%	37.8%	20.0%	32.2%
Bid-Ask Spread %	53.71	24.09	175.83	80.38	68.00
Gamma HHI	0.40	0.34	0.43	0.41	0.42
Net GEX	199.7K	147.0K	297.3K	157.1K	224.9K
Net DEX	-2.1M	-3.4M	-1.5M	-1.9M	-1.6M
Net VEX	-6.6K	-9.0K	-5.0K	-5.7K	-7.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.11	0.00	41.50	0.00	0.00
Total Volume	43.5	0	465	5	43
Total OI	1,014.25	707	1,345	794	1,345

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
2011-07-01	$51.82	$50.00	17.3%	5.0%	17.9%	2.3%	0.0%	3.3%	3.0%	157.1K	-1.9M	-5.7K	0.00	80.38	N/A	N/A	5	0	687	107
2011-07-05	$51.79	$51.00	18.5%	5.9%	16.8%	4.5%	0.0%	4.7%	1.0%	157.0K	-1.9M	-5.6K	0.00	30.65	N/A	N/A	3	0	692	107
2011-07-06	$52.10	$51.00	18.5%	6.0%	16.8%	4.4%	22.1%	4.7%	0.8%	165.9K	-2.0M	-5.5K	0.00	39.97	N/A	N/A	44	0	695	107
2011-07-07	$53.05	$51.00	18.8%	5.9%	16.8%	5.0%	20.5%	2.8%	0.9%	156.8K	-2.4M	-5.2K	0.31	47.28	N/A	N/A	75	23	695	107
2011-07-08	$52.82	$51.00	16.5%	5.6%	17.0%	0.8%	0.0%	4.5%	1.4%	163.8K	-2.3M	-5.6K	0.00	47.02	N/A	N/A	0	10	722	130
2011-07-11	$51.85	$51.00	22.9%	6.4%	17.5%	12.8%	0.0%	6.2%	0.9%	153.4K	-1.8M	-5.5K	0.00	29.21	N/A	N/A	0	0	722	140
2011-07-12	$51.71	$51.00	23.2%	6.6%	17.3%	13.4%	0.0%	6.9%	0.8%	152.2K	-1.7M	-5.5K	0.00	28.45	N/A	N/A	0	0	722	140
2011-07-13	$52.20	$51.00	22.1%	6.6%	16.6%	11.3%	20.7%	5.6%	1.3%	160.8K	-2.0M	-5.4K	0.00	36.78	N/A	N/A	22	0	722	140
2011-07-14	$51.49	$51.00	24.8%	7.1%	16.2%	16.4%	0.0%	6.5%	0.8%	166.8K	-1.7M	-5.3K	0.00	39.20	N/A	N/A	1	0	730	140
2011-07-15	$51.64	$51.00	22.3%	6.4%	16.2%	11.7%	19.8%	6.8%	1.6%	147.0K	-1.7M	-5.4K	0.00	39.87	N/A	N/A	6	0	729	140
2011-07-18	$50.92	$51.00	22.6%	6.5%	17.1%	12.2%	24.6%	6.7%	1.4%	173.0K	-1.5M	-5.0K	41.50	44.10	N/A	N/A	2	83	692	15
2011-07-19	$51.88	$51.00	21.3%	6.1%	18.1%	9.7%	19.2%	6.0%	1.1%	161.4K	-1.8M	-5.4K	0.00	52.24	N/A	N/A	465	0	694	98
2011-07-20	$51.80	$51.00	21.2%	6.1%	16.5%	9.5%	15.8%	7.1%	1.5%	270.5K	-3.0M	-9.0K	0.00	52.92	N/A	N/A	28	0	1,159	98
2011-07-21	$52.31	$51.00	21.1%	6.0%	16.0%	9.3%	0.0%	5.8%	1.1%	288.5K	-3.4M	-8.9K	0.00	57.79	N/A	N/A	0	0	1,187	98
2011-07-22	$52.21	$51.00	20.4%	5.8%	16.1%	8.1%	0.0%	5.6%	1.3%	297.3K	-3.4M	-8.8K	0.00	60.30	N/A	N/A	0	0	1,187	98
2011-07-25	$51.49	$51.00	23.1%	6.6%	17.1%	13.2%	0.0%	5.4%	0.4%	288.4K	-2.9M	-8.5K	0.00	59.65	N/A	N/A	0	0	1,187	98
2011-07-26	$51.03	$51.00	23.4%	6.7%	17.3%	13.8%	26.7%	5.7%	0.1%	285.5K	-2.5M	-8.3K	19.50	24.09	N/A	N/A	2	39	1,187	98
2011-07-27	$49.61	$51.00	30.4%	8.7%	19.6%	26.9%	25.5%	5.8%	-8.6%	202.2K	-1.8M	-7.9K	0.00	175.83	N/A	N/A	0	18	1,189	137
2011-07-28	$49.71	$51.00	27.3%	7.8%	19.7%	21.1%	27.5%	6.9%	-0.9%	220.8K	-1.6M	-7.7K	0.00	60.48	N/A	N/A	0	1	1,189	155
2011-07-29	$49.71	$51.00	27.7%	7.9%	19.3%	21.9%	27.5%	7.2%	-1.2%	224.9K	-1.6M	-7.6K	0.00	68.00	N/A	N/A	43	0	1,189	156