IWC Options History — August 2011

In August 2011, IWC traded between $40.42 and $49.66. ATM implied volatility averaged 41.6%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 8.0% (HV 20d: 49.5%). Max pain ranged from $45.00 to $51.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.35.

Notable Days

  • 2011-08-24: Highest Volume — 284 contracts
  • 2011-08-02: Largest IV spike — 118.7% change
  • 2011-08-10: Highest IV Rank — 100.0%
  • 2011-08-02: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.76$40.42$49.66$49.66$44.44
Max Pain$47.39$45.00$51.00$51.00$45.00
ATM IV41.6%23.4%92.2%23.4%36.5%
Expected Move11.0%6.7%14.6%6.7%10.5%
HV 20d49.5%18.7%64.4%18.7%63.7%
HV 60d33.3%19.8%39.6%19.8%39.5%
IV Rank37.6%13.7%100.0%13.7%26.8%
IV Percentile94.1%50.4%100.0%50.4%94.8%
Term Structure-4.0%-21.5%13.5%13.5%-1.1%
VWIV35.0%16.4%74.3%24.2%36.1%
Skew 25d11.5%-12.1%38.9%38.9%10.8%
Skew 10d22.2%-1.8%36.4%34.7%17.8%
Call IV 25d33.6%21.0%66.2%21.0%31.0%
Put IV 25d45.0%29.1%66.5%59.9%41.8%
Bid-Ask Spread %89.9860.69181.23181.2388.00
Gamma HHI0.340.230.420.400.28
Net GEX52.5K-1.4K191.2K185.5K62.1K
Net DEX-14.7K-1.9M656.5K-1.9M-559.2K
Net VEX-2.5K-8.1K-505-8.1K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.001.880.020.84
Total Volume32.17402846657
Total OI1,307.2178731,4421,3881,232

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$49.66$51.0023.4%6.7%18.7%13.7%24.2%38.9%13.5%185.5K-1.9M-8.1K0.02181.23N/AN/A6511,232156
2011-08-02$48.23$51.0051.1%14.6%21.0%66.0%17.2%18.3%-21.5%142.3K-1.5M-7.5K0.00179.32N/AN/A201,257157
2011-08-03$48.63$51.0026.1%7.5%21.2%18.9%0.0%5.2%-0.6%191.2K-795.2K-6.1K0.0060.69N/AN/A201,258157
2011-08-04$45.96$51.0034.9%10.0%26.9%35.4%17.2%2.2%-4.0%83.8K59.0K-3.5K0.13100.91N/AN/A1621,258157
2011-08-05$45.20$48.0035.7%9.4%27.1%36.9%0.0%3.5%-2.0%63.1K230.4K-2.8K0.0078.04N/AN/A2101,258157
2011-08-08$41.26$48.0064.6%13.6%40.1%91.5%21.4%10.1%-9.0%25.8K438.5K-1.4K0.0080.34N/AN/A901,237157
2011-08-09$44.00$48.0044.3%10.5%48.2%53.1%28.7%13.8%-4.4%41.7K387.3K-1.8K0.1279.30N/AN/A1721,238157
2011-08-10$41.32$49.0092.2%14.0%51.5%100.0%51.6%-12.1%-9.5%36.8K224.4K-2.2K1.70145.58N/AN/A20341,231157
2011-08-11$43.05$45.0041.4%11.9%54.8%33.2%16.4%14.9%-6.8%33.0K439.1K-1.9K0.0069.62N/AN/A501,251191
2011-08-12$42.97$45.0038.0%10.9%54.6%28.8%38.1%12.7%-3.6%23.5K551.6K-1.3K0.0074.97N/AN/A021,246191
2011-08-15$44.23$45.0034.4%9.9%56.2%24.1%0.0%11.5%-2.7%33.1K534.1K-1.4K0.0072.10N/AN/A001,246193
2011-08-16$43.25$45.0036.3%10.4%55.6%26.4%74.3%11.4%-4.0%22.2K592.6K-9701.0069.15N/AN/A111,246193
2011-08-17$43.44$45.0033.9%9.7%55.8%23.4%0.0%10.7%-1.8%18.8K624.5K-7890.0082.35N/AN/A001,246193
2011-08-18$41.31$45.0043.7%12.5%57.2%36.3%36.2%10.8%-7.2%6.0K656.5K-5780.0067.34N/AN/A401,246193
2011-08-19$40.67$45.0045.0%12.9%57.1%38.0%55.2%10.1%-6.9%-1.4K656.0K-5050.0066.99N/AN/A0841,245193
2011-08-22$40.42$48.0046.0%13.2%57.1%39.2%39.0%8.8%-6.5%8.8K207.0K-5660.5091.58N/AN/A8480271
2011-08-23$42.29$48.0038.8%11.1%60.6%29.8%35.9%13.8%-2.1%13.9K170.1K-6921.8881.78N/AN/A163081071
2011-08-24$42.91$48.0036.8%10.6%60.8%27.2%40.5%13.3%-1.7%15.1K193.2K-1.1K0.0777.14N/AN/A26519825101
2011-08-25$41.76$48.0043.4%12.4%61.1%35.8%0.0%16.7%-4.8%42.3K-164.7K-2.8K0.0075.79N/AN/A1101,090116
2011-08-26$42.47$48.0039.3%11.3%61.7%30.5%0.0%14.4%-2.2%44.1K-217.0K-2.7K0.0083.57N/AN/A001,097116
2011-08-29$44.40$48.0035.2%10.1%64.4%25.1%33.0%12.8%-1.5%57.8K-508.9K-2.9K0.0083.44N/AN/A3501,097116
2011-08-30$44.54$45.0034.9%10.0%63.8%24.7%29.7%11.3%-1.4%58.1K-560.9K-3.0K0.0080.28N/AN/A701,109116
2011-08-31$44.44$45.0036.5%10.5%63.7%26.8%36.1%10.8%-1.1%62.1K-559.2K-3.1K0.8488.00N/AN/A31261,116116