IWC Options History — September 2011

In September 2011, IWC traded between $39.35 and $43.54. ATM implied volatility averaged 41.8%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 0.8% (HV 20d: 41.1%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 3.06.

Notable Days

  • 2011-09-06: Highest Volume — 156 contracts
  • 2011-09-23: Largest IV spike — 30.4% change
  • 2011-09-23: Highest IV Rank — 52.3%
  • 2011-09-23: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.57$39.35$43.54$43.31$39.35
Max Pain$44.29$44.00$47.00$47.00$44.00
ATM IV41.8%35.3%55.9%37.0%49.1%
Expected Move11.8%10.1%16.0%10.6%14.1%
HV 20d41.1%31.3%62.0%61.3%34.4%
HV 60d41.4%39.8%42.9%39.8%42.8%
IV Rank33.8%25.2%52.3%27.4%43.3%
IV Percentile95.3%89.7%99.2%95.2%98.4%
Term Structure-2.1%-16.3%0.1%-1.2%-1.4%
VWIV37.8%17.1%55.2%17.1%44.8%
Skew 25d13.2%10.3%30.4%10.8%12.9%
Skew 10d19.9%-0.6%29.9%29.1%29.9%
Call IV 25d35.3%30.8%49.1%30.8%41.7%
Put IV 25d48.6%41.7%79.5%41.7%54.5%
Bid-Ask Spread %45.1615.86172.5792.8850.38
Gamma HHI0.340.270.470.320.29
Net GEX30.1K5.9K59.6K51.0K18.1K
Net DEX-10.7K-302.1K239.9K-283.8K217.9K
Net VEX-2.4K-2.8K-1.8K-2.8K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.060.0025.000.000.00
Total Volume31.1901563820
Total OI1,080.815241,5701,289685

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$43.31$47.0037.0%10.6%61.3%27.4%17.1%10.8%-1.2%51.0K-283.8K-2.8K0.0092.88N/AN/A3801,147142
2011-09-02$41.89$47.0037.1%10.6%62.0%27.6%39.4%10.3%-0.4%40.5K-34.9K-2.3K0.0093.22N/AN/A0381,185142
2011-09-06$41.71$44.0041.2%11.0%52.8%32.9%34.8%12.7%-1.5%38.5K993-2.3K25.0025.41N/AN/A61501,185160
2011-09-07$43.17$44.0037.7%10.5%48.9%28.3%43.7%12.0%-0.9%35.5K-162.1K-2.7K0.0027.28N/AN/A0401,189310
2011-09-08$42.39$44.0041.7%11.1%43.7%33.6%0.0%12.8%-1.7%20.9K41.5K-2.7K0.0028.81N/AN/A001,189350
2011-09-09$41.34$44.0047.5%12.5%42.0%41.2%0.0%14.3%-3.7%5.9K239.9K-2.5K0.0028.45N/AN/A001,189350
2011-09-12$41.60$44.0044.5%12.2%42.1%37.3%0.0%14.8%-2.7%7.2K175.9K-2.4K0.0028.75N/AN/A001,189350
2011-09-13$42.29$44.0042.8%12.0%41.1%35.1%0.0%13.3%-2.6%20.4K21.4K-2.3K0.0031.15N/AN/A101,189350
2011-09-14$43.00$44.0038.5%11.5%40.9%29.5%0.0%11.4%-1.8%40.2K-121.5K-2.3K0.3327.91N/AN/A30101,190350
2011-09-15$43.42$44.0038.5%11.0%41.0%29.4%36.3%11.1%-1.3%53.8K-215.9K-2.6K0.0029.05N/AN/A401,220350
2011-09-16$43.54$44.0035.3%10.1%36.5%25.2%31.1%11.9%-0.1%59.6K-302.1K-2.5K2.8834.80N/AN/A25721,220334
2011-09-19$42.66$44.0036.1%10.3%36.8%26.2%32.3%11.7%0.1%35.1K-273.2K-2.6K0.0315.86N/AN/A652388136
2011-09-20$41.90$44.0036.5%10.5%37.4%26.8%35.5%10.3%-0.1%40.0K-185.5K-2.5K1.3318.22N/AN/A2736451138
2011-09-21$40.59$44.0038.2%10.9%35.5%29.0%0.0%11.5%-0.8%25.5K89.7K-2.4K0.0047.92N/AN/A00473174
2011-09-22$39.54$44.0042.9%12.3%35.9%35.1%38.3%14.0%-1.6%17.0K218.6K-1.9K5.6746.34N/AN/A634473174
2011-09-23$39.85$44.0055.9%16.0%35.1%52.3%55.2%30.4%-16.3%21.0K-21.8K-2.6K2.50172.57N/AN/A25473174
2011-09-26$40.46$44.0044.2%12.7%35.0%36.9%44.3%14.4%-2.0%24.0K109.9K-2.2K2.0042.39N/AN/A36473179
2011-09-27$41.17$44.0043.1%12.3%31.3%35.4%39.0%12.8%-1.2%31.6K-24.0K-2.5K0.0035.77N/AN/A350476180
2011-09-28$39.58$44.0045.6%13.1%33.6%38.7%0.0%13.1%-1.9%20.6K182.1K-2.0K0.0020.30N/AN/A00505180
2011-09-29$40.27$44.0045.0%12.9%34.6%37.9%0.0%11.6%-2.0%26.6K102.3K-2.1K0.0050.90N/AN/A00505180
2011-09-30$39.35$44.0049.1%14.1%34.4%43.3%44.8%12.9%-1.4%18.1K217.9K-1.8K0.0050.38N/AN/A200505180