IWC Options History — October 2011

In October 2011, IWC traded between $37.21 and $46.00. ATM implied volatility averaged 39.6%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 7.9% (HV 20d: 47.5%). Max pain ranged from $37.00 to $44.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 4.47.

Notable Days

  • 2011-10-05: Highest Volume — 157 contracts
  • 2011-10-12: Largest IV spike — 68.5% change
  • 2011-10-12: Highest IV Rank — 58.4%
  • 2011-10-03: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.31$37.21$46.00$37.21$44.75
Max Pain$41.29$37.00$44.00$44.00$44.00
ATM IV39.6%29.3%60.5%54.7%33.0%
Expected Move11.1%8.4%15.7%15.7%9.5%
HV 20d47.5%37.7%51.0%37.7%45.7%
HV 60d48.4%44.0%51.0%44.0%49.8%
IV Rank30.9%17.3%58.4%50.7%22.1%
IV Percentile86.3%74.2%99.2%98.8%76.2%
Term Structure-1.6%-12.8%0.2%-6.2%-0.8%
VWIV44.7%30.6%87.0%56.6%31.6%
Skew 25d10.6%4.2%13.1%8.9%8.6%
Skew 10d21.5%12.5%29.1%13.6%18.8%
Call IV 25d34.6%26.2%67.3%47.7%29.7%
Put IV 25d45.2%34.3%71.4%56.6%38.3%
Bid-Ask Spread %60.7941.36162.0051.8475.30
Gamma HHI0.260.100.610.220.23
Net GEX56.8K-1.3K163.7K6.8K5.9K
Net DEX-218.2K-995.8K387.0K387.0K-81.7K
Net VEX-1.6K-2.4K-795-1.2K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.470.0036.000.500.00
Total Volume24.7140157100
Total OI683.762202910705328

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$37.21$44.0054.7%15.7%37.7%50.7%56.6%8.9%-6.2%6.8K387.0K-1.2K0.0051.84N/AN/A010525180
2011-10-04$39.95$44.0045.8%13.1%46.5%39.0%43.4%9.5%-1.7%23.8K151.1K-1.8K0.5051.00N/AN/A105525180
2011-10-05$40.15$44.0044.1%12.6%44.6%36.8%39.8%8.9%-1.8%25.6K149.7K-1.9K0.0062.02N/AN/A1570525185
2011-10-06$40.83$42.0041.5%11.9%44.8%33.4%0.0%9.3%-0.6%62.4K-160.7K-2.4K0.0056.77N/AN/A00678185
2011-10-07$39.64$41.0041.5%12.2%45.2%33.3%0.0%12.4%-0.8%40.6K128.1K-1.9K0.0042.33N/AN/A00678185
2011-10-10$41.35$41.0039.6%11.6%47.8%30.9%0.0%12.8%-0.7%78.5K-225.7K-2.2K0.0046.75N/AN/A10678185
2011-10-11$41.77$41.0035.9%11.0%47.5%26.0%48.7%12.5%-0.4%92.9K-319.8K-2.2K8.0041.36N/AN/A216678185
2011-10-12$42.47$37.0060.5%10.8%47.5%58.4%44.9%12.2%-1.1%115.4K-551.6K-2.3K3.2056.40N/AN/A1032676201
2011-10-13$42.49$38.0036.9%10.6%47.4%27.3%0.0%11.6%-0.7%129.9K-512.4K-2.2K0.0048.88N/AN/A00681201
2011-10-14$43.41$38.0034.3%9.8%48.0%23.9%45.3%10.8%-0.4%163.7K-958.0K-2.2K0.0049.10N/AN/A05681201
2011-10-17$41.76$38.0037.5%10.7%49.5%28.1%44.4%11.6%-0.6%108.5K-237.2K-1.6K5.0047.73N/AN/A15681206
2011-10-18$43.05$38.0049.4%14.1%50.3%43.7%87.0%4.2%-12.8%51.7K-995.8K-2.2K0.00162.00N/AN/A010682211
2011-10-19$42.12$38.0039.3%11.3%49.5%30.5%41.4%13.1%-0.9%128.0K-281.8K-1.4K0.8050.46N/AN/A2520682221
2011-10-20$42.13$41.0039.2%11.2%48.4%30.3%0.0%12.3%-1.1%118.7K-149.1K-1.1K1.6747.60N/AN/A35667241
2011-10-21$42.92$41.0034.9%10.0%48.7%24.7%30.6%11.7%-0.2%20.0K-523.3K-82436.0061.98N/AN/A136664246
2011-10-24$44.10$41.0033.5%9.6%49.2%22.8%31.5%12.0%-0.4%2.2K-57.2K-7951.0361.69N/AN/A293011785
2011-10-25$42.78$44.0036.7%10.5%50.5%27.0%0.0%12.0%-1.1%-1.3K34.6K-1.0K0.0051.06N/AN/A02146115
2011-10-26$43.70$44.0034.1%9.8%48.4%23.6%48.7%12.3%-0.4%923-14.9K-1.0K1.0057.31N/AN/A33146113
2011-10-27$46.00$44.0030.9%8.9%51.0%19.4%32.2%8.0%-0.8%7.7K-160.7K-1.1K0.9479.46N/AN/A4845149113
2011-10-28$45.86$44.0029.3%8.4%49.9%17.3%31.6%8.1%0.2%11.5K-202.7K-1.6K0.0075.66N/AN/A50195138
2011-10-31$44.75$44.0033.0%9.5%45.7%22.1%0.0%8.6%-0.8%5.9K-81.7K-1.5K0.0075.30N/AN/A00190138