IWC Options History — November 2011

In November 2011, IWC traded between $40.26 and $45.46. ATM implied volatility averaged 37.5%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 3.2% (HV 20d: 40.7%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.09.

Notable Days

  • 2011-11-01: Highest Volume — 219 contracts
  • 2011-11-09: Largest IV spike — 38.4% change
  • 2011-11-09: Highest IV Rank — 36.6%
  • 2011-11-01: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.45$40.26$45.46$43.06$44.26
Max Pain$44.76$44.00$45.00$44.00$44.00
ATM IV37.5%31.8%44.0%42.9%32.4%
Expected Move10.7%9.3%12.3%12.3%9.3%
HV 20d40.7%33.5%44.1%42.5%40.5%
HV 60d42.4%40.3%46.8%46.8%42.7%
IV Rank28.1%20.6%36.6%35.2%21.3%
IV Percentile82.2%68.3%92.9%91.7%68.3%
Term Structure-1.0%-3.9%0.8%-3.7%0.6%
VWIV35.7%28.7%43.8%43.8%28.7%
Skew 25d11.1%8.5%14.3%12.8%8.5%
Skew 10d23.6%15.9%31.5%31.1%24.0%
Call IV 25d32.2%27.9%36.7%36.7%27.9%
Put IV 25d43.3%36.4%49.5%49.5%36.4%
Bid-Ask Spread %55.3419.8882.4967.2122.68
Gamma HHI0.180.130.430.200.15
Net GEX-2.2K-37.4K11.9K466-179
Net DEX-53.9K-289.5K162.9K46.3K-67.6K
Net VEX-3.6K-4.3K-1.4K-1.4K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.0010.331.151.22
Total Volume20.143021921940
Total OI515328605328438

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$43.06$44.0042.9%12.3%42.5%35.2%0.0%12.8%-3.7%46646.3K-1.4K1.1567.21N/AN/A102117190138
2011-11-02$44.27$44.0039.7%11.4%43.3%31.0%43.8%11.1%-1.9%3.5K-134.7K-4.2K2.8670.47N/AN/A720292255
2011-11-03$45.28$44.0036.7%10.5%43.6%27.0%31.8%10.9%-1.0%5.9K-247.1K-4.3K0.0066.63N/AN/A290299275
2011-11-04$44.83$45.0035.0%10.0%42.0%24.8%38.7%12.1%-1.2%10.9K-230.3K-4.3K0.0059.49N/AN/A02328275
2011-11-07$44.63$45.0034.4%9.9%39.9%24.0%36.4%12.5%-1.1%9.6K-197.1K-4.1K0.3557.17N/AN/A176328277
2011-11-08$45.46$45.0031.8%9.7%40.2%20.6%0.0%11.1%-0.8%11.9K-289.5K-4.0K0.0059.17N/AN/A00312283
2011-11-09$43.33$45.0044.0%11.8%43.9%36.6%0.0%14.3%-3.9%-6.5K18.5K-4.0K0.0062.12N/AN/A020312283
2011-11-10$43.55$45.0037.7%10.8%44.0%28.4%0.0%13.0%-2.2%-4.2K-25.0K-3.9K0.0063.40N/AN/A00312266
2011-11-11$44.58$45.0034.4%9.9%44.1%24.1%0.0%12.6%-0.3%3.4K-152.9K-3.9K0.0064.25N/AN/A00312266
2011-11-14$43.89$45.0036.6%10.5%42.0%26.9%0.0%12.3%-1.0%-8.7K-57.9K-3.7K0.0063.36N/AN/A00312266
2011-11-15$44.50$45.0037.1%10.6%41.0%27.6%0.0%12.5%-2.0%-3.4K-147.1K-3.7K0.0066.54N/AN/A00312266
2011-11-16$43.92$45.0037.8%10.8%40.4%28.5%0.0%11.5%-1.7%-19.3K-56.3K-3.6K0.0063.35N/AN/A00312266
2011-11-17$43.31$45.0040.3%11.5%40.8%31.7%0.0%11.4%-2.1%-37.4K21.7K-3.5K0.0061.95N/AN/A40312266
2011-11-18$43.52$45.0035.9%10.3%40.3%26.0%0.0%10.9%0.8%-1.4K-38.4K-3.6K0.0069.08N/AN/A00316266
2011-11-21$42.59$45.0037.8%10.8%39.8%28.5%37.9%10.3%0.6%2.7K-58.7K-3.4K10.3373.97N/AN/A331237148
2011-11-22$42.23$45.0037.4%10.7%38.4%27.9%0.0%8.7%0.7%-1.6K39.5K-3.5K0.0019.88N/AN/A10239178
2011-11-23$40.89$45.0039.5%11.3%39.1%30.8%32.9%9.3%-0.1%-2.8K125.8K-3.3K0.0020.46N/AN/A20240178
2011-11-25$40.26$45.0041.5%11.9%33.5%33.3%0.0%9.4%-0.3%-3.4K162.9K-3.2K0.0082.49N/AN/A00238178
2011-11-28$42.12$45.0038.1%10.9%38.2%28.9%35.5%8.7%-0.4%-2.8K57.2K-3.4K5.0021.81N/AN/A210238178
2011-11-29$41.88$44.0036.8%10.6%37.5%27.2%0.0%9.7%-0.6%-3.6K98.3K-3.4K0.0026.67N/AN/A010240188
2011-11-30$44.26$44.0032.4%9.3%40.5%21.3%28.7%8.5%0.6%-179-67.6K-3.7K1.2222.68N/AN/A1822240198