IWC Options History — December 2011

In December 2011, IWC traded between $43.20 and $45.11. ATM implied volatility averaged 30.8%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 4.9% (HV 20d: 35.7%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.41.

Notable Days

  • 2011-12-20: Highest Volume — 39 contracts
  • 2011-12-09: Largest IV drop — 17.8% change
  • 2011-12-08: Highest IV Rank — 29.0%
  • 2011-12-08: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.45$43.20$45.11$43.85$44.65
Max Pain$44.24$44.00$45.00$44.00$45.00
ATM IV30.8%25.9%38.1%32.5%26.4%
Expected Move8.7%7.4%10.0%9.3%7.6%
HV 20d35.7%25.5%39.4%39.4%25.5%
HV 60d41.2%36.4%42.5%42.1%36.4%
IV Rank19.4%12.9%29.0%21.6%13.5%
IV Percentile64.0%53.6%83.3%68.3%54.8%
Term Structure2.0%-1.0%3.6%0.5%3.1%
VWIV30.8%26.6%34.9%33.8%27.8%
Skew 25d6.9%4.9%8.9%8.6%5.4%
Skew 10d9.8%7.5%21.1%17.0%8.1%
Call IV 25d28.1%24.6%32.7%29.4%24.7%
Put IV 25d35.0%30.1%40.4%38.0%30.1%
Bid-Ask Spread %24.4712.7650.1524.0348.50
Gamma HHI0.210.120.540.130.24
Net GEX-8.4K-52.2K4.3K351-16.1K
Net DEX-22.3K-162.4K82.1K-51.3K28.4K
Net VEX-3.9K-4.1K-3.7K-3.9K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.0012.500.000.50
Total Volume9.57103908
Total OI499.905420554478481

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$43.85$44.0032.5%9.3%39.4%21.6%0.0%8.6%0.5%351-51.3K-3.9K0.0024.03N/AN/A00258220
2011-12-02$44.18$44.0034.2%9.8%38.6%23.8%0.0%8.4%-1.0%1.2K-83.0K-3.9K0.0027.14N/AN/A100258220
2011-12-05$44.94$44.0033.7%9.2%39.0%23.1%33.8%6.9%1.3%4.3K-159.4K-3.9K12.5012.76N/AN/A225268220
2011-12-06$45.01$44.0034.4%9.3%38.9%24.0%0.0%7.4%1.0%-514-128.5K-4.0K0.0014.33N/AN/A140270245
2011-12-07$45.05$44.0035.9%9.5%38.3%26.1%34.8%6.3%1.2%4.0K-162.4K-4.1K0.0013.66N/AN/A014284245
2011-12-08$43.68$44.0038.1%10.0%35.9%29.0%34.9%7.7%0.9%-3.6K42.0K-4.1K0.0014.81N/AN/A05284259
2011-12-09$45.05$44.0031.4%9.0%37.5%20.0%34.1%6.2%2.0%3.5K-111.7K-4.0K0.0017.18N/AN/A03284261
2011-12-12$44.52$44.0032.3%9.0%36.9%21.2%33.1%7.3%1.2%640-47.9K-4.0K0.0017.64N/AN/A120284264
2011-12-13$43.60$44.0031.8%9.2%37.2%20.7%0.0%8.9%2.3%-10.0K68.6K-3.9K0.7516.69N/AN/A43286264
2011-12-14$43.63$44.0031.9%9.1%36.9%20.7%0.0%8.5%3.0%-12.6K81.4K-3.9K0.0015.15N/AN/A01286267
2011-12-15$43.85$44.0031.2%8.9%36.6%19.8%0.0%8.0%3.1%-17.6K65.4K-3.8K0.0015.62N/AN/A00286268
2011-12-16$43.99$44.0030.6%8.8%36.3%19.0%0.0%7.3%2.6%-52.2K72.1K-3.8K0.0015.65N/AN/A06286268
2011-12-19$43.20$44.0031.5%9.0%36.8%20.2%28.7%7.1%2.1%-5.1K82.1K-3.7K0.0014.16N/AN/A50196224
2011-12-20$44.82$44.0028.1%8.0%38.2%15.7%29.5%7.1%2.2%-3.8K-55.6K-3.7K5.5031.45N/AN/A633199224
2011-12-21$45.08$44.0027.0%7.7%38.0%14.3%27.0%4.9%2.5%-9.4K-38.3K-3.9K0.5018.95N/AN/A63203255
2011-12-22$45.11$44.0028.1%8.0%35.6%15.7%28.1%5.1%1.9%-7.9K-60.7K-3.9K0.0021.26N/AN/A036209258
2011-12-23$45.06$45.0026.6%7.6%34.9%13.8%0.0%5.4%3.3%-11.0K-41.5K-3.9K0.0045.24N/AN/A00209267
2011-12-27$45.09$45.0027.3%7.8%31.6%14.7%26.6%5.6%2.5%-11.9K-42.1K-3.8K0.0046.49N/AN/A05209267
2011-12-28$44.36$45.0028.9%8.3%32.2%16.8%0.0%6.7%2.8%-14.6K59.2K-3.7K0.0032.93N/AN/A00209272
2011-12-29$44.71$45.0025.9%7.4%25.7%12.9%0.0%5.6%3.6%-15.2K14.4K-3.7K0.0050.15N/AN/A00209272
2011-12-30$44.65$45.0026.4%7.6%25.5%13.5%27.8%5.4%3.1%-16.1K28.4K-3.7K0.0048.50N/AN/A08209272