IWC Options History — January 2012

In January 2012, IWC traded between $45.24 and $48.70. ATM implied volatility averaged 22.5%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.3% (HV 20d: 18.2%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.35.

Notable Days

2012-01-27: Highest Volume — 57 contracts
2012-01-12: Largest IV spike — 21.9% change
2012-01-17: Highest IV Rank — 14.2%
2012-01-06: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.98	$45.24	$48.70	$45.53	$48.52
Max Pain	$45.25	$45.00	$46.00	$45.00	$46.00
ATM IV	22.5%	19.6%	26.9%	24.9%	20.2%
Expected Move	6.7%	5.6%	7.9%	7.1%	5.8%
HV 20d	18.2%	11.5%	26.3%	26.3%	11.7%
HV 60d	32.6%	27.6%	36.5%	36.5%	27.6%
IV Rank	8.4%	4.6%	14.2%	11.6%	5.3%
IV Percentile	32.5%	12.7%	56.0%	50.4%	17.9%
Term Structure	1.8%	0.9%	3.6%	2.6%	1.7%
VWIV	22.5%	16.7%	28.6%	25.8%	16.7%
Skew 25d	4.9%	2.9%	7.4%	4.3%	3.1%
Skew 10d	7.7%	5.2%	10.8%	8.1%	5.2%
Call IV 25d	22.3%	19.0%	26.1%	25.3%	20.2%
Put IV 25d	27.2%	22.6%	31.8%	29.7%	23.3%
Bid-Ask Spread %	29.47	13.81	77.22	43.26	27.37
Gamma HHI	0.20	0.15	0.28	0.24	0.28
Net GEX	6.6K	-21.2K	42.9K	-16.1K	42.9K
Net DEX	-381.4K	-672.1K	-46.8K	-82.6K	-672.1K
Net VEX	-3.1K	-3.6K	-2.7K	-3.6K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.00	10.00	0.00	0.00
Total Volume	11.2	0	57	0	2
Total OI	482.95	397	533	489	493

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-01-03	$45.53	$45.00	24.9%	7.1%	26.3%	11.6%	0.0%	4.3%	2.6%	-16.1K	-82.6K	-3.6K	0.00	43.26	N/A	N/A	0	0	209	280
2012-01-04	$45.24	$45.00	25.6%	7.3%	25.7%	12.5%	0.0%	4.7%	3.6%	-18.4K	-46.8K	-3.5K	0.00	41.65	N/A	N/A	0	0	209	280
2012-01-05	$45.37	$45.00	24.9%	7.1%	25.7%	11.5%	0.0%	5.0%	3.2%	-17.9K	-74.7K	-3.5K	0.00	24.78	N/A	N/A	0	0	209	280
2012-01-06	$45.28	$45.00	22.7%	7.9%	25.8%	8.7%	0.0%	5.8%	0.9%	-21.2K	-64.5K	-3.4K	0.00	23.71	N/A	N/A	0	0	209	280
2012-01-09	$45.67	$45.00	22.0%	7.5%	23.1%	7.7%	0.0%	5.2%	1.1%	-19.1K	-131.0K	-3.3K	0.00	13.81	N/A	N/A	0	0	209	280
2012-01-10	$46.26	$45.00	21.3%	7.4%	20.9%	6.8%	0.0%	5.6%	0.9%	-11.2K	-235.7K	-3.2K	0.00	15.10	N/A	N/A	22	0	209	280
2012-01-11	$46.55	$45.00	20.2%	7.1%	20.4%	5.3%	0.0%	5.5%	1.0%	-2.1K	-342.1K	-3.3K	0.00	14.97	N/A	N/A	16	0	231	280
2012-01-12	$46.80	$45.00	24.6%	7.0%	18.5%	11.1%	25.8%	4.9%	1.3%	6.9K	-432.3K	-3.3K	0.00	17.75	N/A	N/A	0	4	247	280
2012-01-13	$46.46	$45.00	26.4%	7.6%	18.9%	13.5%	0.0%	7.2%	1.5%	6.4K	-374.8K	-3.3K	0.00	16.02	N/A	N/A	0	0	247	284
2012-01-17	$46.37	$45.00	26.9%	7.7%	18.9%	14.2%	28.6%	7.4%	1.1%	7.8K	-373.2K	-3.1K	0.00	18.68	N/A	N/A	43	0	247	284
2012-01-18	$47.19	$45.00	24.4%	7.0%	19.6%	10.8%	0.0%	6.1%	1.6%	20.4K	-518.8K	-3.0K	0.00	23.30	N/A	N/A	5	0	249	284
2012-01-19	$47.33	$45.00	23.3%	6.7%	17.9%	9.4%	0.0%	5.7%	1.9%	18.3K	-538.8K	-2.9K	0.00	27.40	N/A	N/A	0	8	248	284
2012-01-20	$47.60	$45.00	20.2%	5.8%	13.3%	5.3%	0.0%	4.2%	2.9%	14.4K	-575.3K	-2.9K	0.00	32.37	N/A	N/A	3	0	248	284
2012-01-23	$47.53	$45.00	19.8%	5.7%	13.3%	4.9%	0.0%	4.4%	2.3%	15.2K	-434.9K	-2.8K	0.00	38.50	N/A	N/A	1	0	220	178
2012-01-24	$47.94	$45.00	20.3%	5.8%	13.5%	5.5%	23.6%	3.2%	2.2%	15.4K	-468.5K	-2.7K	10.00	31.36	N/A	N/A	1	10	219	178
2012-01-25	$48.39	$46.00	20.8%	6.0%	13.6%	6.2%	0.0%	4.3%	1.6%	14.1K	-510.1K	-2.7K	3.50	77.22	N/A	N/A	2	7	220	188
2012-01-26	$48.34	$46.00	20.8%	6.0%	13.6%	6.1%	20.5%	3.9%	1.8%	14.7K	-520.0K	-2.7K	1.38	30.53	N/A	N/A	16	22	222	181
2012-01-27	$48.70	$46.00	19.6%	5.6%	11.5%	4.6%	19.7%	2.9%	1.7%	19.3K	-574.6K	-2.7K	0.00	35.51	N/A	N/A	57	0	238	198
2012-01-30	$48.49	$46.00	21.8%	6.3%	11.8%	7.5%	0.0%	3.7%	1.2%	41.9K	-657.9K	-2.9K	0.00	36.11	N/A	N/A	0	5	295	198
2012-01-31	$48.52	$46.00	20.2%	5.8%	11.7%	5.3%	16.7%	3.1%	1.7%	42.9K	-672.1K	-2.9K	0.00	27.37	N/A	N/A	2	0	295	198