IWC Options History — February 2012

In February 2012, IWC traded between $49.51 and $51.03. ATM implied volatility averaged 21.1%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.0% (HV 20d: 15.1%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.55.

Notable Days

2012-02-03: Highest Volume — 105 contracts
2012-02-09: Largest IV spike — 12.1% change
2012-02-15: Highest IV Rank — 10.7%
2012-02-15: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.48	$49.51	$51.03	$49.53	$49.51
Max Pain	$46.60	$45.00	$47.00	$46.00	$47.00
ATM IV	21.1%	19.2%	24.2%	19.8%	21.3%
Expected Move	6.2%	5.6%	6.9%	5.7%	6.1%
HV 20d	15.1%	11.4%	19.2%	11.9%	19.2%
HV 60d	24.6%	19.1%	27.7%	27.6%	19.5%
IV Rank	6.6%	4.0%	10.7%	4.8%	6.8%
IV Percentile	24.6%	9.5%	45.2%	13.9%	27.8%
Term Structure	2.1%	0.6%	2.9%	0.6%	1.5%
VWIV	22.2%	18.7%	30.2%	21.3%	21.8%
Skew 25d	5.9%	2.3%	8.0%	2.3%	6.3%
Skew 10d	12.8%	2.9%	21.3%	5.3%	9.5%
Call IV 25d	19.3%	17.5%	21.2%	19.8%	19.0%
Put IV 25d	25.2%	22.1%	29.0%	22.1%	25.4%
Bid-Ask Spread %	27.09	21.40	33.17	29.39	22.26
Gamma HHI	0.22	0.17	0.30	0.30	0.17
Net GEX	27.9K	5.8K	46.9K	46.9K	24.0K
Net DEX	-662.8K	-1.1M	-297.9K	-846.3K	-297.9K
Net VEX	-3.9K	-4.4K	-2.4K	-2.7K	-4.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.55	0.00	51.50	0.00	0.71
Total Volume	22.95	0	105	6	100
Total OI	623.35	493	679	493	679

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
2012-02-01	$49.53	$46.00	19.8%	5.7%	11.9%	4.8%	0.0%	2.3%	0.6%	46.9K	-846.3K	-2.7K	0.00	29.39	N/A	N/A	6	0	295	198
2012-02-02	$49.98	$46.00	19.7%	5.6%	11.4%	4.7%	0.0%	2.5%	1.9%	45.3K	-924.7K	-2.7K	0.00	22.54	N/A	N/A	3	0	296	198
2012-02-03	$51.03	$45.00	19.3%	6.1%	12.6%	4.2%	21.3%	5.7%	2.0%	39.8K	-1.1M	-2.4K	51.50	29.57	N/A	N/A	2	103	297	198
2012-02-06	$50.83	$45.00	20.2%	6.0%	12.8%	5.4%	0.0%	5.9%	2.3%	25.9K	-835.5K	-3.6K	0.00	30.98	N/A	N/A	2	0	297	301
2012-02-07	$50.77	$45.00	19.2%	6.1%	13.0%	4.0%	20.6%	6.0%	2.3%	28.7K	-830.8K	-3.5K	0.86	29.83	N/A	N/A	7	6	297	301
2012-02-08	$50.98	$47.00	19.3%	6.2%	12.7%	4.1%	30.2%	5.9%	2.3%	24.3K	-837.2K	-3.5K	0.00	24.77	N/A	N/A	0	55	294	307
2012-02-09	$50.65	$47.00	21.6%	6.2%	13.3%	7.2%	0.0%	6.2%	2.8%	25.4K	-678.8K	-4.3K	0.00	26.55	N/A	N/A	0	0	294	357
2012-02-10	$49.98	$47.00	23.3%	6.7%	14.7%	9.4%	0.0%	6.0%	2.2%	32.0K	-533.6K	-4.4K	0.00	32.45	N/A	N/A	0	5	294	357
2012-02-13	$50.65	$47.00	21.9%	6.3%	14.5%	7.5%	18.8%	8.0%	2.1%	22.1K	-683.9K	-4.2K	0.00	25.14	N/A	N/A	10	0	294	362
2012-02-14	$50.41	$47.00	23.2%	6.7%	14.7%	9.3%	27.8%	7.1%	2.9%	29.8K	-596.2K	-4.3K	0.00	29.70	N/A	N/A	0	1	290	362
2012-02-15	$49.79	$47.00	24.2%	6.9%	14.9%	10.7%	21.1%	7.8%	2.3%	36.2K	-471.0K	-4.4K	0.00	33.17	N/A	N/A	20	0	290	363
2012-02-16	$50.86	$47.00	22.2%	6.4%	16.3%	8.0%	22.8%	7.4%	2.9%	10.4K	-729.8K	-4.3K	0.00	28.79	N/A	N/A	24	0	310	363
2012-02-17	$50.99	$47.00	22.2%	6.4%	16.3%	8.0%	22.2%	7.2%	2.5%	5.8K	-753.6K	-4.2K	0.08	27.21	N/A	N/A	50	4	309	363
2012-02-21	$50.64	$47.00	21.6%	6.2%	16.6%	7.1%	18.7%	6.4%	1.5%	24.1K	-516.2K	-4.3K	0.00	21.40	N/A	N/A	1	0	299	339
2012-02-22	$50.15	$47.00	21.9%	6.3%	17.1%	7.6%	21.8%	5.6%	1.8%	24.3K	-425.0K	-4.2K	8.50	24.69	N/A	N/A	2	17	299	339
2012-02-23	$50.91	$47.00	19.7%	5.7%	17.5%	4.7%	21.5%	5.8%	1.9%	29.0K	-587.8K	-4.1K	2.00	25.97	N/A	N/A	5	10	300	338
2012-02-24	$50.85	$47.00	20.1%	5.8%	17.5%	5.2%	19.9%	5.2%	2.2%	26.3K	-564.8K	-4.2K	0.00	27.07	N/A	N/A	2	0	305	348
2012-02-27	$50.60	$47.00	21.2%	6.1%	17.6%	6.7%	21.8%	5.7%	1.3%	26.3K	-519.6K	-4.1K	0.71	25.45	N/A	N/A	14	10	307	348
2012-02-28	$50.51	$47.00	20.5%	5.9%	17.5%	5.8%	0.0%	4.5%	2.0%	31.3K	-531.8K	-4.2K	0.00	24.89	N/A	N/A	0	0	321	358
2012-02-29	$49.51	$47.00	21.3%	6.1%	19.2%	6.8%	0.0%	6.3%	1.5%	24.0K	-297.9K	-4.2K	0.00	22.26	N/A	N/A	0	100	321	358