IWC Options History — March 2012

In March 2012, IWC traded between $48.13 and $52.27. ATM implied volatility averaged 19.8%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.3% (HV 20d: 18.6%). Max pain ranged from $47.00 to $51.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.02.

Notable Days

  • 2012-03-26: Highest Volume — 423 contracts
  • 2012-03-15: Largest IV spike — 12.9% change
  • 2012-03-06: Highest IV Rank — 9.3%
  • 2012-03-06: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.55$48.13$52.27$49.68$51.40
Max Pain$49.00$47.00$51.00$47.00$49.00
ATM IV19.8%18.1%23.2%20.3%20.0%
Expected Move5.9%5.3%7.0%5.8%5.7%
HV 20d18.6%16.4%20.0%17.8%16.4%
HV 60d17.5%16.0%20.0%19.4%16.0%
IV Rank4.9%2.6%9.3%5.6%5.0%
IV Percentile17.3%5.2%40.1%21.4%22.2%
Term Structure1.9%1.1%3.3%1.8%1.6%
VWIV21.3%16.9%28.1%26.1%21.3%
Skew 25d5.8%4.0%7.6%5.3%4.8%
Skew 10d13.6%9.4%18.4%14.9%14.7%
Call IV 25d18.2%17.0%20.9%18.5%17.1%
Put IV 25d24.0%21.2%28.5%23.8%21.9%
Bid-Ask Spread %35.9418.91110.23110.2329.82
Gamma HHI0.250.140.350.180.30
Net GEX84.8K-34.0K209.1K2.3K209.1K
Net DEX-1.3M-3.7M463.0K-14.5K-3.3M
Net VEX-6.8K-11.5K-4.4K-4.8K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.220.000.22
Total Volume60.318142324
Total OI1,151.6367701,6707791,669

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$49.68$47.0020.3%5.8%17.8%5.6%0.0%5.3%1.8%2.3K-14.5K-4.8K0.00110.23N/AN/A20321458
2012-03-02$48.77$47.0021.1%6.0%18.6%6.5%26.1%4.8%1.7%-5.1K215.3K-4.5K0.0023.89N/AN/A0100323458
2012-03-05$49.03$51.0020.7%6.6%16.9%6.1%21.2%7.6%1.7%-20.3K189.6K-4.5K0.0066.19N/AN/A80323558
2012-03-06$48.13$51.0023.2%7.0%17.9%9.3%22.9%7.5%1.3%-34.0K463.0K-4.4K0.0118.91N/AN/A2001327558
2012-03-07$48.75$49.0020.5%6.4%18.8%5.8%0.0%7.0%2.1%22.1K-153.9K-5.7K0.0023.75N/AN/A60525557
2012-03-08$49.32$49.0021.1%6.5%19.3%6.6%28.1%7.1%2.0%33.7K-406.6K-5.6K0.0024.99N/AN/A02527557
2012-03-09$49.95$49.0018.6%6.1%19.8%3.2%22.6%7.2%2.1%47.6K-685.5K-5.6K0.0030.73N/AN/A100527559
2012-03-12$50.00$49.0019.2%6.1%19.3%4.0%18.4%7.1%2.3%48.1K-707.9K-5.4K0.0029.96N/AN/A460537559
2012-03-13$50.96$49.0019.2%5.9%19.9%4.1%18.8%6.6%1.9%90.9K-1.2M-5.5K0.0025.91N/AN/A150583559
2012-03-14$50.60$49.0018.1%5.9%20.0%2.6%0.0%6.1%2.5%88.2K-1.1M-5.6K0.0026.64N/AN/A50598559
2012-03-15$50.90$49.0020.4%5.8%19.5%5.6%0.0%5.5%2.9%115.0K-1.3M-5.4K0.0025.29N/AN/A010603559
2012-03-16$50.87$49.0019.5%5.6%18.0%4.4%19.5%5.4%3.3%185.5K-1.3M-5.3K0.0028.34N/AN/A70603559
2012-03-19$51.60$49.0019.0%5.5%18.7%3.8%21.8%5.5%2.1%18.7K-898.8K-4.9K0.0030.51N/AN/A024400370
2012-03-20$51.14$49.0020.3%5.8%18.8%5.5%19.2%5.6%1.5%14.8K-722.4K-5.1K0.0025.81N/AN/A4021400394
2012-03-21$51.19$49.0019.8%5.7%18.4%4.8%0.0%5.1%1.4%109.8K-1.8M-8.2K0.0030.34N/AN/A50802395
2012-03-22$50.77$49.0019.9%5.7%17.9%4.9%21.4%5.3%1.6%110.8K-1.6M-8.1K0.0030.71N/AN/A03807395
2012-03-23$51.29$49.0019.5%5.6%18.3%4.4%19.4%4.9%1.6%114.3K-1.9M-8.0K0.0028.18N/AN/A300807398
2012-03-26$52.27$49.0019.0%5.5%19.3%3.8%16.9%4.6%1.1%114.0K-2.5M-7.3K0.0026.21N/AN/A4230827398
2012-03-27$52.04$49.0019.5%5.6%19.3%4.4%0.0%5.3%1.2%193.2K-3.7M-11.3K0.0099.16N/AN/A0111,250398
2012-03-28$51.79$49.0019.1%5.5%17.8%3.9%22.1%5.1%1.6%200.3K-3.5M-11.4K0.2226.21N/AN/A921,250409
2012-03-29$51.62$49.0018.3%5.3%17.9%2.9%0.0%4.0%1.9%206.5K-3.4M-11.4K0.0028.96N/AN/A011,259411
2012-03-30$51.40$49.0020.0%5.7%16.4%5.0%21.3%4.8%1.6%209.1K-3.3M-11.5K0.0029.82N/AN/A041,259410