IWC Options History — April 2012

In April 2012, IWC traded between $48.51 and $52.07. ATM implied volatility averaged 21.4%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.1% (HV 20d: 19.2%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 37.14.

Notable Days

2012-04-04: Highest Volume — 251 contracts
2012-04-09: Largest IV spike — 15.5% change
2012-04-16: Highest IV Rank — 11.4%
2012-04-16: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.05	$48.51	$52.07	$52.07	$50.52
Max Pain	$49.40	$49.00	$50.00	$49.00	$49.00
ATM IV	21.4%	17.3%	24.8%	18.4%	20.2%
Expected Move	6.2%	4.9%	7.1%	5.3%	5.8%
HV 20d	19.2%	15.6%	21.3%	16.8%	21.3%
HV 60d	18.0%	16.2%	19.0%	16.2%	18.8%
IV Rank	6.9%	1.5%	11.4%	3.0%	4.9%
IV Percentile	30.3%	3.6%	53.2%	7.1%	21.0%
Term Structure	1.1%	0.2%	3.1%	1.8%	0.7%
VWIV	22.3%	19.5%	28.0%	22.1%	19.5%
Skew 25d	6.0%	3.7%	7.7%	5.3%	5.1%
Skew 10d	14.1%	9.3%	19.0%	11.3%	14.5%
Call IV 25d	18.9%	16.0%	21.6%	16.0%	18.2%
Put IV 25d	24.8%	20.6%	28.5%	21.3%	23.3%
Bid-Ask Spread %	27.19	19.99	43.73	26.40	43.73
Gamma HHI	0.27	0.21	0.33	0.32	0.26
Net GEX	191.0K	103.2K	272.3K	205.1K	258.9K
Net DEX	-1.9M	-3.8M	-560.1K	-3.8M	-2.2M
Net VEX	-9.0K	-11.1K	-7.1K	-10.7K	-7.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	37.14	0.00	250.00	250.00	0.00
Total Volume	25.25	0	251	4	0
Total OI	1,663.1	1,312	1,873	1,671	1,341

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
2012-04-02	$52.07	$49.00	18.4%	5.3%	16.8%	3.0%	22.1%	5.3%	1.8%	205.1K	-3.8M	-10.7K	0.00	26.40	N/A	N/A	0	4	1,259	412
2012-04-03	$51.52	$49.00	17.3%	4.9%	15.6%	1.5%	0.0%	4.1%	3.1%	210.4K	-3.4M	-10.8K	0.00	22.67	N/A	N/A	0	3	1,259	410
2012-04-04	$50.64	$49.00	19.0%	5.4%	16.8%	3.8%	20.2%	3.7%	2.2%	215.3K	-2.7M	-10.8K	250.00	31.00	N/A	N/A	1	250	1,259	413
2012-04-05	$50.60	$49.00	18.6%	5.3%	16.4%	3.2%	0.0%	3.9%	2.3%	174.5K	-2.5M	-11.1K	0.00	27.80	N/A	N/A	0	0	1,260	541
2012-04-09	$49.72	$50.00	21.5%	6.4%	17.2%	7.0%	0.0%	6.0%	0.4%	171.2K	-1.6M	-10.3K	0.00	28.15	N/A	N/A	0	40	1,260	541
2012-04-10	$48.51	$50.00	23.5%	6.9%	19.2%	9.7%	28.0%	6.9%	0.5%	155.1K	-560.1K	-9.3K	0.00	20.95	N/A	N/A	0	4	1,260	541
2012-04-11	$49.41	$50.00	23.4%	7.0%	19.1%	9.5%	21.3%	7.0%	0.4%	150.7K	-1.2M	-10.0K	10.00	19.99	N/A	N/A	3	30	1,260	582
2012-04-12	$49.95	$50.00	22.4%	6.4%	19.5%	8.2%	0.0%	7.1%	0.7%	139.8K	-1.7M	-10.0K	0.00	24.20	N/A	N/A	0	0	1,261	612
2012-04-13	$49.20	$50.00	23.9%	6.9%	20.0%	10.2%	0.0%	7.4%	0.5%	150.1K	-894.2K	-9.5K	0.00	22.61	N/A	N/A	0	0	1,261	612
2012-04-16	$49.43	$50.00	24.8%	7.1%	20.1%	11.4%	0.0%	7.6%	0.2%	150.3K	-1.1M	-9.1K	0.00	22.36	N/A	N/A	47	0	1,261	612
2012-04-17	$50.17	$50.00	23.2%	6.6%	20.2%	9.2%	0.0%	7.7%	0.5%	103.2K	-1.9M	-9.0K	0.00	27.51	N/A	N/A	0	4	1,214	612
2012-04-18	$49.64	$50.00	22.6%	6.5%	20.2%	8.5%	22.0%	6.4%	0.4%	161.1K	-1.4M	-8.5K	0.00	26.64	N/A	N/A	50	0	1,214	608
2012-04-19	$49.31	$49.00	23.5%	6.7%	20.3%	9.7%	0.0%	6.9%	0.6%	259.3K	-1.1M	-8.3K	0.00	24.60	N/A	N/A	0	0	1,264	608
2012-04-20	$49.69	$49.00	21.0%	6.0%	20.4%	6.3%	0.0%	6.5%	1.8%	169.0K	-1.7M	-8.0K	0.00	23.97	N/A	N/A	0	40	1,264	608
2012-04-23	$49.04	$49.00	22.9%	6.6%	20.4%	8.9%	22.6%	6.3%	1.0%	177.4K	-1.2M	-7.2K	0.00	29.43	N/A	N/A	10	0	1,008	304
2012-04-24	$49.60	$49.00	21.5%	6.2%	19.5%	7.1%	22.9%	6.2%	1.0%	203.1K	-1.6M	-7.5K	0.00	25.66	N/A	N/A	15	0	1,018	304
2012-04-25	$50.30	$49.00	21.1%	6.0%	20.4%	6.5%	19.5%	6.0%	0.8%	238.8K	-2.1M	-7.7K	0.00	31.83	N/A	N/A	4	0	1,033	304
2012-04-26	$50.50	$49.00	20.3%	5.8%	20.4%	5.4%	0.0%	5.1%	1.4%	254.9K	-2.2M	-7.6K	0.00	27.54	N/A	N/A	0	0	1,037	304
2012-04-27	$51.12	$49.00	18.9%	5.4%	21.0%	3.7%	0.0%	4.2%	2.0%	272.3K	-2.7M	-7.3K	0.00	36.69	N/A	N/A	0	0	1,037	304
2012-04-30	$50.52	$49.00	20.2%	5.8%	21.3%	4.9%	0.0%	5.1%	0.7%	258.9K	-2.2M	-7.1K	0.00	43.73	N/A	N/A	0	0	1,037	304