IWC Options History — May 2012

In May 2012, IWC traded between $46.56 and $50.46. ATM implied volatility averaged 25.4%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 8.0% (HV 20d: 17.4%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2012-05-29: Highest Volume — 58 contracts
  • 2012-05-22: Largest IV spike — 93.0% change
  • 2012-05-22: Highest IV Rank — 45.0%
  • 2012-05-22: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.22$46.56$50.46$50.26$47.20
Max Pain$49.86$49.00$50.00$49.00$50.00
ATM IV25.4%21.0%50.6%21.0%26.2%
Expected Move7.3%6.0%14.5%6.0%7.5%
HV 20d17.4%15.3%21.3%20.7%15.8%
HV 60d18.4%17.7%18.9%18.3%17.7%
IV Rank11.7%5.8%45.0%5.8%12.8%
IV Percentile48.3%26.2%97.6%26.2%54.4%
Term Structure0.1%-19.0%2.3%1.1%0.9%
VWIV20.4%14.9%24.1%18.2%18.3%
Skew 25d6.5%3.9%7.9%6.0%6.2%
Skew 10d14.6%5.6%18.8%5.6%10.0%
Call IV 25d22.9%17.5%69.6%17.5%21.8%
Put IV 25d29.4%23.2%73.5%23.4%28.0%
Bid-Ask Spread %58.4538.72165.6138.7257.55
Gamma HHI0.270.200.340.270.21
Net GEX133.2K35.7K272.7K263.9K40.3K
Net DEX-640.4K-2.2M140.3K-2.1M116.3K
Net VEX-4.3K-6.9K-2.3K-6.9K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.002.220.002.22
Total Volume8.864058010
Total OI1,1848461,3761,341916

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$50.26$49.0021.0%6.0%20.7%5.8%0.0%6.0%1.1%263.9K-2.1M-6.9K0.0038.72N/AN/A001,037304
2012-05-02$50.46$49.0021.3%6.1%20.5%6.3%0.0%5.3%1.1%272.7K-2.2M-6.9K0.0042.76N/AN/A2001,037304
2012-05-03$49.78$49.0021.4%6.1%20.2%6.5%18.2%6.2%0.4%253.1K-1.7M-6.7K0.0039.24N/AN/A2301,057304
2012-05-04$48.80$50.0022.2%6.5%21.3%7.5%0.0%6.7%1.5%200.3K-995.2K-5.8K0.0061.08N/AN/A001,054304
2012-05-07$48.99$50.0021.8%6.4%20.5%7.0%0.0%6.9%1.3%218.7K-1.1M-5.6K0.0062.12N/AN/A001,054304
2012-05-08$49.22$50.0022.3%6.5%18.6%7.6%0.0%6.2%1.9%239.1K-1.2M-5.7K0.0061.36N/AN/A001,054304
2012-05-09$48.93$50.0023.9%6.8%17.5%9.7%0.0%7.2%0.9%212.9K-1.1M-5.5K0.0060.52N/AN/A1701,054304
2012-05-10$49.10$50.0023.3%6.7%17.0%8.9%0.0%6.9%1.5%235.2K-1.2M-5.6K0.0062.43N/AN/A001,071304
2012-05-11$48.86$50.0023.5%6.8%16.2%9.3%18.8%6.3%1.3%215.4K-1.0M-5.3K0.0058.77N/AN/A201,071304
2012-05-14$48.31$50.0025.8%7.4%16.6%12.2%0.0%6.5%-0.1%151.8K-600.5K-4.5K0.0061.35N/AN/A001,071304
2012-05-15$48.33$50.0027.1%7.8%15.5%14.0%23.7%7.8%-0.0%141.3K-564.2K-4.4K0.0057.90N/AN/A201,071304
2012-05-16$47.91$50.0025.9%7.4%15.4%12.4%23.9%6.6%1.0%71.0K-297.2K-3.8K0.2564.26N/AN/A1231,070304
2012-05-17$46.97$50.0027.1%7.8%16.6%14.0%0.0%6.6%1.0%35.7K30.8K-3.2K0.0054.36N/AN/A001,069307
2012-05-18$46.56$50.0027.5%7.9%16.3%14.4%0.0%6.8%1.5%43.0K140.3K-2.9K0.0052.21N/AN/A0331,069307
2012-05-21$47.48$50.0026.2%7.5%17.7%12.8%24.1%7.2%0.1%54.5K-116.0K-2.9K0.0050.05N/AN/A30578271
2012-05-22$46.96$50.0050.6%14.5%17.3%45.0%0.0%3.9%-19.0%38.3K-331.4K-4.1K0.00165.61N/AN/A00575271
2012-05-23$47.21$50.0024.0%6.9%16.4%9.8%14.9%6.8%1.2%47.3K-34.4K-2.5K0.0044.93N/AN/A012575271
2012-05-24$47.30$50.0025.3%7.2%16.3%11.5%0.0%6.0%1.0%51.1K-13.1K-2.6K0.0046.77N/AN/A00575283
2012-05-25$47.27$50.0024.1%6.9%15.3%9.9%0.0%6.4%1.4%48.0K11.4K-2.4K0.0046.66N/AN/A00575283
2012-05-29$47.68$50.0022.4%6.4%15.7%7.7%21.0%7.9%2.3%55.7K-70.1K-2.3K2.2248.60N/AN/A1840575283
2012-05-30$47.15$50.0026.4%7.6%15.9%13.1%0.0%6.9%0.3%41.4K121.3K-2.5K0.0048.58N/AN/A00593323
2012-05-31$47.20$50.0026.2%7.5%15.8%12.8%18.3%6.2%0.9%40.3K116.3K-2.4K0.0057.55N/AN/A010593323