IWC Options History — June 2012

In June 2012, IWC traded between $45.90 and $50.04. ATM implied volatility averaged 24.1%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.2% (HV 20d: 21.0%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.31.

Notable Days

  • 2012-06-01: Highest Volume — 53 contracts
  • 2012-06-29: Largest IV spike — 58.5% change
  • 2012-06-29: Highest IV Rank — 23.3%
  • 2012-06-29: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.97$45.90$50.04$45.90$50.04
Max Pain$46.19$46.00$50.00$50.00$46.00
ATM IV24.1%18.8%34.1%28.8%34.1%
Expected Move7.2%6.0%9.8%8.3%9.8%
HV 20d21.0%16.8%23.1%17.7%21.7%
HV 60d19.3%18.1%20.4%18.4%20.4%
IV Rank10.0%3.0%23.3%16.2%23.3%
IV Percentile39.4%4.8%67.9%60.3%67.9%
Term Structure-0.4%-27.8%1.8%0.4%-27.8%
VWIV23.4%19.7%26.8%26.8%20.5%
Skew 25d4.3%-27.8%7.2%6.9%-27.8%
Skew 10d5.9%-28.5%19.1%19.1%-28.5%
Call IV 25d22.8%19.3%48.8%25.5%48.8%
Put IV 25d27.0%21.0%32.4%32.4%21.0%
Bid-Ask Spread %37.8424.7890.1047.2690.10
Gamma HHI0.200.170.240.210.23
Net GEX7.4K-6.1K27.0K21.9K14.3K
Net DEX296.7K-166.0K799.0K334.2K-166.0K
Net VEX-2.0K-2.3K-1.7K-2.0K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.310.0040.002.500.00
Total Volume10.857053530
Total OI598.19242930926284

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$45.90$50.0028.8%8.3%17.7%16.2%26.8%6.9%0.4%21.9K334.2K-2.0K0.0047.26N/AN/A053593333
2012-06-04$46.02$46.0029.8%8.2%16.8%17.6%0.0%5.3%-0.1%22.2K296.5K-1.8K2.5029.81N/AN/A410593327
2012-06-05$46.40$46.0027.6%8.0%17.1%14.6%0.0%5.3%0.3%18.2K269.1K-1.7K0.0027.58N/AN/A00593337
2012-06-06$47.49$46.0023.4%7.5%19.3%9.1%0.0%6.0%0.7%27.0K138.6K-1.8K0.0024.78N/AN/A010593337
2012-06-07$47.26$46.0022.3%7.6%19.3%7.7%0.0%7.1%0.8%12.1K677.1K-1.7K40.0028.36N/AN/A140493347
2012-06-08$47.93$46.0020.0%7.0%20.0%4.6%25.4%7.0%1.3%16.2K699.4K-2.1K0.0029.23N/AN/A100494387
2012-06-11$46.95$46.0023.6%7.6%21.2%9.4%21.7%6.4%0.5%-6.1K799.0K-1.9K0.0031.35N/AN/A220504387
2012-06-12$47.57$46.0018.8%7.3%21.5%3.0%0.0%7.1%0.8%-424750.0K-2.0K0.0031.10N/AN/A00515387
2012-06-13$47.11$46.0026.4%7.9%21.7%13.0%26.5%7.1%1.2%-4.4K780.4K-1.9K0.0030.86N/AN/A30515387
2012-06-14$47.81$46.0025.8%7.4%22.2%12.2%0.0%7.1%0.9%-671724.3K-2.0K0.0029.20N/AN/A00518387
2012-06-15$48.48$46.0025.4%7.3%21.5%11.7%0.0%7.2%0.5%10.7K675.8K-2.0K0.5731.06N/AN/A2112518387
2012-06-18$48.33$46.0023.3%6.7%21.2%8.9%0.0%5.6%0.7%-4.0K85.4K-2.1K0.0028.22N/AN/A00103139
2012-06-19$49.27$46.0021.2%6.1%21.2%6.2%19.7%4.8%1.7%-2.3K17.0K-2.1K0.0034.69N/AN/A160103139
2012-06-20$49.22$46.0021.3%6.1%20.7%6.3%0.0%5.1%1.5%3.1K-7.5K-2.2K0.0035.72N/AN/A10119139
2012-06-21$48.22$46.0023.6%6.8%22.2%9.3%20.5%5.4%1.2%-24683.4K-2.2K0.0041.12N/AN/A100120139
2012-06-22$48.94$46.0021.0%6.0%22.7%5.9%0.0%4.0%1.7%5.9K-1.4K-2.2K0.0041.57N/AN/A00130139
2012-06-25$48.43$46.0023.1%6.6%23.1%8.7%0.0%5.5%1.5%3.8K45.2K-2.2K0.0043.73N/AN/A00130139
2012-06-26$48.31$46.0023.5%6.7%23.0%9.2%0.0%6.2%1.1%4.4K43.1K-2.1K0.0040.42N/AN/A00130139
2012-06-27$48.93$46.0021.9%6.3%22.9%7.1%0.0%4.2%1.3%7.3K-17.8K-2.1K0.0046.53N/AN/A00130139
2012-06-28$48.76$46.0021.5%6.2%23.0%6.6%0.0%4.2%1.8%6.4K4.3K-2.1K0.0051.84N/AN/A150130139
2012-06-29$50.04$46.0034.1%9.8%21.7%23.3%0.0%-27.8%-27.8%14.3K-166.0K-2.3K0.0090.10N/AN/A00145139