IWC Options History — July 2012

In July 2012, IWC traded between $48.19 and $51.46. ATM implied volatility averaged 21.1%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.0% (HV 20d: 19.1%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.08.

Notable Days

2012-07-18: Highest Volume — 70 contracts
2012-07-20: Largest IV spike — 136.8% change
2012-07-20: Highest IV Rank — 36.5%
2012-07-20: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.14	$48.19	$51.46	$50.89	$49.16
Max Pain	$49.25	$46.00	$50.00	$46.00	$50.00
ATM IV	21.1%	17.3%	44.6%	17.3%	22.6%
Expected Move	6.1%	5.0%	12.8%	5.0%	6.5%
HV 20d	19.1%	16.4%	22.2%	22.1%	16.4%
HV 60d	19.3%	18.7%	20.7%	20.7%	19.2%
IV Rank	5.4%	1.0%	36.5%	1.0%	7.1%
IV Percentile	18.5%	0.8%	94.0%	0.8%	37.3%
Term Structure	0.6%	-14.9%	2.1%	2.1%	0.5%
VWIV	20.5%	20.2%	20.8%	20.2%	20.8%
Skew 25d	4.8%	1.6%	10.5%	2.4%	4.5%
Skew 10d	6.2%	-3.6%	16.4%	-3.6%	10.9%
Call IV 25d	20.0%	16.6%	52.9%	17.3%	19.9%
Put IV 25d	24.9%	19.2%	63.4%	19.8%	24.5%
Bid-Ask Spread %	61.88	36.76	184.68	66.32	68.90
Gamma HHI	0.25	0.18	0.41	0.23	0.18
Net GEX	24.9K	353	55.8K	16.7K	8.2K
Net DEX	-237.0K	-442.2K	87.4K	-259.7K	-94.6K
Net VEX	-2.4K	-2.7K	-2.1K	-2.1K	-2.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.75	0.00	0.00
Total Volume	8.429	0	70	54	5
Total OI	337.619	284	378	284	345

Daily Data (21 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
2012-07-02	$50.89	$46.00	17.3%	5.0%	22.1%	1.0%	0.0%	2.4%	2.1%	16.7K	-259.7K	-2.1K	0.00	66.32	N/A	N/A	54	0	145	139
2012-07-03	$51.46	$46.00	18.3%	5.2%	22.2%	2.3%	0.0%	1.6%	1.4%	27.1K	-428.6K	-2.6K	0.00	59.55	N/A	N/A	5	0	199	139
2012-07-05	$51.44	$46.00	18.5%	5.3%	21.2%	2.6%	0.0%	2.6%	1.3%	28.3K	-442.2K	-2.6K	0.00	58.27	N/A	N/A	5	0	204	139
2012-07-06	$51.01	$0.00	17.6%	5.7%	21.5%	1.4%	0.0%	4.4%	1.0%	31.0K	-398.5K	-2.6K	0.00	46.85	N/A	N/A	0	0	209	139
2012-07-09	$50.82	$0.00	19.2%	5.8%	21.3%	3.6%	0.0%	4.4%	1.1%	30.7K	-380.0K	-2.6K	0.00	52.53	N/A	N/A	0	0	209	139
2012-07-10	$50.44	$0.00	20.6%	6.2%	19.8%	4.4%	0.0%	5.3%	1.0%	32.1K	-317.8K	-2.6K	0.00	43.05	N/A	N/A	0	0	209	139
2012-07-11	$50.32	$0.00	18.8%	5.9%	19.6%	2.1%	0.0%	4.8%	1.1%	34.9K	-311.0K	-2.5K	0.00	42.21	N/A	N/A	0	0	209	139
2012-07-12	$50.24	$0.00	20.2%	5.8%	19.1%	3.9%	20.2%	5.1%	1.1%	36.8K	-301.3K	-2.5K	0.00	56.36	N/A	N/A	0	3	209	139
2012-07-13	$50.87	$50.00	19.4%	5.5%	18.9%	2.8%	0.0%	3.8%	1.3%	34.6K	-389.5K	-2.5K	0.00	54.97	N/A	N/A	0	0	209	142
2012-07-16	$50.55	$50.00	19.7%	5.6%	18.7%	3.2%	0.0%	3.8%	1.0%	38.1K	-357.2K	-2.4K	0.00	60.31	N/A	N/A	1	0	209	142
2012-07-17	$50.78	$50.00	20.3%	5.8%	18.7%	4.0%	0.0%	4.6%	1.3%	42.7K	-384.5K	-2.4K	0.00	59.11	N/A	N/A	0	0	209	142
2012-07-18	$50.95	$50.00	19.8%	5.7%	17.6%	3.4%	0.0%	4.2%	1.5%	37.2K	-417.4K	-2.4K	0.75	61.53	N/A	N/A	40	30	209	142
2012-07-19	$50.52	$50.00	18.9%	5.4%	17.9%	2.1%	0.0%	4.7%	2.1%	46.5K	-348.1K	-2.6K	0.00	60.50	N/A	N/A	2	0	219	157
2012-07-20	$49.79	$50.00	44.6%	12.8%	17.1%	36.5%	0.0%	10.5%	-14.9%	55.8K	-235.5K	-2.7K	0.00	184.68	N/A	N/A	0	0	221	157
2012-07-23	$48.89	$50.00	21.3%	6.1%	17.7%	5.3%	0.0%	6.0%	1.8%	3.2K	26.4K	-2.3K	0.00	56.34	N/A	N/A	0	0	176	137
2012-07-24	$48.19	$50.00	23.3%	6.7%	18.1%	8.1%	0.0%	7.1%	1.6%	353	87.4K	-2.2K	0.00	36.76	N/A	N/A	0	0	176	137
2012-07-25	$48.33	$50.00	22.9%	6.6%	18.1%	7.6%	0.0%	6.8%	1.2%	934	71.9K	-2.3K	0.00	47.82	N/A	N/A	0	0	176	137
2012-07-26	$48.75	$50.00	20.8%	6.0%	17.7%	4.7%	0.0%	5.3%	1.1%	2.0K	43.0K	-2.2K	0.00	49.58	N/A	N/A	2	0	176	137
2012-07-27	$49.92	$50.00	19.6%	5.6%	19.6%	3.2%	0.0%	4.9%	1.2%	9.5K	-88.4K	-2.4K	0.00	64.09	N/A	N/A	0	0	178	137
2012-07-30	$49.60	$50.00	19.7%	5.7%	17.4%	3.3%	0.0%	4.6%	2.0%	7.2K	-52.0K	-2.3K	0.00	69.66	N/A	N/A	30	0	178	137
2012-07-31	$49.16	$50.00	22.6%	6.5%	16.4%	7.1%	20.8%	4.5%	0.5%	8.2K	-94.6K	-2.6K	0.00	68.90	N/A	N/A	5	0	208	137