IWC Options History — August 2012

In August 2012, IWC traded between $48.10 and $50.79. ATM implied volatility averaged 20.0%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.1% (HV 20d: 16.9%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-08-24: Highest Volume — 41 contracts
  • 2012-08-23: Largest IV spike — 74.3% change
  • 2012-08-01: Highest IV Rank — 57.6%
  • 2012-08-01: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.89$48.10$50.79$48.24$50.48
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV20.0%12.6%60.5%60.5%19.3%
Expected Move6.0%4.6%17.3%17.3%5.5%
HV 20d16.9%9.1%19.5%16.7%9.1%
HV 60d19.2%17.6%20.2%19.5%17.6%
IV Rank10.5%0.0%57.6%57.6%14.2%
IV Percentile13.1%0.0%98.8%98.8%16.3%
Term Structure0.4%-25.3%4.7%-25.3%1.6%
VWIV18.4%16.1%22.8%18.3%16.9%
Skew 25d5.1%3.0%6.5%3.2%6.1%
Skew 10d10.3%1.9%15.6%3.2%12.5%
Call IV 25d18.8%13.8%78.1%78.1%15.3%
Put IV 25d23.9%19.7%81.3%81.3%21.4%
Bid-Ask Spread %65.1343.15189.82189.8271.49
Gamma HHI0.190.160.250.170.18
Net GEX22.6K3.3K41.9K8.7K33.2K
Net DEX-200.8K-413.3K30.3K-84.8K-353.7K
Net VEX-2.3K-2.8K-2.0K-2.8K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume4.30404100
Total OI365.609341411350411

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$48.24$50.0060.5%17.3%16.7%57.6%0.0%3.2%-25.3%8.7K-84.8K-2.8K0.00189.82N/AN/A00213137
2012-08-02$48.10$50.0021.4%6.1%16.7%5.6%0.0%4.2%1.2%3.3K30.3K-2.3K0.0062.12N/AN/A00213137
2012-08-03$49.32$50.0018.9%5.4%19.4%2.1%18.3%3.0%2.3%10.8K-103.9K-2.5K0.0068.49N/AN/A210213137
2012-08-06$49.61$50.0018.1%5.6%19.5%1.2%18.6%5.8%2.8%18.8K-152.7K-2.5K0.0044.20N/AN/A10222137
2012-08-07$49.74$50.0018.1%5.8%19.4%1.2%22.8%5.2%2.6%20.7K-183.7K-2.5K0.0043.15N/AN/A10223137
2012-08-08$49.57$50.0017.0%5.5%19.5%0.0%0.0%4.9%3.2%19.9K-152.3K-2.4K0.0046.62N/AN/A30222137
2012-08-09$49.77$50.0016.1%5.5%19.5%0.0%0.0%5.4%3.1%24.7K-180.8K-2.4K0.0047.12N/AN/A00225137
2012-08-10$49.66$50.0014.6%5.1%18.9%0.0%0.0%5.0%3.7%23.8K-146.4K-2.3K0.0064.67N/AN/A00225137
2012-08-13$49.52$50.0014.4%5.2%18.8%0.0%0.0%5.5%3.5%23.6K-114.5K-2.2K0.0056.26N/AN/A00225137
2012-08-14$49.25$50.0019.4%5.8%18.8%10.9%0.0%5.2%3.1%18.8K-84.5K-2.2K0.0054.49N/AN/A00225137
2012-08-15$49.71$50.0012.6%5.2%19.1%0.0%0.0%4.9%3.8%32.0K-153.0K-2.2K0.0057.77N/AN/A00225137
2012-08-16$50.25$50.0019.2%5.5%19.4%13.8%0.0%5.3%3.3%41.9K-266.9K-2.2K0.0055.10N/AN/A00225137
2012-08-17$50.70$50.0016.4%4.7%18.8%7.9%0.0%5.0%4.7%33.9K-356.2K-2.1K0.0064.51N/AN/A00225137
2012-08-20$50.63$50.0016.4%4.7%17.5%8.1%0.0%5.3%2.5%22.2K-254.8K-2.0K0.0055.56N/AN/A00207134
2012-08-21$50.53$50.0016.2%4.6%16.5%7.5%16.1%6.0%2.5%21.0K-247.8K-2.0K0.0067.74N/AN/A09207134
2012-08-22$50.31$50.0017.8%5.1%16.6%11.0%17.7%5.1%2.4%14.8K-197.0K-2.0K0.0061.39N/AN/A03207143
2012-08-23$50.00$50.0031.1%8.9%16.7%38.7%0.0%4.5%-24.0%8.6K-141.0K-2.0K0.0077.78N/AN/A00207143
2012-08-24$50.18$50.0018.6%5.3%14.5%12.6%16.9%5.1%2.2%12.4K-170.2K-2.0K0.0062.93N/AN/A410207143
2012-08-27$50.29$50.0018.8%5.4%14.3%13.1%0.0%4.5%2.1%27.2K-263.9K-2.2K0.0064.05N/AN/A00248143
2012-08-28$50.51$50.0017.3%5.0%13.9%9.9%0.0%4.8%2.5%31.7K-307.0K-2.2K0.0066.27N/AN/A200248143
2012-08-29$50.79$50.0017.6%5.1%11.7%10.6%0.0%6.5%2.7%39.0K-413.3K-2.4K0.0056.06N/AN/A00268143
2012-08-30$50.26$50.0020.0%5.7%12.4%15.6%0.0%5.9%2.4%28.9K-319.5K-2.3K0.0060.43N/AN/A00268143
2012-08-31$50.48$50.0019.3%5.5%9.1%14.2%0.0%6.1%1.6%33.2K-353.7K-2.3K0.0071.49N/AN/A00268143