IWC Options History — September 2012 In September 2012, IWC traded between $50.85 and $53.77. ATM implied volatility averaged 16.7%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 6.6% (HV 20d: 10.1%). Max pain ranged from $49.00 to $52.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 2.29.
Notable Days 2012-09-14 : Highest Volume — 36 contracts2012-09-19 : Largest IV spike — 62.3% change2012-09-19 : Highest IV Rank — 28.6%2012-09-19 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $52.72 $50.85 $53.77 $50.85 $52.84 Max Pain $50.74 $49.00 $52.00 $50.00 $52.00 ATM IV 16.7% 11.6% 26.3% 18.5% 16.1% Expected Move 4.8% 3.3% 7.5% 5.3% 4.6% HV 20d 10.1% 9.2% 11.4% 9.2% 11.0% HV 60d 15.6% 14.0% 17.4% 17.4% 14.1% IV Rank 8.8% 0.0% 28.6% 12.4% 9.1% IV Percentile 7.4% 0.0% 65.9% 7.9% 3.6% Term Structure 1.6% -16.7% 6.9% 1.8% 2.0% VWIV 17.0% 14.4% 19.7% 19.7% 14.4% Skew 25d 4.5% 0.7% 9.6% 6.0% 4.0% Skew 10d 4.6% -2.8% 16.6% 9.9% 4.1% Call IV 25d 15.5% 9.6% 46.2% 15.6% 11.6% Put IV 25d 20.0% 12.9% 55.8% 21.6% 15.6% Bid-Ask Spread % 95.75 38.44 182.97 66.66 129.20 Gamma HHI 0.31 0.15 0.55 0.20 0.16 Net GEX 59.5K 15.0K 109.5K 41.5K 16.5K Net DEX -612.9K -917.3K -273.5K -423.7K -279.9K Net VEX -2.0K -2.2K -1.8K -2.2K -2.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.29 0.00 15.00 0.00 0.00 Total Volume 7.263 0 36 0 0 Total OI 389.421 251 479 411 256
Daily Data (19 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 2012-09-04 $50.85 $50.00 18.5% 5.3% 9.2% 12.4% 0.0% 6.0% 1.8% 41.5K -423.7K -2.2K 0.00 66.66 N/A N/A 0 0 268 143 2012-09-05 $51.03 $50.00 19.0% 5.5% 9.3% 13.5% 19.7% 7.2% 1.3% 45.5K -457.1K -2.2K 0.00 72.70 N/A N/A 5 0 268 143 2012-09-06 $51.78 $50.00 16.0% 4.6% 10.2% 7.2% 0.0% 5.0% 1.9% 66.8K -611.1K -2.1K 0.00 62.24 N/A N/A 1 0 267 143 2012-09-07 $52.05 $49.00 14.2% 4.9% 10.2% 3.5% 0.0% 3.3% 2.8% 77.3K -672.4K -1.9K 0.00 38.46 N/A N/A 0 0 268 143 2012-09-10 $51.90 $49.00 16.6% 5.0% 10.3% 8.4% 0.0% 4.7% 2.4% 73.0K -633.4K -1.9K 0.00 44.24 N/A N/A 0 0 267 143 2012-09-11 $52.10 $49.00 18.0% 5.2% 10.1% 11.3% 0.0% 4.7% 2.1% 75.0K -691.9K -1.9K 0.00 38.44 N/A N/A 0 0 267 143 2012-09-12 $52.35 $49.00 18.4% 5.3% 9.7% 12.2% 0.0% 4.2% 1.3% 82.7K -753.9K -1.8K 3.33 44.40 N/A N/A 3 10 267 143 2012-09-13 $53.12 $49.00 16.9% 4.8% 10.3% 9.0% 0.0% 0.7% 2.2% 82.2K -894.4K -1.8K 15.00 120.14 N/A N/A 2 30 270 153 2012-09-14 $53.55 $49.00 17.0% 4.9% 10.1% 9.2% 17.0% 0.7% 1.1% 82.4K -901.1K -1.9K 0.00 103.12 N/A N/A 0 36 272 183 2012-09-17 $53.40 $52.00 17.0% 4.9% 10.1% 9.2% 0.0% 7.6% 2.3% 95.9K -810.3K -2.2K 0.00 99.02 N/A N/A 0 0 270 207 2012-09-18 $53.47 $52.00 16.2% 4.6% 10.0% 7.6% 0.0% 7.6% 2.8% 99.7K -834.7K -2.1K 0.00 104.84 N/A N/A 6 0 270 207 2012-09-19 $53.50 $52.00 26.3% 7.5% 9.8% 28.6% 0.0% 9.6% -16.7% 31.7K -682.8K -2.1K 0.00 182.97 N/A N/A 2 0 270 207 2012-09-20 $53.36 $52.00 16.6% 4.8% 9.7% 8.4% 0.0% 2.6% 2.8% 109.5K -806.2K -2.1K 0.00 117.01 N/A N/A 5 0 271 207 2012-09-21 $53.77 $52.00 12.6% 3.6% 9.2% 0.0% 14.4% 5.2% 5.5% 82.8K -917.3K -2.0K 0.00 114.65 N/A N/A 33 0 272 207 2012-09-24 $53.64 $52.00 14.1% 4.0% 9.4% 3.2% 0.0% 6.7% 2.5% 15.0K -359.4K -2.0K 0.00 110.27 N/A N/A 0 0 160 91 2012-09-25 $53.02 $52.00 15.3% 4.4% 10.8% 5.8% 0.0% 1.7% 2.7% 16.4K -310.9K -2.0K 0.00 112.29 N/A N/A 0 0 160 91 2012-09-26 $52.74 $52.00 16.5% 4.7% 11.2% 8.2% 0.0% 3.9% 1.6% 16.9K -273.5K -2.0K 0.00 112.13 N/A N/A 0 0 160 91 2012-09-27 $53.24 $52.00 11.6% 3.3% 11.4% 0.0% 0.0% 0.8% 6.9% 19.1K -331.6K -1.9K 0.00 146.42 N/A N/A 0 5 160 91 2012-09-28 $52.84 $52.00 16.1% 4.6% 11.0% 9.1% 0.0% 4.0% 2.0% 16.5K -279.9K -2.0K 0.00 129.20 N/A N/A 0 0 160 96
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