IWC Options History — October 2012

In October 2012, IWC traded between $50.67 and $53.43. ATM implied volatility averaged 21.9%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 10.7% (HV 20d: 11.3%). Max pain ranged from $52.00 to $52.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2012-10-17: Highest Volume — 26 contracts
  • 2012-10-02: Largest IV spike — 217.8% change
  • 2012-10-31: Highest IV Rank — 93.0%
  • 2012-10-31: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.05$50.67$53.43$53.05$51.02
Max Pain$52.00$52.00$52.00$52.00$52.00
ATM IV21.9%14.3%57.0%16.8%57.0%
Expected Move6.4%4.4%16.4%4.8%16.4%
HV 20d11.3%10.0%13.1%11.0%12.0%
HV 60d13.3%11.0%14.0%13.9%11.0%
IV Rank21.2%5.5%93.0%10.6%93.0%
IV Percentile26.9%2.0%99.6%7.1%99.6%
Term Structure-0.7%-23.7%13.9%1.4%-23.7%
VWIV17.0%16.1%17.8%16.1%17.8%
Skew 25d2.4%-34.4%32.4%2.0%-8.8%
Skew 10d3.0%-39.2%18.9%1.3%-9.3%
Call IV 25d20.3%10.9%78.1%12.2%78.1%
Put IV 25d22.7%12.5%69.3%14.2%69.3%
Bid-Ask Spread %124.3793.01184.58132.55183.74
Gamma HHI0.170.120.270.160.12
Net GEX20.8K9.5K37.2K17.3K9.5K
Net DEX-198.6K-359.2K-36.1K-302.8K-132.8K
Net VEX-1.7K-2.1K-1.5K-1.9K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.000.730.000.73
Total Volume1.8102600
Total OI260.238253287256258

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$53.05$52.0016.8%4.8%11.0%10.6%0.0%2.0%1.4%17.3K-302.8K-1.9K0.00132.55N/AN/A0016096
2012-10-02$53.00$52.0053.4%15.3%10.9%85.4%0.0%-19.7%-20.0%10.8K-286.9K-2.1K0.00184.58N/AN/A0016096
2012-10-03$53.04$52.0015.8%4.5%10.9%8.6%0.0%1.8%1.7%17.5K-307.3K-1.9K0.00128.00N/AN/A0016096
2012-10-04$53.43$52.0015.3%4.4%10.1%7.5%0.0%2.2%2.7%20.8K-332.0K-1.8K0.00121.02N/AN/A0016096
2012-10-05$53.28$0.0014.3%4.8%10.1%5.5%0.0%5.0%0.8%15.9K-359.2K-1.8K0.0093.01N/AN/A0016096
2012-10-08$52.96$0.0015.6%5.0%10.3%8.2%0.0%7.2%1.2%18.6K-302.9K-1.8K0.0096.52N/AN/A0016096
2012-10-09$52.18$0.0018.6%5.3%11.7%14.2%0.0%6.8%1.0%21.8K-210.0K-1.8K0.00114.40N/AN/A0016096
2012-10-10$52.16$0.0016.1%5.1%11.5%9.2%0.0%7.4%1.4%26.1K-197.3K-1.7K0.00104.05N/AN/A0016096
2012-10-11$52.35$0.0017.4%5.0%10.3%11.8%0.0%7.2%1.4%24.0K-226.8K-1.7K0.00111.97N/AN/A5016096
2012-10-12$51.95$0.0017.6%5.1%10.0%12.4%0.0%6.8%1.1%27.2K-195.3K-1.7K0.00106.60N/AN/A0016596
2012-10-15$52.18$0.0017.3%5.0%10.2%11.7%0.0%5.8%1.3%26.4K-225.1K-1.7K0.00141.90N/AN/A0016596
2012-10-16$52.44$0.0017.4%5.0%10.4%11.8%0.0%4.4%0.8%27.0K-248.0K-1.6K0.00114.48N/AN/A0016596
2012-10-17$52.76$0.0027.5%7.9%10.7%32.5%16.1%-34.4%13.9%11.2K-282.5K-1.9K0.73176.03N/AN/A151116596
2012-10-18$52.20$52.0015.5%4.4%11.2%7.9%0.0%2.1%2.4%37.2K-226.9K-1.7K0.00102.19N/AN/A00180107
2012-10-19$51.04$52.0018.0%5.2%13.1%13.2%17.8%1.5%11.0%31.5K-67.2K-1.6K0.00126.74N/AN/A02180107
2012-10-22$51.08$52.0032.4%9.3%13.1%42.6%0.0%32.4%-15.3%20.1K-91.8K-1.6K0.00163.02N/AN/A0516093
2012-10-23$50.75$52.0018.0%5.2%12.8%13.0%0.0%5.2%1.0%17.6K-36.1K-1.6K0.00100.80N/AN/A0016098
2012-10-24$50.67$52.0018.8%5.4%12.7%14.7%0.0%4.8%0.2%18.3K-37.6K-1.5K0.00101.26N/AN/A0016098
2012-10-25$50.82$52.0019.0%5.5%12.1%15.2%0.0%5.5%0.4%18.3K-62.2K-1.5K0.00105.96N/AN/A0016098
2012-10-26$50.77$52.0019.1%5.5%12.0%15.3%0.0%5.4%0.2%18.9K-39.9K-1.5K0.00103.05N/AN/A0016098
2012-10-31$51.02$52.0057.0%16.4%12.0%93.0%0.0%-8.8%-23.7%9.5K-132.8K-1.8K0.00183.74N/AN/A0016098