IWC Options History — November 2012

In November 2012, IWC traded between $47.44 and $51.44. ATM implied volatility averaged 22.0%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.8% (HV 20d: 17.1%). Max pain ranged from $49.00 to $52.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.19.

Notable Days

2012-11-05: Highest Volume — 17 contracts
2012-11-05: Largest IV drop — 66.8% change
2012-11-02: Highest IV Rank — 100.0%
2012-11-02: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.68	$47.44	$51.44	$51.44	$51.11
Max Pain	$49.29	$49.00	$52.00	$52.00	$49.00
ATM IV	22.0%	14.5%	60.9%	58.5%	16.8%
Expected Move	6.2%	4.2%	17.4%	16.8%	4.8%
HV 20d	17.1%	12.6%	20.0%	12.6%	19.8%
HV 60d	13.6%	11.1%	14.9%	11.1%	14.9%
IV Rank	21.1%	6.0%	100.0%	95.9%	10.6%
IV Percentile	30.2%	2.8%	100.0%	99.6%	13.1%
Term Structure	-1.2%	-27.6%	5.8%	-23.9%	0.2%
VWIV	15.9%	13.4%	18.4%	18.4%	16.1%
Skew 25d	3.3%	-11.1%	8.5%	-5.4%	1.4%
Skew 10d	2.8%	-13.1%	10.2%	-5.4%	4.9%
Call IV 25d	21.0%	9.7%	83.5%	78.8%	13.8%
Put IV 25d	24.3%	14.2%	73.4%	73.4%	15.2%
Bid-Ask Spread %	113.94	91.37	189.30	189.30	114.44
Gamma HHI	0.16	0.12	0.21	0.12	0.19
Net GEX	22.6K	9.2K	38.2K	10.3K	37.2K
Net DEX	22.1K	-166.1K	229.6K	-166.1K	-152.5K
Net VEX	-1.0K	-1.8K	-742	-1.8K	-767
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.00	1.50	0.00	0.00
Total Volume	2.762	0	17	0	0
Total OI	251.286	233	260	258	251

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
2012-11-01	$51.44	$52.00	58.5%	16.8%	12.6%	95.9%	0.0%	-5.4%	-23.9%	10.3K	-166.1K	-1.8K	0.00	189.30	N/A	N/A	0	0	160	98
2012-11-02	$50.72	$52.00	60.9%	17.4%	13.3%	100.0%	0.0%	-11.1%	-27.6%	9.2K	-121.2K	-1.8K	0.00	184.11	N/A	N/A	0	0	160	98
2012-11-05	$51.10	$49.00	20.2%	5.5%	13.3%	17.5%	18.4%	7.0%	1.1%	19.7K	-73.5K	-1.3K	0.00	99.12	N/A	N/A	17	0	160	98
2012-11-06	$51.40	$49.00	19.9%	5.4%	13.6%	16.8%	0.0%	6.9%	0.9%	19.7K	-114.9K	-1.3K	0.00	99.92	N/A	N/A	0	0	160	98
2012-11-07	$49.97	$49.00	18.8%	5.8%	16.5%	14.7%	0.0%	5.9%	0.7%	17.8K	26.5K	-1.2K	0.00	97.65	N/A	N/A	0	0	160	98
2012-11-08	$49.23	$49.00	19.5%	5.8%	16.5%	16.0%	0.0%	3.8%	0.7%	18.3K	87.8K	-1.1K	0.00	91.37	N/A	N/A	0	0	160	98
2012-11-09	$49.22	$49.00	19.3%	5.8%	16.5%	15.5%	0.0%	6.1%	1.0%	18.7K	96.6K	-1.1K	0.00	100.29	N/A	N/A	0	0	160	98
2012-11-12	$49.18	$49.00	20.3%	5.6%	16.4%	17.8%	0.0%	5.8%	1.7%	20.4K	104.9K	-1.0K	0.00	104.67	N/A	N/A	0	0	160	98
2012-11-13	$48.86	$49.00	19.5%	4.9%	16.3%	16.0%	0.0%	1.0%	5.8%	20.2K	142.1K	-969	0.00	112.14	N/A	N/A	0	0	160	98
2012-11-14	$47.83	$49.00	22.5%	5.8%	17.3%	22.2%	14.4%	3.3%	1.4%	16.2K	191.6K	-913	0.00	105.13	N/A	N/A	0	2	160	98
2012-11-15	$47.44	$49.00	20.8%	6.0%	17.0%	18.6%	0.0%	2.5%	1.4%	12.7K	229.6K	-860	0.00	100.92	N/A	N/A	0	0	160	100
2012-11-16	$47.62	$49.00	18.5%	5.3%	16.8%	14.0%	16.7%	1.7%	2.1%	14.5K	227.3K	-832	0.00	106.18	N/A	N/A	2	0	160	100
2012-11-19	$48.83	$49.00	16.3%	4.7%	19.8%	9.5%	15.2%	2.4%	1.4%	22.1K	102.0K	-857	0.00	108.56	N/A	N/A	9	0	146	87
2012-11-20	$48.85	$49.00	16.1%	4.6%	18.4%	9.1%	0.0%	4.0%	1.3%	21.8K	94.7K	-836	0.00	107.72	N/A	N/A	0	0	146	87
2012-11-21	$49.20	$49.00	16.1%	4.6%	18.7%	9.2%	13.4%	2.1%	0.9%	24.3K	68.4K	-835	0.00	110.64	N/A	N/A	5	0	146	87
2012-11-23	$49.71	$49.00	15.4%	4.4%	19.1%	7.6%	15.4%	5.7%	1.1%	29.3K	11.5K	-836	0.00	113.40	N/A	N/A	10	0	151	87
2012-11-26	$50.02	$49.00	14.6%	4.2%	19.3%	6.1%	17.2%	8.5%	2.0%	38.2K	-47.2K	-824	1.50	115.43	N/A	N/A	2	3	161	87
2012-11-27	$50.12	$49.00	16.6%	4.7%	19.3%	10.0%	16.4%	3.0%	1.0%	34.8K	-64.7K	-841	0.00	110.53	N/A	N/A	3	0	159	90
2012-11-28	$50.31	$49.00	16.3%	4.7%	19.3%	9.4%	0.0%	7.9%	0.9%	33.3K	-42.5K	-822	0.00	110.92	N/A	N/A	0	0	156	90
2012-11-29	$51.06	$49.00	14.5%	4.2%	20.0%	6.0%	16.1%	7.2%	1.1%	35.5K	-137.0K	-742	0.00	110.31	N/A	N/A	5	0	156	90
2012-11-30	$51.11	$49.00	16.8%	4.8%	19.8%	10.6%	0.0%	1.4%	0.2%	37.2K	-152.5K	-767	0.00	114.44	N/A	N/A	0	0	161	90