IWC Options History — December 2012

In December 2012, IWC traded between $50.64 and $52.44. ATM implied volatility averaged 17.2%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.2% (HV 20d: 14.0%). Max pain ranged from $49.00 to $51.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.25.

Notable Days

2012-12-28: Highest Volume — 17 contracts
2012-12-12: Largest IV spike — 41.5% change
2012-12-28: Highest IV Rank — 21.8%
2012-12-28: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.43	$50.64	$52.44	$50.95	$52.32
Max Pain	$49.31	$49.00	$51.00	$49.00	$51.00
ATM IV	17.2%	12.2%	22.4%	17.0%	19.1%
Expected Move	5.1%	4.5%	6.4%	4.9%	5.5%
HV 20d	14.0%	10.9%	19.1%	19.1%	13.5%
HV 60d	14.8%	14.4%	15.5%	14.9%	15.5%
IV Rank	11.3%	1.3%	21.8%	11.0%	15.3%
IV Percentile	20.6%	0.4%	72.6%	14.7%	38.5%
Term Structure	1.0%	-1.1%	2.6%	0.2%	0.4%
VWIV	19.7%	17.0%	21.8%	17.0%	21.8%
Skew 25d	4.2%	-1.0%	7.3%	3.7%	3.2%
Skew 10d	2.3%	-2.2%	8.1%	3.8%	3.9%
Call IV 25d	14.9%	11.7%	17.9%	11.8%	16.4%
Put IV 25d	19.1%	14.3%	24.8%	15.5%	19.6%
Bid-Ask Spread %	96.32	79.18	116.35	115.13	107.61
Gamma HHI	0.32	0.19	0.71	0.19	0.37
Net GEX	23.7K	-14.4K	43.1K	34.7K	-14.4K
Net DEX	-57.3K	-246.7K	189.3K	-126.0K	56.4K
Net VEX	-460	-728	-274	-728	-362
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	0.50	0.50	0.00
Total Volume	1.8	0	17	0	0
Total OI	183.35	36	251	246	64

Daily Data (20 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
2012-12-03	$50.95	$49.00	17.0%	4.9%	19.1%	11.0%	0.0%	3.7%	0.2%	34.7K	-126.0K	-728	0.00	115.13	N/A	N/A	0	0	156	90
2012-12-04	$51.04	$49.00	16.1%	4.6%	19.0%	9.2%	17.0%	3.4%	1.3%	36.6K	-134.3K	-680	0.50	116.35	N/A	N/A	2	1	156	90
2012-12-05	$50.76	$49.00	16.5%	4.7%	18.9%	9.9%	0.0%	3.8%	1.6%	36.2K	-125.7K	-672	0.00	114.49	N/A	N/A	0	0	156	91
2012-12-06	$50.79	$49.00	16.7%	4.8%	15.9%	10.2%	0.0%	2.2%	1.7%	36.6K	-114.2K	-663	0.00	114.47	N/A	N/A	0	0	156	91
2012-12-07	$50.64	$0.00	15.3%	5.1%	14.8%	7.4%	0.0%	2.7%	0.6%	38.6K	-111.5K	-625	0.00	79.18	N/A	N/A	0	0	156	91
2012-12-10	$50.88	$0.00	15.0%	5.0%	14.8%	7.0%	0.0%	3.0%	1.2%	41.5K	-129.2K	-548	0.00	84.85	N/A	N/A	0	0	156	91
2012-12-11	$51.58	$0.00	12.2%	4.6%	15.4%	1.3%	0.0%	4.1%	1.4%	38.4K	-202.4K	-479	0.00	83.05	N/A	N/A	2	0	156	91
2012-12-12	$51.20	$0.00	17.3%	5.2%	15.5%	11.6%	18.7%	1.5%	1.8%	39.6K	-171.3K	-529	0.00	88.41	N/A	N/A	0	3	157	91
2012-12-13	$50.95	$49.00	18.0%	5.2%	13.1%	13.0%	0.0%	7.0%	1.6%	40.9K	-138.8K	-533	0.00	86.17	N/A	N/A	0	0	157	94
2012-12-14	$51.03	$49.00	17.9%	5.1%	12.4%	12.8%	0.0%	7.3%	2.2%	43.1K	-151.0K	-484	0.00	92.17	N/A	N/A	0	0	157	94
2012-12-17	$51.78	$49.00	15.8%	4.5%	13.0%	8.5%	0.0%	6.6%	2.0%	37.0K	-229.8K	-418	0.00	94.00	N/A	N/A	0	0	157	94
2012-12-18	$52.44	$49.00	17.0%	4.9%	10.9%	10.8%	0.0%	4.0%	0.2%	22.1K	-246.7K	-335	0.00	99.50	N/A	N/A	0	0	145	94
2012-12-19	$51.97	$49.00	17.1%	4.9%	11.7%	11.2%	0.0%	5.7%	0.6%	20.3K	186.5K	-319	0.00	91.06	N/A	N/A	0	0	64	94
2012-12-20	$52.32	$49.00	17.2%	4.9%	11.7%	11.4%	0.0%	3.9%	0.5%	16.0K	170.3K	-305	0.00	93.52	N/A	N/A	0	0	64	94
2012-12-21	$51.95	$49.00	16.4%	4.7%	11.9%	9.8%	0.0%	-1.0%	2.6%	26.0K	189.3K	-305	0.00	105.03	N/A	N/A	0	0	64	94
2012-12-24	$51.79	$49.00	18.5%	5.3%	12.0%	13.9%	0.0%	4.9%	-0.1%	-3.4K	23.2K	-281	0.00	89.96	N/A	N/A	0	0	8	28
2012-12-26	$51.56	$49.00	16.8%	4.8%	12.2%	10.6%	21.0%	4.4%	2.0%	-3.6K	24.1K	-274	0.00	98.68	N/A	N/A	0	7	8	28
2012-12-27	$51.48	$50.00	20.8%	6.0%	12.2%	18.8%	20.0%	6.6%	-0.7%	-5.2K	36.8K	-318	0.00	90.54	N/A	N/A	0	4	8	35
2012-12-28	$51.21	$51.00	22.4%	6.4%	11.2%	21.8%	21.8%	6.9%	-1.1%	-6.6K	47.9K	-336	0.00	82.18	N/A	N/A	0	17	8	39
2012-12-31	$52.32	$51.00	19.1%	5.5%	13.5%	15.3%	0.0%	3.2%	0.4%	-14.4K	56.4K	-362	0.00	107.61	N/A	N/A	0	0	8	56