IWC Options History — February 2013

In February 2013, IWC traded between $55.09 and $57.05. ATM implied volatility averaged 14.1%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.6% (HV 20d: 11.6%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.50.

Notable Days

2013-02-28: Highest Volume — 16 contracts
2013-02-25: Largest IV spike — 24.3% change
2013-02-25: Highest IV Rank — 18.0%
2013-02-25: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.95	$55.09	$57.05	$56.03	$55.75
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	14.1%	11.3%	19.7%	12.7%	14.5%
Expected Move	4.1%	3.2%	5.6%	4.2%	4.2%
HV 20d	11.6%	9.0%	14.9%	9.0%	14.0%
HV 60d	13.8%	12.4%	15.9%	15.6%	13.7%
IV Rank	7.0%	1.4%	18.0%	4.1%	7.8%
IV Percentile	12.1%	0.8%	58.7%	3.6%	13.1%
Term Structure	1.2%	-2.9%	3.1%	1.8%	0.6%
VWIV	16.1%	15.7%	16.6%	16.6%	15.7%
Skew 25d	5.1%	1.8%	9.5%	1.8%	5.4%
Skew 10d	2.9%	-1.9%	6.4%	-1.9%	4.0%
Call IV 25d	11.5%	8.2%	14.8%	14.6%	9.6%
Put IV 25d	16.6%	14.1%	21.8%	16.5%	15.0%
Bid-Ask Spread %	99.49	90.13	118.07	94.43	118.07
Gamma HHI	0.42	0.29	0.57	0.49	0.32
Net GEX	5.0K	-3.4K	13.7K	8.0K	9.3K
Net DEX	-44.3K	-102.1K	26.5K	-68.9K	-37.9K
Net VEX	-612	-736	-499	-702	-600
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	1.00	0.00	1.00
Total Volume	1.684	0	16	0	16
Total OI	102.211	86	112	111	101

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
2013-02-01	$56.03	$50.00	12.7%	4.2%	9.0%	4.1%	0.0%	1.8%	1.8%	8.0K	-68.9K	-702	0.00	94.43	N/A	N/A	0	0	34	77
2013-02-04	$55.33	$50.00	15.3%	4.7%	10.3%	9.3%	0.0%	2.5%	1.0%	10.7K	-32.9K	-736	0.00	90.13	N/A	N/A	0	0	34	77
2013-02-05	$55.79	$50.00	13.2%	4.2%	10.3%	5.2%	0.0%	4.0%	1.8%	10.7K	-58.5K	-694	0.00	98.47	N/A	N/A	0	0	34	77
2013-02-06	$55.95	$50.00	12.6%	4.1%	10.3%	4.0%	16.6%	5.2%	1.8%	10.9K	-63.1K	-697	0.00	91.34	N/A	N/A	0	1	34	77
2013-02-07	$55.56	$50.00	13.9%	4.0%	10.7%	6.5%	0.0%	7.2%	2.2%	12.8K	-49.0K	-691	0.00	102.46	N/A	N/A	0	0	34	78
2013-02-08	$55.75	$50.00	13.7%	3.9%	10.7%	6.1%	0.0%	4.4%	2.1%	13.7K	-66.5K	-670	0.00	99.29	N/A	N/A	0	0	34	78
2013-02-11	$55.92	$50.00	13.5%	3.9%	10.7%	5.8%	0.0%	3.8%	2.4%	12.1K	-72.3K	-640	0.00	98.46	N/A	N/A	0	0	34	78
2013-02-12	$56.23	$50.00	13.7%	3.9%	10.7%	6.1%	0.0%	3.2%	1.9%	7.6K	-92.0K	-595	0.00	100.58	N/A	N/A	0	0	34	78
2013-02-13	$56.46	$50.00	13.9%	4.0%	10.8%	6.5%	0.0%	1.9%	1.9%	4.0K	-102.1K	-568	0.00	100.12	N/A	N/A	0	0	34	78
2013-02-14	$56.52	$50.00	11.3%	3.2%	10.5%	1.4%	0.0%	5.4%	3.1%	1.2K	-94.9K	-560	0.00	96.87	N/A	N/A	0	0	32	78
2013-02-15	$56.53	$50.00	11.7%	3.4%	10.3%	2.2%	0.0%	6.0%	2.7%	518	-99.0K	-546	0.00	101.70	N/A	N/A	0	0	32	78
2013-02-19	$57.05	$50.00	12.1%	3.5%	10.6%	3.0%	0.0%	6.8%	1.0%	-1.9K	-19.7K	-499	0.00	99.23	N/A	N/A	0	0	16	70
2013-02-20	$56.18	$50.00	14.9%	4.3%	11.9%	8.6%	0.0%	3.8%	1.3%	-2.4K	-6.1K	-539	0.00	100.08	N/A	N/A	0	0	16	70
2013-02-21	$55.68	$50.00	14.9%	4.3%	12.4%	8.6%	0.0%	3.9%	-0.5%	-2.4K	10.3K	-573	0.00	97.47	N/A	N/A	0	0	16	70
2013-02-22	$56.22	$50.00	15.8%	4.5%	12.7%	10.4%	0.0%	8.0%	-0.8%	-2.9K	-1.3K	-533	0.00	103.09	N/A	N/A	0	0	16	70
2013-02-25	$55.09	$50.00	19.7%	5.6%	14.9%	18.0%	0.0%	8.4%	-2.9%	-3.4K	26.5K	-590	0.00	98.17	N/A	N/A	0	0	16	70
2013-02-26	$55.34	$50.00	17.0%	4.9%	14.7%	12.6%	15.7%	9.5%	-0.1%	-2.8K	20.1K	-575	0.00	98.01	N/A	N/A	15	0	16	70
2013-02-27	$55.73	$50.00	14.4%	4.1%	14.7%	7.5%	0.0%	5.1%	1.0%	9.0K	-34.8K	-617	0.00	102.24	N/A	N/A	0	0	31	70
2013-02-28	$55.75	$50.00	14.5%	4.2%	14.0%	7.8%	0.0%	5.4%	0.6%	9.3K	-37.9K	-600	1.00	118.07	N/A	N/A	8	8	31	70