IWC Options History — June 2013

In June 2013, IWC traded between $60.14 and $62.64. ATM implied volatility averaged 18.5%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.8% (HV 20d: 15.7%). Max pain ranged from $57.00 to $62.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.37.

Notable Days

2013-06-10: Highest Volume — 220 contracts
2013-06-12: Largest IV spike — 17.4% change
2013-06-12: Highest IV Rank — 24.7%
2013-06-12: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.54	$60.14	$62.64	$62.25	$61.73
Max Pain	$60.10	$57.00	$62.00	$57.00	$62.00
ATM IV	18.5%	16.2%	21.7%	18.9%	16.2%
Expected Move	5.3%	4.6%	6.1%	5.4%	4.6%
HV 20d	15.7%	12.7%	18.1%	12.7%	17.5%
HV 60d	17.6%	16.7%	18.5%	16.7%	18.3%
IV Rank	18.5%	14.0%	24.7%	19.2%	14.0%
IV Percentile	68.7%	43.3%	90.1%	72.2%	43.3%
Term Structure	0.7%	-0.5%	2.4%	-0.5%	1.8%
VWIV	17.9%	16.0%	19.8%	19.2%	16.0%
Skew 25d	4.7%	3.6%	6.1%	5.1%	5.4%
Skew 10d	5.7%	4.1%	8.5%	7.7%	6.4%
Call IV 25d	17.0%	14.8%	18.3%	16.9%	14.8%
Put IV 25d	21.7%	20.0%	23.3%	22.0%	20.2%
Bid-Ask Spread %	42.54	25.74	92.96	84.07	34.05
Gamma HHI	0.31	0.16	0.64	0.24	0.16
Net GEX	-61.3K	-409.8K	16.2K	16.2K	2.6K
Net DEX	-262.2K	-585.7K	525.7K	-519.0K	-560.3K
Net VEX	-1.6K	-2.4K	-905	-1.1K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.37	0.00	10.00	10.00	0.20
Total Volume	25.55	0	220	5	0
Total OI	347.45	173	515	244	287

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
2013-06-03	$62.25	$57.00	18.9%	5.4%	12.7%	19.2%	0.0%	5.1%	-0.5%	16.2K	-519.0K	-1.1K	0.00	84.07	N/A	N/A	0	5	117	127
2013-06-04	$61.62	$57.00	18.7%	5.4%	13.2%	19.0%	0.0%	5.0%	-0.0%	13.2K	-460.5K	-1.2K	0.00	80.83	N/A	N/A	0	0	117	132
2013-06-05	$60.92	$57.00	19.9%	5.7%	13.9%	21.2%	0.0%	4.1%	-0.5%	12.6K	-405.1K	-1.3K	0.00	77.70	N/A	N/A	0	0	117	132
2013-06-06	$61.44	$57.00	19.5%	5.6%	14.1%	20.5%	0.0%	3.6%	-0.0%	15.4K	-462.3K	-1.1K	0.00	92.96	N/A	N/A	0	0	117	132
2013-06-07	$61.87	$60.00	16.6%	5.0%	14.2%	14.9%	0.0%	4.4%	1.4%	15.8K	-506.8K	-1.0K	0.00	28.00	N/A	N/A	0	0	117	132
2013-06-10	$62.42	$60.00	17.1%	5.3%	14.4%	15.9%	19.2%	4.4%	0.7%	15.7K	-551.3K	-905	10.00	29.43	N/A	N/A	20	200	117	132
2013-06-11	$61.76	$60.00	18.5%	5.4%	15.0%	18.5%	0.0%	5.1%	0.7%	-85.5K	-233.1K	-1.9K	0.00	25.74	N/A	N/A	16	0	137	332
2013-06-12	$61.33	$60.00	21.7%	6.1%	14.6%	24.7%	0.0%	5.1%	-0.1%	-100.9K	-99.7K	-2.0K	0.00	28.16	N/A	N/A	0	0	142	332
2013-06-13	$62.11	$60.00	18.8%	5.4%	15.2%	19.1%	0.0%	4.8%	0.8%	-79.4K	-325.7K	-1.8K	0.00	27.20	N/A	N/A	0	0	142	332
2013-06-14	$61.64	$60.00	18.4%	5.3%	15.5%	18.3%	0.0%	4.9%	1.0%	-111.5K	-229.5K	-1.8K	0.00	26.63	N/A	N/A	0	0	142	332
2013-06-17	$61.93	$60.00	18.5%	5.3%	15.3%	18.6%	0.0%	5.2%	1.0%	-95.9K	-339.7K	-1.5K	0.00	29.67	N/A	N/A	9	0	142	332
2013-06-18	$62.64	$60.00	17.3%	5.0%	15.8%	16.2%	0.0%	4.2%	1.3%	-51.4K	-585.7K	-1.3K	0.00	28.43	N/A	N/A	0	0	151	332
2013-06-19	$62.16	$60.00	17.6%	5.0%	16.1%	16.8%	18.4%	3.9%	1.2%	-64.5K	-307.6K	-1.3K	0.00	33.77	N/A	N/A	0	70	113	332
2013-06-20	$60.69	$62.00	19.7%	5.7%	17.7%	20.9%	0.0%	5.1%	0.8%	-281.0K	525.7K	-1.9K	0.00	37.44	N/A	N/A	0	43	113	402
2013-06-21	$60.85	$62.00	19.7%	5.6%	17.7%	20.8%	19.8%	6.1%	0.6%	-409.8K	356.8K	-1.8K	8.50	37.42	N/A	N/A	2	17	113	368
2013-06-24	$60.14	$62.00	20.7%	5.9%	18.1%	22.7%	18.2%	4.1%	-0.0%	-14.9K	134.2K	-1.5K	0.07	39.86	N/A	N/A	41	3	75	98
2013-06-25	$60.58	$62.00	18.7%	5.4%	17.4%	18.9%	0.0%	4.0%	0.7%	-8.9K	-53.5K	-1.9K	0.00	37.23	N/A	N/A	2	0	116	101
2013-06-26	$60.82	$62.00	17.3%	5.0%	17.2%	16.3%	16.0%	5.0%	1.5%	-11.0K	-84.6K	-1.9K	0.16	36.76	N/A	N/A	61	10	118	101
2013-06-27	$61.81	$62.00	16.4%	4.7%	17.9%	14.4%	16.0%	4.9%	2.4%	-2.3K	-537.1K	-2.3K	0.20	35.47	N/A	N/A	10	2	179	96
2013-06-28	$61.73	$62.00	16.2%	4.6%	17.5%	14.0%	0.0%	5.4%	1.8%	2.6K	-560.3K	-2.4K	0.00	34.05	N/A	N/A	0	0	189	98