IWC Options History — February 2014

In February 2014, IWC traded between $72.06 and $78.71. ATM implied volatility averaged 17.4%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 3.7% (HV 20d: 21.0%). Max pain ranged from $66.00 to $78.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 22.82.

Notable Days

2014-02-03: Highest Volume — 5,264 contracts
2014-02-07: Largest IV drop — 14.4% change
2014-02-03: Highest IV Rank — 100.0%
2014-02-03: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.50	$72.06	$78.71	$72.41	$78.20
Max Pain	$70.84	$66.00	$78.00	$78.00	$78.00
ATM IV	17.4%	14.4%	24.8%	24.8%	16.4%
Expected Move	5.1%	4.2%	7.1%	7.1%	4.7%
HV 20d	21.0%	18.0%	22.6%	21.2%	18.0%
HV 60d	16.5%	16.1%	16.8%	16.7%	16.3%
IV Rank	53.3%	35.0%	100.0%	100.0%	47.6%
IV Percentile	64.6%	34.1%	100.0%	100.0%	62.3%
Term Structure	0.7%	-1.9%	1.8%	-1.9%	0.5%
VWIV	18.2%	12.6%	22.9%	22.6%	17.0%
Skew 25d	5.2%	4.3%	8.1%	8.1%	5.1%
Skew 10d	11.1%	8.3%	13.1%	13.1%	8.3%
Call IV 25d	15.8%	13.8%	20.7%	20.7%	14.6%
Put IV 25d	21.0%	18.1%	28.8%	28.8%	19.6%
Bid-Ask Spread %	34.59	24.36	52.90	52.90	29.37
Gamma HHI	0.55	0.10	0.77	0.51	0.69
Net GEX	-1.8M	-4.8M	28.3K	-600.9K	-796.3K
Net DEX	11.1M	-518.4K	21.4M	20.9M	3.3M
Net VEX	-15.1K	-26.2K	-7.0K	-12.7K	-19.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	22.82	0.03	174.47	174.47	0.50
Total Volume	536.158	9	5,264	5,264	45
Total OI	4,304.211	658	7,054	3,670	2,121

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
2014-02-03	$72.41	$78.00	24.8%	7.1%	21.2%	100.0%	22.6%	8.1%	-1.9%	-600.9K	20.9M	-12.7K	174.47	52.90	N/A	N/A	30	5,234	294	3,376
2014-02-04	$72.96	$78.00	21.4%	6.1%	21.5%	78.8%	21.5%	6.2%	-0.3%	-1.9M	19.3M	-26.2K	1.54	26.33	N/A	N/A	13	20	266	4,654
2014-02-05	$72.06	$78.00	22.8%	6.5%	21.5%	87.2%	12.6%	5.7%	-0.4%	-1.8M	21.4M	-24.6K	0.00	24.36	N/A	N/A	0	417	269	4,668
2014-02-06	$72.45	$78.00	21.3%	6.1%	21.6%	78.4%	22.8%	5.5%	-0.1%	-1.9M	19.1M	-23.0K	0.50	27.95	N/A	N/A	14	7	269	4,413
2014-02-07	$73.29	$66.00	18.3%	5.4%	21.9%	59.1%	22.9%	5.9%	0.5%	-2.0M	16.2M	-20.9K	0.00	42.16	N/A	N/A	0	9	283	4,325
2014-02-10	$73.87	$66.00	16.4%	5.2%	21.8%	47.0%	0.0%	5.7%	0.8%	-1.9M	14.9M	-17.7K	0.00	28.38	N/A	N/A	0	12	283	4,326
2014-02-11	$74.61	$66.00	15.2%	4.9%	21.7%	39.6%	17.5%	5.1%	1.2%	-1.6M	12.5M	-14.6K	0.09	31.36	N/A	N/A	22	2	283	4,331
2014-02-12	$74.63	$66.00	14.4%	4.8%	21.2%	35.0%	18.6%	5.0%	1.6%	-1.6M	12.3M	-13.5K	10.71	33.45	N/A	N/A	17	182	305	4,329
2014-02-13	$75.54	$66.00	16.0%	4.6%	21.4%	44.4%	19.7%	5.4%	1.6%	-1.3M	10.1M	-10.7K	56.64	31.23	N/A	N/A	25	1,416	312	4,330
2014-02-14	$75.76	$68.00	15.6%	4.5%	21.5%	42.1%	0.0%	5.2%	1.7%	-3.1M	14.5M	-14.0K	0.00	37.78	N/A	N/A	0	700	335	5,678
2014-02-18	$76.74	$68.00	15.8%	4.5%	22.0%	43.2%	18.7%	4.3%	1.3%	-4.7M	11.5M	-13.1K	0.03	33.48	N/A	N/A	58	2	335	6,378
2014-02-19	$75.95	$68.00	17.5%	5.0%	21.9%	54.2%	17.6%	4.8%	0.9%	-4.8M	16.3M	-11.2K	2.54	35.47	N/A	N/A	81	206	373	6,380
2014-02-20	$77.08	$68.00	16.4%	4.7%	22.6%	47.5%	17.4%	4.6%	1.1%	-4.2M	8.4M	-10.2K	0.09	34.63	N/A	N/A	113	10	425	6,581
2014-02-21	$77.07	$68.00	16.1%	4.6%	22.6%	45.7%	16.9%	4.8%	1.8%	-1.7M	8.4M	-8.0K	0.42	34.44	N/A	N/A	33	14	463	6,591
2014-02-24	$77.70	$68.00	15.5%	4.5%	20.3%	41.8%	14.9%	4.8%	0.6%	-87.3K	79.5K	-7.0K	0.03	36.45	N/A	N/A	372	13	175	483
2014-02-25	$77.51	$70.00	15.5%	4.4%	19.3%	41.6%	16.5%	4.7%	0.7%	8.8K	-312.9K	-10.8K	0.36	36.31	N/A	N/A	14	5	543	496
2014-02-26	$78.02	$70.00	15.6%	4.5%	19.0%	42.5%	15.7%	4.4%	0.6%	28.3K	-518.4K	-11.0K	90.91	37.87	N/A	N/A	11	1,000	557	501
2014-02-27	$78.71	$78.00	14.7%	4.2%	18.2%	36.5%	15.9%	4.4%	1.0%	-759.4K	2.5M	-18.7K	3.50	43.31	N/A	N/A	20	70	548	1,501
2014-02-28	$78.20	$78.00	16.4%	4.7%	18.0%	47.6%	17.0%	5.1%	0.5%	-796.3K	3.3M	-19.2K	0.50	29.37	N/A	N/A	30	15	550	1,571