IWM Options History — January 2007

In January 2007, IWM traded between $76.43 and $79.35. ATM implied volatility averaged 16.4%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.7% (HV 20d: 14.8%). Max pain ranged from $77.00 to $78.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.58.

Notable Days

  • 2007-01-19: Highest Volume — 373,075 contracts
  • 2007-01-11: Largest IV spike — 16.5% change
  • 2007-01-08: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.03$76.43$79.35$78.16$79.35
Max Pain$77.90$77.00$78.00$77.00$78.00
ATM IV16.4%14.5%18.0%16.6%15.3%
Expected Move4.8%4.2%5.6%4.8%4.4%
HV 20d14.8%14.1%15.4%15.4%14.1%
Term Structure1.7%0.9%2.5%2.4%1.3%
VWIV17.3%15.4%19.5%17.3%15.4%
Skew 25d3.8%2.9%5.1%2.9%4.0%
Skew 10d7.5%5.4%9.0%9.0%8.4%
Call IV 25d14.9%13.3%16.8%15.2%13.3%
Put IV 25d18.7%16.6%21.5%18.1%17.3%
Bid-Ask Spread %7.804.989.876.307.14
Gamma HHI0.110.090.190.090.10
Net GEX-391.2M-790.0M-91.7M-316.8M-219.5M
Net DEX-836.3M-4.52B1.49B-1.80B-1.82B
Net VEX-45.8M-47.7M-44.5M-46.2M-46.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.581.364.822.851.45
Total Volume265,557.45162,877373,075318,343170,440
Total OI5,493,991.93,903,3856,677,0395,838,9894,613,542

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$78.16$77.0016.6%4.8%0.0%0.0%17.3%2.9%2.4%-316.8M-1.80B-46.2M2.856.3082,685235,6582,013,4523,825,537
2007-01-04$78.37$77.0016.2%4.6%0.0%0.0%16.7%3.2%2.3%-317.1M-2.18B-46.4M2.864.9871,383203,8872,049,5423,930,248
2007-01-05$76.73$78.0017.4%5.5%0.0%0.0%19.4%4.6%1.2%-524.0M1.19B-47.7M4.829.1758,256281,0582,074,2133,987,822
2007-01-08$76.43$78.0017.6%5.6%0.0%0.0%19.3%5.1%1.4%-521.2M414.3M-45.7M4.278.5847,506202,9742,086,9834,038,895
2007-01-09$77.15$78.0016.8%5.3%0.0%0.0%19.5%4.2%1.8%-519.7M159.2M-45.7M2.237.6179,258176,6842,102,8144,044,780
2007-01-10$77.75$78.0014.5%5.0%0.0%0.0%18.9%4.2%2.4%-545.8M-567.5M-45.6M2.009.4390,494181,4282,153,5054,119,416
2007-01-11$78.23$78.0016.9%4.9%0.0%0.0%17.3%4.0%2.5%-317.2M-2.37B-45.8M1.368.8695,416129,7242,196,1074,149,544
2007-01-12$78.98$78.0016.1%4.6%0.0%0.0%16.6%3.8%2.4%-91.7M-4.52B-44.9M1.718.35124,652213,7282,246,5334,187,641
2007-01-16$78.45$78.0017.5%5.0%0.0%0.0%17.5%3.7%1.6%-284.2M-2.91B-45.0M2.748.7278,159214,3002,268,8224,269,736
2007-01-17$78.11$78.0017.2%4.9%0.0%0.0%17.9%3.8%1.7%-423.1M-2.24B-45.3M2.746.6962,344171,0952,266,4864,335,685
2007-01-18$77.46$78.0018.0%5.2%0.0%0.0%18.0%4.3%1.7%-790.0M569.5M-46.0M2.277.61102,934234,0182,266,4574,364,923
2007-01-19$77.76$78.0016.3%4.7%0.0%0.0%17.0%3.7%1.9%-635.6M-945.7M-44.9M1.959.87126,389246,6862,288,6924,388,347
2007-01-22$77.19$78.0017.3%5.0%0.0%0.0%17.2%3.4%1.2%-374.7M1.49B-44.6M3.576.5258,519209,0951,377,5092,525,876
2007-01-23$77.92$78.0015.9%4.6%0.0%0.0%16.6%3.5%1.5%-341.8M479.3M-44.8M2.848.8963,972181,6211,404,9382,626,058
2007-01-24$78.77$78.0014.8%4.2%0.0%0.0%15.8%3.0%1.8%-247.8M-1.01B-44.5M2.428.7256,559136,6791,448,8072,712,104
2007-01-25$77.78$78.0016.4%4.7%15.4%0.0%16.4%3.3%1.2%-394.2M894.8M-46.3M2.676.0678,242209,0811,458,6142,751,067
2007-01-26$78.07$78.0015.6%4.5%14.9%0.0%15.7%3.3%1.3%-410.4M590.6M-46.5M2.277.7057,770131,1771,468,6882,842,318
2007-01-29$78.75$78.0016.3%4.7%14.9%0.0%16.5%3.8%1.0%-299.3M-693.6M-46.1M2.307.5086,276198,1251,504,5702,881,857
2007-01-30$79.18$78.0016.0%4.6%14.5%0.0%16.6%4.0%0.9%-250.0M-1.47B-46.9M2.247.3450,318112,5591,571,7833,035,927
2007-01-31$79.35$78.0015.3%4.4%14.1%0.0%15.4%4.0%1.3%-219.5M-1.82B-46.1M1.457.1469,540100,9001,596,1313,017,411