IWM Options History — February 2007 In February 2007, IWM traded between $78.05 and $82.39. ATM implied volatility averaged 15.2%. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.3% (HV 20d: 11.9%). Max pain ranged from $78.00 to $81.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 2.82.
Notable Days 2007-02-27 : Highest Volume — 1,259,546 contracts2007-02-27 : Largest IV spike — 42.1% change2007-02-27 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $80.73 $78.05 $82.39 $80.20 $78.83 Max Pain $79.74 $78.00 $81.00 $78.00 $79.00 ATM IV 15.2% 13.4% 21.0% 14.4% 19.6% Expected Move 4.5% 3.9% 6.0% 4.1% 5.6% HV 20d 11.9% 8.3% 19.2% 14.2% 19.2% Term Structure 0.4% -1.2% 1.9% 1.9% -0.4% VWIV 16.3% 14.1% 21.2% 15.6% 20.4% Skew 25d 4.0% 3.1% 5.8% 3.7% 5.2% Skew 10d 7.5% 6.3% 10.2% 7.6% 10.2% Call IV 25d 13.6% 11.7% 17.9% 12.5% 17.4% Put IV 25d 17.6% 14.9% 23.7% 16.2% 22.6% Bid-Ask Spread % 7.06 2.66 14.01 7.71 7.23 Gamma HHI 0.10 0.08 0.16 0.10 0.10 Net GEX -197.6M -803.2M 71.4M -72.4M -803.2M Net DEX -2.51B -5.02B 5.96B -3.50B 5.96B Net VEX -52.5M -71.4M -43.9M -44.4M -71.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.82 1.30 6.46 3.83 1.40 Total Volume 452,158.474 137,440 1,259,546 259,634 846,390 Total OI 5,315,776.158 4,536,512 6,319,381 4,668,578 6,027,831
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 Vol Put Vol Call OI Put OI 2007-02-01 $80.20 $78.00 14.4% 4.1% 14.2% 0.0% 15.6% 3.7% 1.9% -72.4M -3.50B -44.4M 3.83 7.71 53,736 205,898 1,615,915 3,052,663 2007-02-02 $80.25 $80.00 13.5% 4.6% 14.2% 0.0% 16.9% 4.3% 0.3% -70.1M -3.66B -44.3M 4.45 12.55 50,743 225,928 1,634,082 3,147,095 2007-02-05 $80.24 $80.00 15.1% 4.7% 11.5% 0.0% 16.7% 4.0% 0.6% -182.0M -3.08B -45.1M 1.50 13.19 92,221 138,765 1,643,516 3,289,903 2007-02-06 $80.44 $80.00 14.1% 4.7% 11.3% 0.0% 16.8% 4.4% -0.0% -84.2M -3.74B -44.7M 3.76 12.60 54,336 204,169 1,687,786 3,312,521 2007-02-07 $81.18 $80.00 13.4% 4.4% 11.3% 0.0% 17.0% 4.4% 0.3% 21.7M -5.02B -43.9M 3.23 11.88 69,708 225,101 1,701,313 3,403,498 2007-02-08 $81.05 $80.00 15.5% 4.4% 11.2% 0.0% 16.0% 3.9% 0.4% -9.1M -4.79B -44.9M 3.15 10.30 33,084 104,356 1,722,685 3,465,968 2007-02-09 $80.22 $80.00 16.1% 4.6% 11.9% 0.0% 16.2% 3.8% 0.4% -245.0M -2.88B -47.5M 2.05 4.03 170,061 348,995 1,730,259 3,549,293 2007-02-12 $80.02 $80.00 16.4% 4.7% 11.5% 0.0% 18.5% 3.6% 0.4% -293.1M -2.37B -50.3M 2.24 3.96 165,906 371,231 1,826,111 3,746,759 2007-02-13 $80.68 $80.00 15.4% 4.4% 11.5% 0.0% 15.2% 3.5% 0.4% -103.7M -3.89B -50.8M 2.35 3.87 94,837 223,146 1,882,356 3,861,890 2007-02-14 $80.75 $80.00 15.3% 4.4% 11.3% 0.0% 16.0% 3.6% 0.6% -86.2M -4.05B -51.2M 1.72 3.79 327,499 564,177 1,923,864 3,947,110 2007-02-15 $80.77 $80.00 14.9% 4.3% 10.7% 0.0% 15.0% 3.4% 0.7% -146.1M -3.86B -54.0M 1.64 4.01 159,566 262,100 1,994,288 4,123,775 2007-02-16 $81.17 $80.00 14.0% 4.0% 10.7% 0.0% 14.1% 3.2% 0.7% 71.4M -4.98B -55.1M 1.50 3.76 141,690 212,618 2,068,113 4,251,268 2007-02-20 $81.90 $81.00 13.6% 3.9% 10.3% 0.0% 14.3% 3.4% 0.4% -188.6M -2.79B -53.2M 1.30 3.46 149,726 194,679 1,495,960 3,040,552 2007-02-21 $82.10 $81.00 13.8% 3.9% 10.1% 0.0% 14.1% 3.1% 0.4% -152.3M -3.20B -54.3M 4.15 2.66 63,872 265,071 1,597,247 3,144,134 2007-02-22 $82.39 $79.00 14.0% 4.0% 9.6% 0.0% 14.5% 3.8% 0.5% -183.3M -3.28B -54.7M 1.36 4.80 188,118 256,505 1,617,314 3,271,011 2007-02-23 $81.95 $79.00 14.5% 4.1% 8.3% 0.0% 15.4% 4.0% 0.5% -237.3M -2.56B -58.3M 6.46 4.73 68,907 444,965 1,738,915 3,424,975 2007-02-26 $81.75 $79.00 14.8% 4.2% 8.5% 0.0% 15.2% 4.0% 0.4% -339.4M -1.75B -61.5M 2.65 5.54 96,864 256,497 1,792,751 3,671,551 2007-02-27 $78.05 $79.00 21.0% 6.0% 19.0% 0.0% 21.2% 5.8% -1.2% -652.6M 5.76B -67.5M 4.73 14.01 219,640 1,039,906 1,844,784 3,750,691 2007-02-28 $78.83 $79.00 19.6% 5.6% 19.2% 0.0% 20.4% 5.2% -0.4% -803.2M 5.96B -71.4M 1.40 7.23 353,146 493,244 1,908,785 4,119,046
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