IWM Options History — March 2007

In March 2007, IWM traded between $75.17 and $80.34. ATM implied volatility averaged 20.3%. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 3.4% (HV 20d: 23.7%). Max pain ranged from $78.00 to $80.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 3.25.

Notable Days

  • 2007-03-14: Highest Volume — 1,185,013 contracts
  • 2007-03-13: Largest IV spike — 26.3% change
  • 2007-03-05: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.34$75.17$80.34$78.43$79.51
Max Pain$79.45$78.00$80.00$79.00$80.00
ATM IV20.3%17.0%26.1%20.8%17.6%
Expected Move5.8%4.9%7.5%6.0%5.1%
HV 20d23.7%19.1%26.9%19.3%19.1%
HV 60d18.6%17.9%19.1%18.5%17.9%
Term Structure0.5%-1.5%2.1%-1.0%2.1%
VWIV21.1%17.9%25.0%22.5%20.2%
Skew 25d6.1%5.2%7.2%5.5%6.7%
Skew 10d11.6%9.3%12.8%10.3%12.6%
Call IV 25d17.1%14.1%22.6%17.8%15.3%
Put IV 25d23.3%19.8%29.8%23.4%22.0%
Bid-Ask Spread %7.073.8920.1310.004.50
Gamma HHI0.100.080.120.090.09
Net GEX-806.2M-1.19B-379.3M-774.8M-526.8M
Net DEX5.92B-523.9M14.27B6.66B2.53B
Net VEX-74.3M-76.8M-71.1M-72.6M-76.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.251.205.983.343.61
Total Volume612,468.5260,1651,185,013890,721378,880
Total OI7,280,399.7276,220,3018,292,4686,220,3016,565,226

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$78.43$79.0020.8%6.0%19.3%0.0%22.5%5.5%-1.0%-774.8M6.66B-72.6M3.3410.00205,460685,2612,039,0514,181,250
2007-03-02$76.80$79.0023.0%6.6%20.1%0.0%23.0%6.3%-0.8%-816.7M9.64B-73.8M2.689.91230,913618,8762,117,5854,319,050
2007-03-05$75.17$79.0026.1%7.5%21.2%0.0%25.0%7.2%-1.5%-883.2M14.27B-71.1M2.8220.13289,132815,2782,224,4244,535,683
2007-03-06$77.07$79.0022.1%6.3%23.4%0.0%22.7%6.2%-1.1%-910.3M9.02B-74.7M2.268.62274,809622,2532,364,4984,603,514
2007-03-07$76.97$79.0021.6%6.2%23.4%0.0%24.5%5.5%-0.6%-1.04B10.73B-76.3M5.987.4884,947507,8542,390,2624,879,707
2007-03-08$78.01$78.0021.9%6.2%23.7%0.0%22.8%5.7%-1.5%-982.2M8.21B-76.2M4.0115.93106,309425,8322,408,0754,852,511
2007-03-09$78.26$78.0019.4%5.7%23.8%0.0%22.5%5.2%-0.5%-1.09B7.48B-76.4M3.9610.57102,219404,4762,453,4785,066,441
2007-03-12$78.40$80.0020.6%5.6%23.6%0.0%20.6%6.0%0.4%-1.09B6.75B-73.6M4.736.2845,417214,7482,478,1755,089,715
2007-03-13$76.39$80.0026.1%6.5%25.2%0.0%22.5%6.7%-0.3%-1.19B12.35B-72.2M4.105.88149,504613,4022,486,8705,030,130
2007-03-14$77.20$80.0022.3%6.2%25.3%0.0%22.3%6.5%0.4%-1.17B10.02B-73.2M3.705.46251,918933,0952,534,1705,104,701
2007-03-15$77.87$80.0019.7%5.7%25.6%0.0%20.9%5.8%0.8%-1.09B8.05B-73.3M4.333.89168,055727,7842,578,5135,159,418
2007-03-16$77.37$80.0021.6%6.2%25.6%0.0%21.7%6.4%0.3%-1.08B9.88B-76.0M3.704.49120,871446,7742,730,4375,562,031
2007-03-19$78.25$80.0020.5%5.9%26.0%0.0%21.0%6.5%0.6%-677.3M4.89B-74.6M1.665.23122,823203,7492,071,4054,749,610
2007-03-20$78.84$79.0018.7%5.3%25.9%0.0%19.7%6.3%1.2%-600.2M3.17B-73.1M1.204.23130,754157,2552,125,7604,761,783
2007-03-21$80.34$79.0017.5%5.0%26.9%0.0%19.5%6.1%1.3%-379.3M-419.4M-71.3M2.695.27245,267660,1922,205,6094,789,822
2007-03-22$80.27$79.0017.0%4.9%26.8%0.0%18.1%5.8%1.8%-472.9M-402.1M-74.5M1.634.67190,005310,1832,337,3435,111,199
2007-03-23$80.24$80.0017.0%4.9%26.8%0.0%18.3%5.8%2.0%-406.9M-523.9M-74.4M2.424.3690,677219,5882,349,5645,142,208
2007-03-26$80.07$80.0017.3%5.0%26.8%0.0%17.9%5.8%1.8%-503.0M286.9M-73.6M2.474.4197,222240,2612,383,1435,203,745
2007-03-27$79.63$80.0017.2%4.9%20.9%0.0%18.6%5.9%2.0%-596.7M1.26B-74.4M3.455.1769,401239,7652,377,0035,247,238
2007-03-28$79.22$80.0019.5%5.6%20.8%0.0%20.1%6.3%1.2%-715.1M3.26B-76.2M3.704.11147,603545,8892,393,7355,324,228
2007-03-29$79.18$80.0019.1%5.5%20.7%0.0%19.9%6.7%1.5%-738.1M3.16B-76.8M3.064.9293,547286,0592,406,0485,434,436
2007-03-30$79.51$80.0017.6%5.1%19.1%0.0%20.2%6.7%2.1%-526.8M2.53B-76.6M3.614.5082,260296,6202,134,8224,430,404