IWM Options History — April 2007

In April 2007, IWM traded between $79.75 and $83.17. ATM implied volatility averaged 15.6%. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.1% (HV 20d: 11.5%). Max pain ranged from $80.00 to $81.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.54.

Notable Days

  • 2007-04-16: Highest Volume — 593,501 contracts
  • 2007-04-30: Largest IV spike — 18.3% change
  • 2007-04-11: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.44$79.75$83.17$79.75$80.74
Max Pain$80.20$80.00$81.00$80.00$81.00
ATM IV15.6%14.1%17.7%17.6%17.7%
Expected Move4.6%4.1%5.2%5.1%5.1%
HV 20d11.5%8.5%17.0%17.0%12.6%
HV 60d17.2%16.9%17.9%17.9%17.5%
Term Structure1.6%0.4%3.1%2.1%0.4%
VWIV17.1%14.8%19.6%19.6%18.4%
Skew 25d5.3%3.8%6.9%6.2%4.7%
Skew 10d11.0%7.7%13.9%12.3%8.8%
Call IV 25d13.6%12.0%15.9%15.2%15.9%
Put IV 25d18.9%16.6%21.7%21.4%20.6%
Bid-Ask Spread %4.273.545.094.334.67
Gamma HHI0.080.070.090.090.07
Net GEX-333.5M-607.4M-1.8M-551.3M-588.8M
Net DEX-1.86B-5.75B2.17B2.17B1.45B
Net VEX-68.5M-74.8M-63.7M-74.8M-71.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.540.855.302.993.89
Total Volume369,549.55186,399593,501286,262551,651
Total OI7,104,912.856,333,1117,923,6366,675,2507,078,301

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$79.75$80.0017.6%5.1%17.0%0.0%19.6%6.2%2.1%-551.3M2.17B-74.8M2.994.3371,737214,5252,151,7484,523,502
2007-04-03$80.53$80.0015.1%4.3%15.1%0.0%18.0%5.7%3.1%-450.0M165.6M-73.3M3.034.25107,970327,2522,178,7434,615,571
2007-04-04$80.57$80.0014.7%4.2%15.1%0.0%16.9%5.9%3.1%-489.0M371.1M-73.0M1.683.7391,883154,5102,199,7094,671,601
2007-04-05$80.44$80.0015.3%4.4%14.5%0.0%14.8%5.6%2.9%-502.1M62.3M-72.5M2.634.0563,162165,8002,219,1784,685,995
2007-04-09$80.57$80.0014.9%5.1%14.5%0.0%18.4%6.9%1.0%-481.8M-35.9M-69.9M1.253.63111,151138,4912,229,4614,730,527
2007-04-10$80.80$80.0014.1%4.9%14.5%0.0%18.4%6.5%1.3%-460.6M-804.3M-70.4M5.303.9652,259277,1172,296,3904,786,827
2007-04-11$80.30$80.0015.3%5.2%10.8%0.0%19.5%6.4%1.0%-607.4M1.14B-71.3M1.404.07168,783236,4632,305,0714,867,550
2007-04-12$80.84$80.0016.6%4.7%10.5%0.0%18.7%6.2%1.4%-466.0M-602.9M-70.0M3.933.5467,249264,0792,354,5984,901,013
2007-04-13$81.40$80.0016.4%4.7%10.4%0.0%17.3%6.1%1.3%-340.3M-2.18B-68.2M3.043.6579,973243,4882,362,2334,989,444
2007-04-16$82.45$80.0015.2%4.4%10.5%0.0%16.7%5.2%1.9%-1.8M-5.75B-63.7M2.074.38193,416400,0852,400,7175,043,152
2007-04-17$82.26$80.0015.2%4.4%10.2%0.0%15.8%5.1%1.8%-63.6M-5.33B-64.9M1.874.14100,359187,1822,501,3815,219,383
2007-04-18$81.78$80.0015.1%4.3%10.4%0.0%15.6%4.9%1.7%-238.3M-3.49B-66.1M0.915.09180,242163,7502,515,3555,249,635
2007-04-19$81.36$80.0016.7%4.8%8.5%0.0%17.5%5.0%1.4%-391.0M-2.04B-67.2M2.234.75151,637338,1372,539,8815,274,398
2007-04-20$82.31$80.0015.5%4.4%9.4%0.0%15.1%5.0%1.9%-23.9M-5.62B-64.7M0.854.94303,783259,2082,555,3245,368,312
2007-04-23$82.21$80.0015.6%4.5%9.4%0.0%16.1%4.7%1.2%-209.1M-2.82B-64.6M2.334.0791,075211,7532,164,6464,168,465
2007-04-24$82.29$80.0016.0%4.6%9.3%0.0%18.0%4.6%1.0%-230.4M-2.44B-65.6M2.863.96115,221329,7242,204,7934,273,831
2007-04-25$82.53$81.0015.1%4.3%9.0%0.0%16.3%4.3%1.2%-218.9M-3.03B-66.1M1.244.82147,252182,1992,257,2964,428,825
2007-04-26$83.17$81.0014.4%4.1%8.8%0.0%15.5%3.8%1.7%-131.0M-4.78B-65.0M2.924.7847,611138,7882,362,2044,474,115
2007-04-27$82.48$81.0015.0%4.3%9.5%0.0%15.5%3.9%1.6%-225.4M-3.61B-68.1M4.494.5784,133377,8932,392,6714,556,411
2007-04-30$80.74$81.0017.7%5.1%12.6%0.0%18.4%4.7%0.4%-588.8M1.45B-71.5M3.894.67112,823438,8282,439,6354,638,666