IWM Options History — May 2007

In May 2007, IWM traded between $80.78 and $84.20. ATM implied volatility averaged 17.3%. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.5% (HV 20d: 13.8%). Max pain ranged from $81.00 to $83.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.88.

Notable Days

  • 2007-05-15: Highest Volume — 1,008,808 contracts
  • 2007-05-10: Largest IV spike — 14.3% change
  • 2007-05-15: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.33$80.78$84.20$81.14$84.20
Max Pain$82.09$81.00$83.00$81.00$82.00
ATM IV17.3%15.0%19.3%17.6%17.6%
Expected Move5.0%4.7%5.5%5.0%5.0%
HV 20d13.8%12.7%15.3%12.7%12.8%
HV 60d17.0%13.5%18.3%17.5%13.5%
Term Structure0.3%-0.7%1.0%0.5%-0.6%
VWIV18.6%17.1%20.1%18.2%18.3%
Skew 25d5.2%4.3%6.0%4.3%5.2%
Skew 10d10.3%8.6%11.8%9.0%10.1%
Call IV 25d15.2%14.3%16.5%15.7%15.3%
Put IV 25d20.4%18.6%22.3%20.0%20.6%
Bid-Ask Spread %5.633.5510.553.618.35
Gamma HHI0.090.070.170.070.08
Net GEX-620.9M-1.22B-266.5M-561.5M-490.3M
Net DEX-561.0M-3.61B4.33B912.1M-2.87B
Net VEX-72.2M-77.0M-68.1M-72.3M-73.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.881.324.752.421.92
Total Volume555,836.182250,3011,008,808640,998690,253
Total OI7,563,391.8646,067,2028,893,4497,227,0797,232,750

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$81.14$81.0017.6%5.0%12.7%0.0%18.2%4.3%0.5%-561.5M912.1M-72.3M2.423.61187,384453,6142,467,1794,759,900
2007-05-02$82.15$81.0016.6%4.8%12.9%0.0%17.5%4.3%0.6%-374.8M-2.22B-71.4M2.783.94105,618293,9352,520,7774,920,373
2007-05-03$82.29$81.0016.6%4.8%12.9%0.0%18.0%4.4%0.8%-393.0M-2.26B-71.1M4.414.1251,293226,1352,522,7514,935,082
2007-05-04$82.87$82.0015.0%4.8%13.1%0.0%18.6%5.8%0.6%-294.1M-3.61B-69.9M2.564.0985,801219,3482,527,6425,020,699
2007-05-07$82.59$82.0015.3%4.9%13.2%0.0%18.7%5.9%0.7%-266.5M-3.57B-68.1M2.743.5566,864183,4372,581,4465,071,256
2007-05-08$82.29$82.0017.2%5.2%13.3%0.0%19.0%5.8%0.5%-384.3M-2.35B-68.9M2.894.95103,132298,2962,596,4545,146,620
2007-05-09$82.62$82.0016.1%4.9%13.0%0.0%18.8%5.7%0.7%-355.3M-2.86B-69.7M3.325.19125,720417,3372,615,2715,223,664
2007-05-10$81.54$82.0018.4%5.3%13.9%0.0%19.6%6.0%0.7%-609.5M263.9M-71.7M3.755.84161,323605,2452,668,9125,355,974
2007-05-11$82.30$83.0017.7%5.1%14.0%0.0%19.7%5.7%1.0%-551.9M-1.78B-71.1M2.234.98144,012321,8662,721,7215,533,020
2007-05-14$81.70$83.0018.8%5.4%13.5%0.0%19.5%6.0%0.6%-751.9M758.6M-70.6M1.323.93396,417521,7852,754,7675,667,171
2007-05-15$80.98$83.0019.3%5.5%13.8%0.0%19.4%5.8%0.3%-1.14B3.89B-74.0M2.436.16293,912714,8962,853,4045,792,484
2007-05-16$81.43$83.0018.6%5.3%13.9%0.0%18.5%5.0%0.6%-1.05B1.90B-75.7M2.895.60193,216558,6402,945,1165,940,629
2007-05-17$80.78$82.0018.6%5.3%14.0%0.0%19.5%5.2%0.8%-1.22B4.33B-74.6M3.254.81116,097376,7312,948,2225,945,227
2007-05-18$81.73$82.0017.5%5.0%14.0%0.0%18.7%4.8%0.3%-1.13B-416.4M-72.5M2.294.87227,730521,1172,958,5515,866,290
2007-05-21$82.76$82.0016.5%4.7%14.8%0.0%17.7%4.9%0.3%-502.2M-562.3M-70.7M2.044.19160,753328,1921,959,4084,107,794
2007-05-22$83.33$82.0016.3%4.7%14.9%0.0%17.7%4.3%0.7%-475.1M-1.58B-70.2M2.895.92141,401407,9822,011,1554,223,908
2007-05-23$83.00$83.0016.5%4.7%15.0%0.0%17.1%4.5%0.3%-544.1M-750.1M-72.8M3.254.83132,181429,3962,082,4944,334,167
2007-05-24$82.00$82.0018.3%5.3%15.3%0.0%19.1%5.5%-0.5%-717.3M2.34B-76.8M2.5710.55178,937460,1342,153,7894,504,906
2007-05-25$82.50$82.0018.0%5.2%15.2%0.0%20.1%5.5%-0.5%-698.5M1.13B-77.0M3.908.4491,236356,2242,230,9994,621,433
2007-05-29$83.33$82.0017.5%5.0%13.4%0.0%17.8%5.0%-0.4%-621.0M-892.2M-73.5M4.757.5564,641307,0272,270,3564,762,561
2007-05-30$83.80$82.0016.9%4.8%13.4%0.0%18.2%5.4%-0.7%-530.6M-2.15B-72.8M2.848.45132,623376,5152,275,6304,762,669
2007-05-31$84.20$82.0017.6%5.0%12.8%0.0%18.3%5.2%-0.6%-490.3M-2.87B-73.2M1.928.35236,027454,2262,322,7354,910,015