IWM Options History — June 2007

In June 2007, IWM traded between $81.51 and $84.79. ATM implied volatility averaged 18.7%. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.0% (HV 20d: 15.6%). Max pain ranged from $82.00 to $84.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.59.

Notable Days

  • 2007-06-27: Highest Volume — 1,245,910 contracts
  • 2007-06-12: Largest IV spike — 17.5% change
  • 2007-06-26: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.28$81.51$84.79$84.70$82.96
Max Pain$83.43$82.00$84.00$82.00$84.00
ATM IV18.7%16.9%20.9%17.0%20.0%
Expected Move5.4%4.9%6.0%4.9%5.7%
HV 20d15.6%12.8%17.9%12.9%17.8%
HV 60d13.6%13.1%14.6%13.5%14.6%
Term Structure0.8%-0.8%1.9%-0.3%1.6%
VWIV19.4%17.4%21.1%21.1%20.5%
Skew 25d4.7%4.1%5.4%5.0%5.3%
Skew 10d9.6%7.1%11.3%11.3%10.7%
Call IV 25d16.8%15.0%19.2%15.4%17.9%
Put IV 25d21.6%19.4%23.9%20.4%23.2%
Bid-Ask Spread %5.553.1010.6710.676.77
Gamma HHI0.090.080.120.080.08
Net GEX-837.9M-1.54B-320.3M-320.3M-782.8M
Net DEX2.05B-4.75B8.66B-4.59B4.40B
Net VEX-81.4M-87.1M-69.4M-72.2M-84.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.814.592.424.29
Total Volume687,745.286279,6971,245,910718,548531,880
Total OI8,338,0257,226,6819,382,9087,422,7347,226,681

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$84.70$82.0017.0%4.9%12.9%0.0%21.1%5.0%-0.3%-320.3M-4.59B-72.2M2.4210.67210,208508,3402,456,1644,966,570
2007-06-04$84.79$82.0017.3%5.0%12.8%0.0%17.5%4.9%-0.6%-346.5M-4.75B-72.8M2.835.02146,610414,3932,529,8435,171,412
2007-06-05$84.45$82.0018.4%5.3%12.8%0.0%18.7%4.8%-0.8%-474.0M-3.22B-74.2M1.697.06259,276438,1962,562,0065,256,943
2007-06-06$83.51$82.0018.6%5.3%13.4%0.0%20.4%5.4%-0.5%-779.8M439.6M-82.0M4.597.50127,347584,5252,717,1025,500,437
2007-06-07$81.84$82.0019.9%5.9%15.3%0.0%21.0%5.2%-0.3%-1.30B7.08B-86.0M4.419.68198,485876,1452,770,9455,777,791
2007-06-08$82.85$82.0016.9%5.4%15.2%0.0%19.7%4.8%-0.5%-1.17B3.67B-87.1M3.749.13204,468765,6172,861,9646,083,122
2007-06-11$82.87$84.0017.7%5.2%14.8%0.0%19.1%4.8%1.0%-1.17B4.11B-69.4M2.554.70168,099428,8672,532,6225,573,041
2007-06-12$81.51$84.0020.8%5.6%15.8%0.0%20.5%4.8%0.8%-1.54B8.66B-85.2M2.845.21222,377630,5812,943,6606,134,093
2007-06-13$82.59$84.0019.7%5.1%16.1%0.0%18.5%4.5%1.2%-1.27B3.93B-83.9M2.224.84269,704598,7793,000,7196,113,331
2007-06-14$83.34$84.0017.7%5.1%16.3%0.0%18.6%4.6%1.2%-1.02B940.1M-83.1M2.955.48172,354508,8013,032,8256,291,823
2007-06-15$84.33$84.0017.5%5.0%16.3%0.0%18.0%4.8%1.5%-322.3M-3.46B-81.4M1.995.22255,128506,6443,054,2856,328,623
2007-06-18$84.17$84.0017.3%5.0%16.0%0.0%17.8%4.5%1.6%-557.2M-577.7M-81.2M2.603.8993,842243,7062,512,5685,249,120
2007-06-19$84.39$84.0017.0%4.9%15.4%0.0%17.4%4.4%1.6%-513.9M-1.26B-80.2M1.873.7897,341182,3562,553,6605,332,178
2007-06-20$82.93$84.0018.6%5.3%16.6%0.0%19.0%4.4%1.4%-769.0M3.09B-83.6M2.543.72193,354491,6752,584,0585,363,612
2007-06-21$83.49$84.0019.0%5.4%16.7%0.0%19.0%4.3%1.4%-764.0M2.14B-84.1M2.014.08179,422360,9432,612,9405,544,760
2007-06-22$82.92$84.0019.8%5.7%16.3%0.0%20.3%4.1%1.2%-933.8M4.55B-86.0M1.793.10230,413411,8142,669,5435,632,449
2007-06-25$82.49$84.0020.7%5.9%16.3%0.0%20.5%4.4%1.0%-1.01B5.90B-85.6M1.904.08224,614426,8032,739,3815,788,168
2007-06-26$81.74$84.0020.9%6.0%16.1%0.0%20.7%4.8%1.0%-1.02B6.90B-84.5M2.593.3299,429257,4332,768,1055,745,044
2007-06-27$83.55$84.0018.3%5.3%17.9%0.0%20.3%4.7%1.9%-808.8M2.29B-81.5M0.815.57687,259558,6512,771,6515,765,103
2007-06-28$83.42$84.0019.3%5.5%17.8%0.0%19.7%5.0%1.6%-716.7M2.86B-82.1M1.843.62237,890438,8822,675,1975,904,986
2007-06-29$82.96$84.0020.0%5.7%17.8%0.0%20.5%5.3%1.6%-782.8M4.40B-84.0M4.296.77100,633431,2472,281,0304,945,651