IWM Options History — July 2007

In July 2007, IWM traded between $76.63 and $85.74. ATM implied volatility averaged 20.8%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.1% (HV 20d: 18.7%). Max pain ranged from $83.00 to $84.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.85.

Notable Days

  • 2007-07-26: Highest Volume — 1,902,167 contracts
  • 2007-07-10: Largest IV spike — 46.4% change
  • 2007-07-26: Highest IV Rank — 100.0%
  • 2007-07-27: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.67$76.63$85.74$83.99$77.10
Max Pain$83.38$83.00$84.00$84.00$83.00
ATM IV20.8%13.7%29.6%18.1%27.9%
Expected Move6.1%5.0%8.5%5.2%8.0%
HV 20d18.7%16.1%22.4%18.4%21.8%
HV 60d16.1%14.7%18.1%14.8%18.1%
IV Rank56.9%2.6%100.0%35.3%89.8%
IV Percentile79.7%2.3%100.0%68.3%99.3%
Term Structure1.3%-1.2%2.5%2.2%-0.1%
VWIV22.0%18.5%28.9%18.7%27.2%
Skew 25d6.0%4.7%6.9%5.0%6.9%
Skew 10d11.2%8.7%12.7%11.3%11.5%
Call IV 25d18.5%15.3%26.9%16.1%24.5%
Put IV 25d24.5%20.0%33.8%21.1%31.4%
Bid-Ask Spread %4.383.147.344.156.40
Gamma HHI0.090.080.260.080.08
Net GEX-811.2M-1.50B-448.4M-723.5M-1.10B
Net DEX4.77B-3.56B21.31B1.29B19.30B
Net VEX-82.8M-97.1M-63.1M-82.1M-91.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.851.843.632.743.61
Total Volume743,782.429219,7801,902,167312,8051,197,032
Total OI8,096,779.9056,568,3159,008,4547,483,3278,987,788

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$83.99$84.0018.1%5.2%18.4%0.0%18.7%5.0%2.2%-723.5M1.29B-82.1M2.744.1583,714229,0912,301,3105,182,017
2007-07-03$84.36$84.0017.8%5.1%18.4%0.0%18.5%4.8%2.2%-733.9M1.34B-97.1M3.583.7447,951171,8292,353,4985,736,170
2007-07-05$84.47$84.0017.9%5.1%17.9%35.3%19.1%4.7%2.1%-658.1M-155.2M-79.5M2.994.4667,548201,9362,323,7875,263,091
2007-07-06$84.80$83.0015.6%5.3%16.2%17.2%20.9%6.1%1.4%-596.5M-1.21B-77.9M3.153.95110,026347,0042,330,4265,297,380
2007-07-09$85.74$83.0013.7%5.0%16.1%2.6%18.9%4.7%1.8%-448.4M-3.56B-68.0M3.373.9752,857178,0132,372,6905,326,622
2007-07-10$83.21$83.0020.1%6.1%19.6%52.6%21.6%6.7%0.8%-875.8M3.17B-80.1M2.674.55164,669439,0092,383,5945,310,877
2007-07-11$83.83$83.0018.4%5.7%18.7%39.2%21.1%6.4%1.6%-798.3M1.84B-79.6M3.194.27159,013507,1502,420,1275,434,031
2007-07-12$84.82$83.0019.0%5.4%18.6%44.1%20.7%6.4%1.8%-624.7M-815.7M-81.8M3.014.90156,214470,2352,508,3435,732,718
2007-07-13$84.94$83.0018.3%5.2%18.4%38.3%19.1%5.9%2.5%-509.7M-1.51B-81.4M1.843.92133,214245,6062,573,7225,853,239
2007-07-16$84.48$83.0019.9%5.7%18.1%51.3%21.1%6.3%1.8%-695.0M359.4M-82.2M3.213.57150,179482,1172,620,2185,924,900
2007-07-17$84.57$83.0018.8%5.4%18.1%42.8%20.6%6.3%2.2%-718.2M31.7M-82.2M2.214.24151,710335,3402,681,8386,131,516
2007-07-18$84.24$84.0019.7%5.6%18.1%49.5%20.5%6.0%2.2%-949.4M1.33B-82.7M2.383.37166,231396,4152,710,5116,216,291
2007-07-19$84.58$84.0018.8%5.4%16.9%42.9%20.6%6.1%2.1%-574.8M-522.9M-80.7M2.614.79138,651362,2362,764,8346,146,860
2007-07-20$83.20$84.0021.4%6.1%17.9%63.3%21.7%6.0%1.9%-1.50B4.69B-83.0M2.694.22381,0641,023,8542,764,3516,244,103
2007-07-23$82.98$84.0021.4%6.1%17.7%63.3%21.5%5.9%1.6%-743.0M4.75B-86.7M2.593.1494,315243,9442,244,2105,118,661
2007-07-24$81.00$84.0024.4%7.0%19.6%86.7%23.8%6.4%0.4%-884.9M9.69B-87.9M3.153.82298,329938,9812,290,2775,173,567
2007-07-25$80.70$83.0023.7%6.8%19.4%81.1%23.8%5.9%0.4%-1.02B11.02B-91.1M2.033.75347,377704,5102,415,2655,534,361
2007-07-26$78.46$83.0026.9%7.7%19.8%100.0%26.2%5.6%-0.8%-1.07B16.35B-89.2M3.635.18411,1631,491,0042,498,3935,611,288
2007-07-27$76.63$83.0029.6%8.5%21.1%100.0%28.9%6.9%-1.2%-1.07B21.31B-90.2M2.737.34343,981937,6642,621,6896,059,500
2007-07-30$77.96$83.0026.5%7.6%22.4%80.9%26.9%6.6%-0.1%-741.1M11.41B-63.1M2.584.17351,744906,5112,400,7474,167,568
2007-07-31$77.10$83.0027.9%8.0%21.8%89.8%27.2%6.9%-0.1%-1.10B19.30B-91.3M3.616.40259,776937,2562,819,4926,168,296