IWM Options History — August 2007

In August 2007, IWM traded between $75.20 and $79.63. ATM implied volatility averaged 29.0%, placing in the 80.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 1.9% (HV 20d: 27.0%). Max pain ranged from $78.00 to $83.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 2.33.

Notable Days

2007-08-16: Highest Volume — 2,252,184 contracts
2007-08-09: Largest IV spike — 31.5% change
2007-08-03: Highest IV Rank — 100.0%
2007-08-15: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.80	$75.20	$79.63	$77.52	$78.74
Max Pain	$80.22	$78.00	$83.00	$83.00	$83.00
ATM IV	29.0%	24.1%	33.5%	27.4%	28.7%
Expected Move	8.3%	6.9%	9.9%	7.9%	8.2%
HV 20d	27.0%	21.9%	30.0%	21.9%	26.4%
HV 60d	21.3%	18.2%	23.6%	18.2%	23.3%
IV Rank	80.9%	53.2%	100.0%	86.7%	75.9%
IV Percentile	95.3%	85.2%	100.0%	98.6%	92.8%
Term Structure	0.1%	-0.9%	1.1%	0.4%	-0.4%
VWIV	30.4%	26.1%	34.5%	28.8%	32.7%
Skew 25d	9.5%	6.2%	11.3%	7.4%	9.3%
Skew 10d	16.9%	10.5%	20.5%	12.5%	16.6%
Call IV 25d	24.7%	20.3%	29.2%	24.9%	24.6%
Put IV 25d	34.2%	28.5%	39.9%	32.2%	33.9%
Bid-Ask Spread %	6.23	3.43	9.85	5.65	9.85
Gamma HHI	0.08	0.07	0.14	0.08	0.07
Net GEX	-1.06B	-1.38B	-702.3M	-1.14B	-860.4M
Net DEX	15.43B	6.83B	26.85B	19.03B	9.44B
Net VEX	-103.3M	-111.2M	-89.3M	-95.5M	-106.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.33	1.09	4.28	3.01	2.08
Total Volume	942,248.435	352,151	2,252,184	1,105,440	352,151
Total OI	10,168,375.739	8,862,105	12,069,818	9,268,925	10,033,213

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2007-08-01	$77.52	$83.00	27.4%	7.9%	21.9%	86.7%	28.8%	7.4%	0.4%	-1.14B	19.03B	-95.5M	3.01	5.65	275,684	829,756	2,865,329	6,403,596
2007-08-02	$78.13	$82.00	25.2%	7.2%	22.2%	72.9%	26.2%	6.2%	1.0%	-1.22B	17.11B	-96.1M	2.17	5.52	184,670	400,980	2,917,197	6,522,820
2007-08-03	$75.38	$82.00	30.6%	8.8%	24.7%	100.0%	28.7%	7.3%	-0.7%	-1.12B	23.65B	-89.3M	4.28	8.29	267,715	1,146,132	2,961,992	6,522,066
2007-08-06	$76.03	$80.00	28.2%	8.0%	24.5%	86.4%	29.0%	8.8%	0.5%	-1.24B	23.23B	-90.8M	2.16	6.61	433,167	934,873	3,048,387	6,782,872
2007-08-07	$77.20	$79.00	25.4%	7.8%	23.9%	70.2%	27.1%	8.8%	0.3%	-1.27B	19.73B	-96.7M	2.24	7.16	306,352	685,128	3,240,660	6,935,221
2007-08-08	$79.55	$79.00	25.5%	7.6%	26.5%	70.5%	28.7%	9.2%	0.1%	-1.16B	12.17B	-104.8M	2.51	6.41	391,583	983,833	3,308,722	7,252,293
2007-08-09	$77.69	$79.00	33.5%	8.8%	26.9%	100.0%	32.5%	10.9%	-0.1%	-1.22B	18.52B	-108.8M	2.78	8.02	256,592	712,946	3,372,134	7,526,665
2007-08-10	$78.06	$79.00	31.3%	9.1%	27.0%	88.7%	33.8%	11.0%	-0.3%	-1.21B	15.60B	-110.6M	3.02	5.88	308,177	929,799	3,458,111	7,571,914
2007-08-13	$77.67	$79.00	30.7%	8.8%	27.0%	86.1%	31.3%	10.1%	0.1%	-1.35B	19.43B	-106.2M	2.78	5.19	232,280	645,670	3,555,235	7,793,198
2007-08-14	$76.31	$79.00	31.8%	9.4%	27.4%	91.6%	33.0%	10.1%	-0.1%	-1.38B	23.70B	-103.8M	2.17	4.57	343,588	744,320	3,613,064	7,856,345
2007-08-15	$75.20	$79.00	33.1%	9.9%	27.6%	98.2%	34.5%	10.7%	-0.1%	-1.36B	26.85B	-101.3M	1.97	5.81	543,797	1,068,674	3,687,817	7,927,716
2007-08-16	$76.75	$79.00	32.2%	9.2%	28.9%	93.2%	34.4%	11.3%	0.4%	-1.33B	20.91B	-106.7M	2.38	5.36	666,903	1,585,281	3,815,889	7,905,670
2007-08-17	$78.41	$78.00	31.7%	9.1%	30.0%	90.9%	33.2%	10.9%	1.1%	-1.09B	14.67B	-111.2M	1.67	6.92	518,523	866,829	3,988,039	8,081,779
2007-08-20	$78.47	$78.00	30.7%	8.8%	30.0%	86.0%	31.6%	10.6%	0.0%	-748.7M	10.05B	-106.6M	1.44	5.12	242,459	347,992	2,657,980	6,204,125
2007-08-21	$78.69	$78.00	28.5%	8.2%	29.0%	75.0%	30.6%	10.1%	0.5%	-746.4M	9.20B	-105.8M	1.76	3.43	243,875	428,312	2,761,657	6,263,674
2007-08-22	$79.63	$79.00	26.6%	7.6%	29.4%	65.4%	27.8%	9.8%	0.2%	-702.3M	6.83B	-104.4M	2.13	4.04	170,464	363,570	2,833,759	6,280,733
2007-08-23	$78.61	$79.00	26.3%	7.5%	27.9%	63.9%	27.8%	9.4%	0.6%	-808.4M	9.54B	-103.9M	2.50	5.52	207,306	518,093	2,850,037	6,358,442
2007-08-24	$79.63	$79.00	24.1%	6.9%	26.8%	53.2%	26.1%	8.8%	0.8%	-774.5M	7.10B	-104.9M	3.43	5.68	141,533	485,061	2,925,021	6,567,148
2007-08-27	$78.61	$83.00	26.7%	7.7%	26.7%	66.3%	31.4%	9.5%	-0.4%	-909.1M	10.49B	-105.1M	1.09	6.56	186,198	202,356	2,920,433	6,746,452
2007-08-28	$76.55	$83.00	30.5%	8.8%	28.1%	84.9%	29.6%	10.2%	-0.9%	-966.4M	15.42B	-103.9M	2.45	7.42	199,567	489,518	2,994,341	6,706,482
2007-08-29	$78.56	$83.00	27.8%	8.0%	29.5%	71.4%	29.3%	8.8%	-0.2%	-887.3M	10.48B	-106.3M	1.41	7.13	175,087	246,535	3,037,705	6,823,336
2007-08-30	$78.03	$83.00	30.2%	8.7%	29.5%	83.6%	30.2%	9.6%	-0.5%	-914.2M	11.70B	-107.4M	2.16	7.24	129,402	278,983	3,095,333	6,898,040
2007-08-31	$78.74	$83.00	28.7%	8.2%	26.4%	75.9%	32.7%	9.3%	-0.4%	-860.4M	9.44B	-106.5M	2.08	9.85	114,474	237,677	3,139,382	6,893,831