IWM Options History — September 2007

In September 2007, IWM traded between $76.77 and $81.61. ATM implied volatility averaged 27.1%, placing in the 68.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.1% (HV 20d: 24.0%). Max pain ranged from $78.00 to $83.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.95.

Notable Days

  • 2007-09-19: Highest Volume — 1,200,284 contracts
  • 2007-09-18: Largest IV drop — 23.7% change
  • 2007-09-10: Highest IV Rank — 99.4%
  • 2007-09-10: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.30$76.77$81.61$79.75$80.04
Max Pain$79.79$78.00$83.00$83.00$80.00
ATM IV27.1%20.3%33.4%28.5%22.1%
Expected Move7.8%5.8%9.6%8.2%6.3%
HV 20d24.0%20.8%26.6%26.6%21.4%
HV 60d23.9%23.1%24.9%23.3%24.5%
IV Rank68.1%34.6%99.4%75.0%43.4%
IV Percentile85.3%65.9%99.4%92.3%73.7%
Term Structure0.3%-1.2%2.0%-0.5%1.5%
VWIV28.8%20.9%35.0%34.1%22.0%
Skew 25d8.7%5.8%11.2%9.3%6.2%
Skew 10d16.1%12.0%19.8%16.7%12.0%
Call IV 25d23.4%17.8%29.1%24.4%19.2%
Put IV 25d32.1%23.7%39.8%33.7%25.4%
Bid-Ask Spread %5.943.808.958.955.36
Gamma HHI0.080.050.240.060.05
Net GEX-794.1M-1.14B244.7M-787.9M-428.0M
Net DEX6.24B-16.42B15.86B6.76B2.87B
Net VEX-91.8M-103.2M-81.9M-102.2M-82.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.951.083.592.481.48
Total Volume576,489.105323,2071,200,284380,287598,597
Total OI10,324,403.8427,407,70711,506,75110,052,7917,407,707

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$79.75$83.0028.5%8.2%26.6%75.0%34.1%9.3%-0.5%-787.9M6.76B-102.2M2.488.95109,165271,1223,162,0696,890,722
2007-09-05$79.01$83.0031.5%9.0%26.5%90.0%34.7%9.9%-0.9%-831.6M8.59B-103.0M3.596.72105,013377,2373,199,0146,917,262
2007-09-06$79.03$83.0029.9%9.0%24.2%82.0%31.2%9.7%-0.6%-890.1M9.37B-103.2M1.657.04121,982201,2253,208,0707,110,514
2007-09-07$77.66$82.0031.6%9.6%23.5%90.6%34.5%9.4%-1.2%-979.6M12.98B-102.6M1.416.57247,797348,2243,280,4257,163,676
2007-09-10$76.77$79.0033.4%9.6%23.8%99.4%35.0%11.2%-1.0%-1.07B15.86B-98.3M1.924.39154,030296,1483,387,7307,206,810
2007-09-11$77.99$79.0031.3%9.0%24.4%88.9%31.9%10.6%-0.2%-1.01B11.75B-96.9M1.664.56212,461353,4853,351,3467,188,675
2007-09-12$77.56$79.0032.0%9.0%23.6%92.3%31.3%10.3%-0.3%-1.04B13.17B-96.9M1.553.80192,354298,8043,443,0557,227,040
2007-09-13$77.70$78.0031.3%9.0%22.9%88.9%32.2%10.8%-0.4%-1.05B12.82B-96.9M1.933.97160,763309,7523,527,0757,340,202
2007-09-14$78.09$78.0030.6%8.8%21.8%85.6%32.7%10.3%-0.6%-1.06B11.26B-96.9M2.356.3199,973234,7033,594,8597,427,889
2007-09-17$77.26$78.0032.6%9.3%20.8%95.4%34.6%10.5%-0.8%-1.14B13.90B-91.6M3.045.11112,461342,3013,611,7807,403,293
2007-09-18$80.52$78.0024.9%7.1%25.6%57.0%29.2%8.9%0.4%-638.4M1.70B-86.4M1.898.30293,033552,4503,592,8667,434,871
2007-09-19$81.61$78.0023.0%6.6%25.9%47.8%25.3%8.2%1.0%-396.0M-2.25B-83.9M1.486.05483,806716,4783,635,5397,513,633
2007-09-20$80.79$79.0023.5%6.7%26.0%50.4%26.0%8.2%1.2%-616.5M771.2M-85.6M3.115.25218,756680,2773,687,4367,655,114
2007-09-21$80.96$79.0022.3%6.4%25.5%44.5%24.1%7.7%1.5%-874.8M431.5M-84.6M1.496.72310,195462,1763,740,8087,765,943
2007-09-24$80.34$80.0023.0%6.6%25.3%47.6%23.5%7.1%1.3%-835.3M5.22B-83.7M1.086.81264,312284,6762,859,5675,997,355
2007-09-25$80.00$80.0022.4%6.4%24.9%44.9%23.0%6.0%1.7%-933.2M6.37B-83.7M1.635.62172,666282,0042,874,0206,113,306
2007-09-26$80.55$80.0020.7%5.9%22.7%36.5%21.5%5.9%1.8%-747.1M3.46B-82.7M1.966.05198,326389,3042,965,8065,980,511
2007-09-27$81.00$80.0020.3%5.8%21.1%34.6%20.9%5.8%2.0%244.7M-16.42B-81.9M1.395.40208,273288,9645,281,7596,015,926
2007-09-28$80.04$80.0022.1%6.3%21.4%43.4%22.0%6.2%1.5%-428.0M2.87B-82.5M1.485.36241,076357,5212,539,6674,868,040