IWM Options History — October 2007 In October 2007, IWM traded between $79.09 and $84.18. ATM implied volatility averaged 23.7%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.7% (HV 20d: 21.0%). Max pain ranged from $80.00 to $82.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 2.24.
Notable Days 2007-10-19 : Highest Volume — 1,388,392 contracts2007-10-19 : Largest IV spike — 28.2% change2007-10-19 : Highest IV Rank — 84.9%2007-10-19 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $82.25 $79.09 $84.18 $82.03 $82.32 Max Pain $80.96 $80.00 $82.00 $80.00 $81.00 ATM IV 23.7% 18.4% 30.5% 20.8% 25.2% Expected Move 6.9% 5.8% 8.7% 6.0% 7.2% HV 20d 21.0% 15.9% 22.8% 22.8% 21.3% HV 60d 24.2% 23.1% 25.0% 25.0% 23.1% IV Rank 51.5% 25.0% 84.9% 37.1% 58.7% IV Percentile 75.5% 50.3% 91.0% 69.0% 78.9% Term Structure 0.1% -2.2% 2.7% 1.7% -0.0% VWIV 25.5% 22.0% 30.2% 23.3% 26.2% Skew 25d 7.4% 5.4% 8.6% 6.3% 7.5% Skew 10d 14.0% 10.4% 15.6% 13.0% 13.9% Call IV 25d 20.7% 17.9% 26.3% 18.1% 21.1% Put IV 25d 28.1% 24.2% 34.6% 24.4% 28.6% Bid-Ask Spread % 4.96 3.03 7.90 4.90 4.45 Gamma HHI 0.08 0.05 0.28 0.05 0.08 Net GEX -397.3M -1.17B -106.3M -247.7M -477.7M Net DEX -373.2M -6.45B 9.28B -1.70B 676.9M Net VEX -81.2M -84.7M -77.1M -80.8M -82.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.24 1.40 4.47 2.45 2.04 Total Volume 526,820.217 305,288 1,388,392 589,530 664,457 Total OI 8,292,486.696 7,278,265 9,183,569 7,648,640 8,215,053
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 2007-10-01 $82.03 $80.00 20.8% 6.0% 22.8% 37.1% 23.3% 6.3% 1.7% -247.7M -1.70B -80.8M 2.45 4.90 170,752 418,778 2,663,276 4,985,364 2007-10-02 $82.56 $80.00 20.8% 6.0% 22.5% 36.8% 22.8% 5.9% 2.0% -223.0M -2.68B -81.6M 2.77 5.22 126,702 350,491 2,714,781 5,161,944 2007-10-03 $82.32 $80.00 21.5% 6.2% 22.2% 40.1% 23.9% 5.6% 2.6% -291.0M -1.78B -83.8M 4.47 3.72 65,685 293,818 2,760,724 5,291,118 2007-10-04 $82.51 $80.00 20.3% 5.8% 22.2% 34.5% 22.0% 5.4% 2.7% -264.8M -2.21B -83.0M 2.55 6.19 93,191 237,223 2,779,145 5,372,362 2007-10-05 $84.13 $81.00 18.4% 6.2% 21.7% 25.0% 23.0% 7.7% 0.4% -106.6M -6.16B -78.6M 1.95 5.18 203,503 397,226 2,800,951 5,462,027 2007-10-08 $83.50 $81.00 20.8% 6.6% 21.4% 37.1% 24.5% 8.0% 0.0% -234.7M -4.39B -80.6M 2.21 4.83 97,418 215,775 2,851,790 5,575,519 2007-10-09 $84.18 $81.00 19.8% 6.2% 21.0% 32.0% 24.1% 7.3% 0.3% -106.3M -6.45B -77.2M 2.16 5.40 110,360 238,044 2,873,784 5,610,606 2007-10-10 $84.11 $81.00 19.6% 6.2% 20.8% 30.8% 25.3% 7.2% 0.5% -125.0M -6.14B -77.1M 1.46 5.20 156,256 228,564 2,891,737 5,639,675 2007-10-11 $83.16 $81.00 23.6% 6.8% 21.5% 50.9% 23.8% 7.6% 0.2% -266.8M -3.51B -81.0M 2.41 7.38 231,061 556,094 2,950,684 5,718,098 2007-10-12 $83.82 $81.00 21.9% 6.3% 21.6% 42.4% 22.6% 6.9% 0.5% -219.8M -5.09B -79.8M 1.91 5.55 110,112 209,778 3,014,691 5,924,280 2007-10-15 $82.85 $81.00 23.7% 6.8% 21.7% 51.4% 25.2% 7.5% 0.1% -369.7M -2.30B -80.4M 1.78 4.61 218,240 389,109 3,028,916 5,970,224 2007-10-16 $81.94 $81.00 25.1% 7.2% 17.0% 58.1% 26.0% 7.5% -0.5% -528.5M 577.6M -81.8M 2.88 4.55 116,633 336,116 3,042,985 6,000,004 2007-10-17 $82.24 $82.00 23.9% 6.8% 16.4% 52.0% 24.8% 7.4% 0.2% -479.9M -440.6M -78.8M 1.64 4.77 205,344 336,817 3,042,478 6,011,647 2007-10-18 $82.12 $82.00 23.8% 6.8% 15.9% 51.6% 24.8% 7.2% -0.0% -450.7M -135.9M -78.5M 1.71 5.41 164,751 281,379 3,085,760 6,024,735 2007-10-19 $79.09 $82.00 30.5% 8.7% 20.9% 84.9% 30.2% 8.3% -2.2% -1.17B 9.28B -80.0M 3.12 7.90 336,678 1,051,714 3,112,086 6,071,483 2007-10-22 $80.76 $81.00 27.1% 7.8% 22.2% 68.2% 28.9% 8.3% -0.7% -511.3M 4.47B -82.2M 2.15 4.27 254,053 545,720 2,479,117 4,799,148 2007-10-23 $81.38 $81.00 26.3% 7.6% 22.3% 64.4% 26.7% 8.6% -0.8% -498.4M 3.23B -83.9M 2.18 3.74 117,877 256,929 2,601,554 4,989,430 2007-10-24 $80.86 $81.00 26.2% 7.5% 22.3% 63.6% 27.5% 8.3% -0.2% -540.8M 4.54B -83.9M 2.07 5.02 229,734 476,376 2,620,127 5,026,530 2007-10-25 $80.66 $81.00 26.4% 7.6% 22.2% 64.7% 28.0% 7.7% -0.3% -561.4M 4.75B -84.7M 2.01 5.08 142,264 285,416 2,651,786 5,117,512 2007-10-26 $82.01 $81.00 25.0% 7.2% 22.5% 57.8% 26.1% 7.3% -0.1% -469.3M 1.68B -83.3M 1.54 3.03 194,896 299,503 2,681,919 5,150,484 2007-10-29 $81.92 $81.00 26.2% 7.5% 20.8% 63.7% 27.1% 7.6% -1.2% -478.6M 1.73B -81.0M 1.40 3.65 127,305 177,983 2,682,499 5,154,746 2007-10-30 $81.27 $81.00 29.0% 8.3% 20.8% 77.7% 30.2% 8.4% -2.2% -512.1M 3.46B -84.2M 2.68 3.91 107,706 289,034 2,834,833 5,289,582 2007-10-31 $82.32 $81.00 25.2% 7.2% 21.3% 58.7% 26.2% 7.5% -0.0% -477.7M 676.9M -82.1M 2.04 4.45 218,313 446,144 2,827,517 5,387,536
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