IWM Options History — November 2007

In November 2007, IWM traded between $73.02 and $79.96. ATM implied volatility averaged 31.2%, placing in the 80.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.2% (HV 20d: 28.0%). Max pain ranged from $78.00 to $81.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.08.

Notable Days

  • 2007-11-15: Highest Volume — 1,290,977 contracts
  • 2007-11-07: Largest IV spike — 26.2% change
  • 2007-11-07: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.65$73.02$79.96$79.14$76.58
Max Pain$80.24$78.00$81.00$81.00$81.00
ATM IV31.2%27.4%36.2%32.2%27.7%
Expected Move8.7%7.6%9.9%9.2%7.9%
HV 20d28.0%24.3%33.0%25.5%29.8%
HV 60d24.3%23.2%25.7%23.7%25.7%
IV Rank80.7%61.5%100.0%93.2%62.6%
IV Percentile91.9%79.6%100.0%98.1%79.6%
Term Structure-0.1%-2.9%1.4%-2.9%1.4%
VWIV30.4%25.7%33.5%31.3%25.7%
Skew 25d7.5%5.2%9.9%8.3%6.0%
Skew 10d13.4%8.5%17.9%14.4%10.6%
Call IV 25d26.7%22.5%31.7%27.8%24.8%
Put IV 25d34.2%30.6%37.6%36.0%30.9%
Bid-Ask Spread %5.953.999.614.846.21
Gamma HHI0.090.070.300.080.07
Net GEX-859.3M-1.38B-616.4M-761.9M-655.0M
Net DEX12.95B7.09B18.88B9.44B9.12B
Net VEX-86.2M-90.7M-80.7M-87.0M-84.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.081.063.432.341.82
Total Volume810,667.952175,9071,290,977834,146407,214
Total OI9,041,317.0487,606,06510,561,7048,519,2288,596,807

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$79.14$81.0032.2%9.2%25.5%93.2%31.3%8.3%-2.9%-761.9M9.44B-87.0M2.344.84249,430584,7162,916,3635,602,865
2007-11-02$79.53$81.0028.0%8.0%24.3%72.6%29.6%6.9%0.4%-788.1M8.56B-86.8M2.616.34353,393923,5042,935,6425,636,363
2007-11-05$78.48$81.0032.2%8.7%24.6%93.5%29.8%8.6%-0.6%-893.1M11.34B-86.5M1.374.39323,607444,2533,073,9845,919,640
2007-11-06$79.96$81.0027.4%7.6%25.5%69.8%26.7%8.0%-0.4%-811.4M7.09B-86.9M2.664.68299,556797,5573,196,6266,028,798
2007-11-07$77.48$81.0034.6%8.7%27.5%100.0%30.6%8.4%-0.3%-1.03B15.11B-90.7M3.437.50219,548753,3983,248,3886,377,429
2007-11-08$77.71$80.0032.0%8.4%27.4%87.8%30.9%8.6%-0.5%-1.04B14.05B-88.4M2.694.59340,469914,3813,347,9816,330,285
2007-11-09$76.85$81.0032.6%8.8%27.2%90.5%30.9%8.7%-0.7%-1.08B16.61B-89.1M2.036.37257,637523,6893,422,2786,546,097
2007-11-12$76.11$80.0036.2%9.2%27.2%100.0%31.9%9.3%-0.7%-1.15B18.88B-85.0M1.545.91315,084486,3323,501,9776,616,893
2007-11-13$78.47$80.0030.8%8.4%29.7%76.6%30.1%8.9%-0.3%-992.2M11.07B-87.7M1.935.57388,017750,2793,592,1676,604,846
2007-11-14$78.16$80.0027.4%8.8%29.6%61.5%30.4%9.4%-0.5%-1.05B12.50B-89.0M2.644.58269,011710,1683,715,9526,723,617
2007-11-15$76.87$80.0032.6%9.3%30.0%84.2%32.9%9.9%-0.6%-1.12B16.57B-87.3M2.055.12423,386867,5913,755,0846,703,258
2007-11-16$76.17$80.0031.0%8.9%27.3%77.2%32.0%8.4%-0.0%-1.38B18.02B-86.1M3.095.76276,745854,8353,834,9826,726,722
2007-11-19$74.66$80.0031.5%9.0%26.6%79.5%31.4%7.3%0.3%-621.5M13.29B-84.2M1.723.99258,711444,8402,586,3805,019,685
2007-11-20$75.01$80.0030.8%8.8%26.4%76.4%30.7%6.1%0.3%-662.6M13.04B-86.4M1.795.68311,617558,7952,646,6835,210,474
2007-11-21$73.50$79.0032.5%9.3%27.1%83.8%31.6%5.4%0.4%-683.7M15.49B-84.3M1.777.43233,381413,9032,706,5845,327,774
2007-11-23$75.06$78.0031.7%9.1%28.6%80.2%31.4%5.3%-0.4%-645.3M12.23B-86.9M1.326.7675,755100,1522,789,7205,305,916
2007-11-26$73.02$78.0034.3%9.9%28.7%91.8%33.5%5.2%-0.4%-678.0M16.08B-80.7M1.585.32170,423268,7272,807,7805,359,282
2007-11-27$73.95$81.0031.1%8.9%29.4%77.5%29.9%6.4%1.0%-716.2M14.52B-81.5M1.069.61257,900272,5822,876,6185,381,658
2007-11-28$76.75$81.0028.8%8.2%33.0%67.5%29.1%6.4%1.1%-616.4M8.74B-85.8M2.017.31210,637423,8692,954,9455,410,157
2007-11-29$76.21$81.0029.0%8.3%32.5%68.6%28.2%6.2%1.3%-670.4M10.19B-85.3M2.116.8892,811196,1243,026,7485,502,210
2007-11-30$76.58$81.0027.7%7.9%29.8%62.6%25.7%6.0%1.4%-655.0M9.12B-84.8M1.826.21144,415262,7993,075,8635,520,944