IWM Options History — December 2007

In December 2007, IWM traded between $73.85 and $79.54. ATM implied volatility averaged 26.3%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 2.7% (HV 20d: 29.0%). Max pain ranged from $79.00 to $81.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.92.

Notable Days

  • 2007-12-21: Highest Volume — 978,054 contracts
  • 2007-12-31: Largest IV spike — 33.2% change
  • 2007-12-17: Highest IV Rank — 72.4%
  • 2007-12-17: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.82$73.85$79.54$75.75$75.92
Max Pain$79.80$79.00$81.00$81.00$79.00
ATM IV26.3%20.8%29.9%28.9%27.8%
Expected Move7.6%6.0%8.6%8.3%8.0%
HV 20d29.0%26.3%31.5%29.8%26.6%
HV 60d26.2%25.6%27.1%25.6%26.9%
IV Rank56.7%32.8%72.4%68.3%63.1%
IV Percentile73.3%53.8%85.1%83.1%78.0%
Term Structure1.2%0.2%2.5%1.4%0.7%
VWIV26.8%22.7%30.2%28.8%27.5%
Skew 25d5.5%4.4%6.5%6.3%5.5%
Skew 10d9.6%7.6%11.3%10.8%9.3%
Call IV 25d23.9%19.0%27.6%25.9%25.0%
Put IV 25d29.5%25.2%32.7%32.2%30.5%
Bid-Ask Spread %5.213.617.566.055.55
Gamma HHI0.090.070.120.080.09
Net GEX-747.9M-1.07B-410.6M-739.9M-532.0M
Net DEX8.88B2.20B17.83B11.44B7.06B
Net VEX-73.6M-81.5M-63.2M-81.4M-63.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.882.921.851.71
Total Volume593,751.85218,364978,054218,364463,413
Total OI8,948,693.556,423,1399,968,9168,652,2896,423,139

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$75.75$81.0028.9%8.3%29.8%68.3%28.8%6.3%1.4%-739.9M11.44B-81.4M1.856.0576,660141,7043,060,9485,591,341
2007-12-04$75.00$81.0028.5%8.2%29.7%66.1%29.2%5.9%1.5%-807.5M13.26B-78.4M2.367.04140,405331,9133,069,0205,605,425
2007-12-05$76.44$81.0028.2%8.1%29.7%65.1%28.8%5.7%0.8%-767.0M10.06B-81.0M2.885.91102,009293,6723,123,8875,760,827
2007-12-06$78.25$81.0025.9%7.4%28.9%55.1%26.1%5.3%1.2%-632.2M5.34B-81.5M1.465.77220,468322,5863,144,8815,872,525
2007-12-07$78.36$81.0025.2%7.2%28.9%51.7%26.7%5.4%1.0%-632.2M4.83B-80.7M2.926.30155,039452,7613,215,3105,949,794
2007-12-10$79.11$81.0025.2%7.2%28.7%51.7%24.8%5.4%1.1%-555.9M2.86B-79.6M1.885.85121,716228,8113,274,2856,100,911
2007-12-11$76.33$80.0029.1%8.5%31.5%68.9%28.2%6.5%0.2%-868.4M11.17B-79.6M2.397.56271,569650,1283,309,5986,072,139
2007-12-12$76.91$80.0027.9%8.2%29.5%63.5%28.1%6.2%0.3%-820.9M9.31B-78.9M1.774.46306,772543,7933,314,1116,045,097
2007-12-13$76.49$80.0029.3%8.4%29.5%69.9%28.2%5.7%0.5%-840.8M10.63B-78.5M0.885.29322,420284,6953,429,2616,076,316
2007-12-14$75.00$79.0029.6%8.5%29.8%71.4%30.2%5.2%0.7%-945.9M14.46B-76.3M2.603.61150,768391,8163,571,7606,097,457
2007-12-17$73.85$79.0029.9%8.6%30.1%72.4%29.6%4.8%0.9%-1.07B17.83B-70.5M1.813.90229,645415,5293,615,5586,145,002
2007-12-18$75.17$79.0028.3%8.1%30.0%65.6%28.4%4.5%1.4%-1.00B13.98B-71.5M1.034.31450,311465,4583,644,4956,172,564
2007-12-19$75.63$79.0026.6%7.6%30.0%57.8%26.1%4.4%1.3%-996.3M12.57B-70.9M1.214.81285,947347,1713,697,1236,271,793
2007-12-20$76.84$79.0024.9%7.1%29.4%50.6%26.6%4.8%1.6%-775.2M8.10B-69.8M2.274.36252,640572,2653,691,7286,099,060
2007-12-21$78.60$79.0022.2%6.4%29.6%38.7%22.7%5.7%2.2%-410.6M2.20B-68.0M1.225.76440,660537,3943,752,5466,173,400
2007-12-24$79.17$79.0021.9%6.3%27.4%37.4%22.7%5.8%2.5%-536.1M3.08B-66.7M2.243.6899,553222,7162,889,2254,968,409
2007-12-26$79.54$79.0020.9%6.0%27.2%33.0%23.0%6.2%2.4%-493.2M2.46B-65.4M2.074.50175,443362,4592,889,2125,027,302
2007-12-27$77.39$80.0025.0%7.2%26.3%50.9%24.9%5.6%1.5%-771.9M8.16B-65.6M1.624.99206,830335,7942,813,4755,108,512
2007-12-28$76.56$79.0020.8%7.3%26.5%32.8%25.2%5.9%1.6%-760.4M8.72B-65.2M2.154.47159,186342,9182,866,4795,039,956
2007-12-31$75.92$79.0027.8%8.0%26.6%63.1%27.5%5.5%0.7%-532.0M7.06B-63.2M1.715.55170,821292,5922,353,3844,069,755