IWM Options History — January 2008

In January 2008, IWM traded between $66.74 and $75.16. ATM implied volatility averaged 30.6%, placing in the 75.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.2% (HV 20d: 26.5%). Max pain ranged from $73.00 to $78.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.08.

Notable Days

  • 2008-01-18: Highest Volume — 1,664,470 contracts
  • 2008-01-22: Largest IV spike — 12.8% change
  • 2008-01-25: Highest IV Rank — 93.0%
  • 2008-01-25: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.23$66.74$75.16$75.16$70.94
Max Pain$74.81$73.00$78.00$78.00$73.00
ATM IV30.6%27.7%34.6%28.7%31.1%
Expected Move8.8%8.0%9.9%8.2%8.9%
HV 20d26.5%24.5%28.5%26.6%28.5%
HV 60d27.7%26.6%28.5%26.6%27.9%
IV Rank75.7%62.9%93.0%67.1%77.5%
IV Percentile87.7%75.4%99.2%82.1%87.3%
Term Structure-0.8%-3.6%0.7%0.2%-0.8%
VWIV31.0%27.4%34.7%28.1%32.5%
Skew 25d5.5%3.4%7.6%3.9%6.5%
Skew 10d9.8%5.6%13.8%7.3%11.0%
Call IV 25d28.0%25.3%31.1%26.5%28.0%
Put IV 25d33.5%30.2%38.6%30.4%34.6%
Bid-Ask Spread %4.611.9310.242.987.76
Gamma HHI0.100.080.210.090.09
Net GEX-540.5M-724.4M-338.3M-586.3M-371.6M
Net DEX12.74B6.94B19.83B8.82B6.94B
Net VEX-60.2M-66.4M-51.3M-61.9M-66.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.081.023.171.382.11
Total Volume927,310.286406,7661,664,470815,104721,918
Total OI7,157,213.1435,702,3698,477,4376,535,2056,763,122

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$75.16$78.0028.7%8.2%26.6%67.1%28.1%3.9%0.2%-586.3M8.82B-61.9M1.382.98342,869472,2352,401,0214,134,184
2008-01-03$74.33$78.0028.7%8.2%26.6%67.2%27.8%3.4%0.7%-605.8M10.16B-59.5M1.023.39343,302349,9202,458,4664,184,431
2008-01-04$72.09$76.0029.3%8.6%27.6%69.8%30.3%5.3%0.2%-624.9M14.53B-61.1M3.054.36359,5911,097,8042,665,8104,401,585
2008-01-07$72.25$76.0029.4%8.5%25.9%70.4%29.5%5.2%0.4%-716.9M14.26B-62.1M1.524.97299,799457,1982,723,0334,580,116
2008-01-08$70.02$76.0030.6%8.8%27.6%75.7%30.0%4.9%0.5%-633.6M16.89B-57.7M2.664.57313,943835,1472,810,6704,562,253
2008-01-09$70.73$76.0027.7%8.2%27.6%62.9%29.6%5.1%0.6%-667.9M15.39B-61.0M3.173.03394,7551,250,2862,944,0354,609,447
2008-01-10$71.67$76.0027.8%8.0%25.9%63.4%27.4%5.5%0.6%-724.4M13.91B-65.1M1.492.98352,264524,5473,042,1144,859,819
2008-01-11$70.22$76.0029.2%8.4%26.3%69.4%29.1%5.3%0.5%-718.9M16.27B-60.6M1.543.35303,976467,9113,150,3024,814,026
2008-01-14$70.80$75.0028.8%8.3%26.7%67.5%28.9%5.0%0.7%-684.6M14.51B-61.4M2.161.93304,420658,7713,252,8174,854,813
2008-01-15$69.54$75.0028.9%8.3%26.5%68.2%29.3%4.4%0.4%-666.5M17.19B-58.8M1.513.43351,901531,2873,408,3194,934,320
2008-01-16$69.57$75.0029.0%8.3%26.2%68.7%29.5%4.5%-0.1%-633.5M16.01B-58.2M1.363.98392,609533,7743,444,5814,863,297
2008-01-17$67.88$75.0031.4%9.0%26.1%79.0%30.8%4.4%-1.0%-615.5M18.48B-54.7M1.893.50448,552845,5413,547,8494,816,418
2008-01-18$67.22$74.0030.5%8.8%25.8%75.2%30.4%5.0%-0.9%-539.7M19.83B-51.3M2.553.91469,2851,195,1853,678,0184,799,419
2008-01-22$66.74$74.0034.4%9.9%24.5%92.3%34.7%7.6%-3.5%-349.6M11.68B-52.1M2.244.67289,524648,0222,289,8073,412,562
2008-01-23$69.02$73.0032.7%9.4%26.5%84.8%34.3%7.5%-3.6%-338.3M8.92B-58.8M3.0210.24206,868624,7372,396,1083,489,438
2008-01-24$68.97$73.0032.6%9.3%26.1%84.3%33.1%6.7%-2.7%-360.6M9.11B-59.2M1.735.62295,412512,3872,450,7033,584,713
2008-01-25$68.47$73.0034.6%9.9%25.7%93.0%34.2%6.8%-2.4%-353.7M9.54B-62.1M3.176.34148,705471,2572,541,8343,744,335
2008-01-28$69.92$73.0033.1%9.5%26.5%86.4%34.6%6.7%-2.4%-359.0M7.90B-64.9M1.825.41144,207262,5592,591,1603,885,304
2008-01-29$70.10$73.0032.4%9.3%26.5%83.6%33.1%6.4%-2.2%-364.1M7.49B-65.0M2.274.90164,389373,6772,620,6223,929,144
2008-01-30$69.22$73.0032.5%9.3%26.6%83.6%32.9%5.6%-1.4%-435.1M9.67B-62.9M2.105.56230,300482,6822,647,4924,013,969
2008-01-31$70.94$73.0031.1%8.9%28.5%77.5%32.5%6.5%-0.8%-371.6M6.94B-66.4M2.117.76232,275489,6432,683,6214,079,501