IWM Options History — February 2008

In February 2008, IWM traded between $68.86 and $72.63. ATM implied volatility averaged 29.2%, placing in the 69.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.5% (HV 20d: 26.8%). Max pain ranged from $70.00 to $76.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.34.

Notable Days

  • 2008-02-07: Highest Volume — 1,002,878 contracts
  • 2008-02-13: Largest IV drop — 14.6% change
  • 2008-02-07: Highest IV Rank — 84.1%
  • 2008-02-06: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.38$68.86$72.63$72.63$68.86
Max Pain$71.35$70.00$76.00$73.00$76.00
ATM IV29.2%26.5%32.6%27.6%29.8%
Expected Move8.4%7.6%9.6%7.9%8.6%
HV 20d26.8%24.6%29.8%29.8%24.6%
HV 60d27.3%25.8%28.3%28.3%26.2%
IV Rank69.2%57.2%84.1%62.4%71.8%
IV Percentile75.5%61.1%94.4%68.7%78.6%
Term Structure0.2%-0.3%0.8%0.6%0.6%
VWIV30.3%25.9%34.1%30.3%29.3%
Skew 25d6.7%5.0%8.6%5.9%5.5%
Skew 10d12.0%8.8%14.9%11.0%8.8%
Call IV 25d26.0%23.1%28.7%25.3%27.5%
Put IV 25d32.8%29.3%37.3%31.2%33.0%
Bid-Ask Spread %5.983.699.373.695.38
Gamma HHI0.100.070.270.080.08
Net GEX-428.2M-671.7M-293.8M-301.4M-503.0M
Net DEX6.93B3.64B9.80B3.64B9.55B
Net VEX-69.3M-71.7M-67.5M-69.6M-68.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.341.265.191.412.01
Total Volume571,344.75213,9541,002,878797,195762,490
Total OI7,126,657.455,938,7178,160,0077,028,2536,946,146

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$72.63$73.0027.6%7.9%29.8%62.4%30.3%5.9%0.6%-301.4M3.64B-69.6M1.413.69330,857466,3382,753,8684,274,385
2008-02-04$71.79$70.0029.1%8.6%28.0%69.1%33.2%8.2%-0.3%-380.8M5.45B-69.3M2.105.94186,997391,8122,870,2644,399,172
2008-02-05$69.95$70.0032.4%9.4%29.4%83.5%34.1%8.5%-0.1%-457.6M8.11B-69.0M1.816.71182,094330,3712,898,0574,446,585
2008-02-06$68.96$70.0032.3%9.6%27.7%82.9%33.0%8.6%-0.3%-518.2M9.80B-67.8M1.516.60206,839312,5832,936,7104,502,389
2008-02-07$70.11$70.0032.6%9.2%28.1%84.1%34.1%8.3%-0.3%-475.9M8.11B-68.7M2.466.27290,255712,6232,960,7524,499,915
2008-02-08$69.67$70.0030.4%9.1%27.7%74.4%34.1%8.1%-0.2%-539.7M9.30B-69.6M2.565.54160,379410,5523,054,3584,628,695
2008-02-11$69.58$70.0031.4%9.0%26.8%78.9%32.6%7.6%0.1%-567.9M9.14B-68.5M3.366.42107,499360,8923,079,5684,670,129
2008-02-12$70.41$70.0031.1%8.9%27.0%77.3%30.0%7.8%-0.3%-559.0M7.73B-69.1M1.536.22285,248435,3623,097,2944,781,850
2008-02-13$71.83$70.0026.5%8.0%27.0%57.2%29.8%7.6%0.1%-336.0M4.13B-70.0M2.026.09186,964376,9523,246,7364,719,693
2008-02-14$70.18$70.0029.4%8.4%28.4%70.1%30.4%6.5%0.0%-578.1M7.80B-69.1M2.596.04194,440503,0563,321,6964,838,311
2008-02-15$69.87$70.0029.1%8.3%26.9%68.4%30.6%5.4%-0.2%-671.7M8.29B-67.5M5.195.40127,435661,3053,337,5654,747,622
2008-02-19$70.29$70.0029.1%8.3%26.7%68.6%28.9%5.7%0.0%-312.7M6.13B-67.8M1.264.78144,708182,6052,224,8263,713,891
2008-02-20$70.77$70.0027.8%8.0%26.5%62.9%28.7%5.9%0.2%-297.6M5.45B-70.0M1.525.35182,100275,9872,306,0383,765,986
2008-02-21$69.39$70.0028.7%8.2%25.0%66.8%28.9%5.7%0.5%-372.3M7.51B-68.9M2.564.80129,904332,2612,321,8293,920,004
2008-02-22$69.37$70.0028.5%8.2%25.0%65.8%29.1%5.0%0.3%-375.6M7.70B-68.7M2.635.56150,165394,9002,387,0233,981,271
2008-02-25$70.77$70.0026.7%7.6%25.8%58.0%27.8%5.2%0.2%-335.2M5.42B-70.9M1.734.27135,916235,4422,476,4434,165,723
2008-02-26$71.43$76.0026.9%7.7%24.9%58.5%27.1%6.3%0.7%-293.8M4.34B-71.1M3.629.37149,269540,4822,526,9954,146,798
2008-02-27$71.40$76.0027.1%7.8%24.9%59.4%28.1%6.4%0.7%-300.5M4.44B-71.7M1.927.9873,329140,6252,569,3524,205,006
2008-02-28$70.32$76.0028.1%8.1%25.1%64.2%25.9%6.2%0.8%-387.9M6.57B-70.3M2.967.1294,933280,9262,575,3604,234,844
2008-02-29$68.86$76.0029.8%8.6%24.6%71.8%29.3%5.5%0.6%-503.0M9.55B-68.2M2.015.38252,914509,5762,605,1944,340,952