IWM Options History — March 2008

In March 2008, IWM traded between $64.50 and $70.22. ATM implied volatility averaged 30.2%, placing in the 73.5% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 0.2% (HV 20d: 30.4%). Max pain ranged from $69.00 to $76.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.52.

Notable Days

  • 2008-03-17: Highest Volume — 1,218,772 contracts
  • 2008-03-31: Largest IV spike — 41.7% change
  • 2008-03-17: Highest IV Rank — 94.5%
  • 2008-03-17: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.56$64.50$70.22$68.20$68.29
Max Pain$70.95$69.00$76.00$76.00$70.00
ATM IV30.2%21.8%34.9%30.7%30.8%
Expected Move8.8%8.3%10.0%8.8%8.8%
HV 20d30.4%21.4%37.6%22.9%36.1%
HV 60d27.9%25.4%30.1%26.2%29.6%
IV Rank73.5%35.8%94.5%75.5%76.1%
IV Percentile78.3%36.9%99.6%82.5%81.3%
Term Structure0.3%-0.8%1.4%0.4%0.1%
VWIV31.0%28.5%34.0%29.8%29.2%
Skew 25d6.1%4.3%7.3%5.6%5.5%
Skew 10d10.6%6.6%13.9%8.4%9.8%
Call IV 25d27.7%25.6%31.5%27.8%27.8%
Put IV 25d33.8%31.0%38.6%33.3%33.3%
Bid-Ask Spread %7.024.2611.565.724.38
Gamma HHI0.080.070.100.080.08
Net GEX-529.1M-704.1M-299.7M-516.0M-340.7M
Net DEX10.64B4.69B16.52B10.28B6.12B
Net VEX-67.4M-71.2M-60.1M-68.7M-67.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.714.952.160.71
Total Volume684,927.55397,4521,218,772463,306397,452
Total OI7,774,946.656,503,7398,837,0247,231,0356,503,739

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$68.20$76.0030.7%8.8%22.9%75.5%29.8%5.6%0.4%-516.0M10.28B-68.7M2.165.72146,772316,5342,713,5984,517,437
2008-03-04$67.80$76.0029.8%8.5%22.7%71.4%28.5%4.3%0.4%-534.4M10.82B-68.1M1.605.69197,911316,8482,780,2914,563,746
2008-03-05$68.45$75.0029.0%8.3%21.4%68.0%28.7%5.0%0.5%-514.6M9.63B-68.2M4.959.72100,566497,7422,820,7794,539,940
2008-03-06$66.17$75.0031.0%8.9%23.9%77.1%31.5%4.3%0.6%-595.4M13.89B-64.7M1.847.85226,227416,0582,849,8084,675,900
2008-03-07$65.96$75.0029.9%8.6%22.9%72.0%30.0%5.0%1.4%-612.6M14.37B-63.7M2.495.90236,209589,2182,872,8554,671,582
2008-03-10$64.50$75.0032.0%9.1%23.9%81.6%32.1%5.2%0.6%-622.2M16.52B-60.1M4.057.51166,785675,0832,930,3714,818,465
2008-03-11$67.30$69.0027.9%8.4%29.0%63.2%28.6%5.9%0.6%-649.9M11.96B-66.6M2.426.62266,201643,9732,948,8244,964,505
2008-03-12$66.52$69.0028.4%8.7%28.8%65.3%30.3%6.5%0.7%-625.3M12.11B-67.7M2.239.68154,212343,3263,076,0085,053,940
2008-03-13$67.88$69.0029.7%8.5%28.8%71.2%31.4%6.5%0.3%-630.6M10.85B-68.1M2.757.43189,355521,2443,080,0495,055,769
2008-03-14$66.14$69.0033.9%9.7%29.1%89.9%34.0%7.1%-0.8%-601.4M13.70B-67.4M3.6511.56206,373752,2543,122,3835,150,093
2008-03-17$65.06$69.0034.9%10.0%29.5%94.5%34.0%7.1%-0.7%-704.1M16.18B-62.0M2.026.05404,198814,5743,150,4795,205,014
2008-03-18$68.05$69.0030.4%8.7%34.0%74.2%32.1%7.0%0.1%-605.2M10.27B-69.1M2.409.02240,876577,0743,259,1265,384,634
2008-03-19$66.30$69.0033.5%9.6%34.9%88.2%33.4%7.2%0.0%-687.8M13.64B-65.4M3.058.02284,820867,7173,286,3105,328,608
2008-03-20$67.48$69.0031.8%9.1%35.1%80.7%32.2%6.8%0.3%-546.4M10.94B-68.8M2.249.63209,534469,9143,389,1365,447,888
2008-03-24$69.99$69.0029.1%8.3%37.6%68.6%30.0%7.3%0.4%-317.5M5.56B-71.2M1.555.77226,690351,2192,756,7614,635,101
2008-03-25$70.22$69.0029.6%8.5%36.9%70.9%30.6%7.1%-0.2%-299.7M4.69B-70.4M2.015.35133,509267,7002,795,8084,579,211
2008-03-26$69.64$69.0029.7%8.5%36.8%71.1%31.3%6.8%0.2%-353.6M5.95B-69.8M1.774.77161,536286,3632,806,7464,597,273
2008-03-27$69.09$69.0030.4%8.7%36.9%74.3%31.4%6.5%0.3%-395.0M6.83B-70.5M2.685.37143,972385,6522,872,2414,676,593
2008-03-28$68.19$69.0021.8%8.7%36.8%35.8%30.7%5.5%0.5%-430.4M8.56B-69.4M3.844.26106,039406,8212,918,8504,699,072
2008-03-31$68.29$70.0030.8%8.8%36.1%76.1%29.2%5.5%0.1%-340.7M6.12B-67.8M0.714.38232,326165,1262,424,2724,079,467