IWM Options History — April 2008

In April 2008, IWM traded between $68.53 and $72.38. ATM implied volatility averaged 25.3%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.4% (HV 20d: 28.7%). Max pain ranged from $69.00 to $71.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.22.

Notable Days

2008-04-11: Highest Volume — 1,193,191 contracts
2008-04-16: Largest IV drop — 7.1% change
2008-04-14: Highest IV Rank — 62.8%
2008-04-14: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.81	$68.53	$72.38	$70.79	$71.40
Max Pain	$70.09	$69.00	$71.00	$69.00	$71.00
ATM IV	25.3%	22.6%	27.8%	27.3%	24.5%
Expected Move	7.3%	6.5%	8.0%	7.8%	7.0%
HV 20d	28.7%	19.1%	38.1%	38.1%	19.2%
HV 60d	28.9%	27.6%	30.5%	30.5%	27.6%
IV Rank	51.4%	39.6%	62.8%	60.4%	48.1%
IV Percentile	43.0%	31.7%	57.1%	53.6%	37.3%
Term Structure	0.9%	0.1%	6.2%	0.5%	0.1%
VWIV	26.3%	23.2%	29.9%	28.9%	24.2%
Skew 25d	5.4%	4.1%	6.8%	5.9%	4.6%
Skew 10d	9.7%	7.5%	11.9%	10.5%	8.2%
Call IV 25d	22.9%	20.5%	25.5%	24.7%	21.9%
Put IV 25d	28.3%	24.8%	30.9%	30.6%	26.5%
Bid-Ask Spread %	3.55	2.48	5.57	3.27	3.17
Gamma HHI	0.09	0.07	0.16	0.08	0.07
Net GEX	-208.5M	-560.8M	158.0M	-132.5M	-241.1M
Net DEX	2.47B	-454.1M	7.73B	1.69B	2.19B
Net VEX	-64.3M	-70.1M	-59.9M	-69.3M	-61.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.22	0.86	8.93	1.67	1.97
Total Volume	466,189.227	188,114	1,193,191	710,345	355,333
Total OI	6,894,735.136	5,953,579	7,734,549	6,662,669	6,698,282

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-04-01	$70.79	$69.00	27.3%	7.8%	38.1%	60.4%	28.9%	5.9%	0.5%	-132.5M	1.69B	-69.3M	1.67	3.27	265,825	444,520	2,551,809	4,110,860
2008-04-02	$70.96	$70.00	27.3%	7.8%	38.0%	60.4%	27.9%	5.9%	0.4%	-118.1M	1.33B	-69.9M	1.56	3.86	130,107	202,938	2,596,169	4,198,123
2008-04-03	$71.15	$70.00	27.1%	7.8%	37.9%	59.5%	27.4%	6.2%	0.9%	-103.3M	895.3M	-70.1M	2.43	4.21	54,820	133,294	2,628,080	4,269,945
2008-04-04	$71.16	$70.00	25.8%	7.8%	35.5%	54.0%	28.4%	6.8%	6.2%	-135.1M	1.48B	-69.3M	2.52	4.04	120,453	303,651	2,612,561	4,456,535
2008-04-07	$70.96	$70.00	25.4%	7.7%	35.5%	52.2%	27.2%	6.2%	0.6%	-144.4M	1.88B	-67.6M	2.05	3.70	77,056	158,288	2,633,940	4,403,432
2008-04-08	$71.02	$70.00	25.1%	7.6%	34.2%	50.6%	27.5%	6.0%	0.8%	-71.2M	1.04B	-67.2M	1.44	3.20	99,522	143,163	2,715,639	4,422,181
2008-04-09	$69.81	$70.00	25.7%	7.8%	31.9%	53.5%	29.9%	5.7%	0.7%	-288.8M	4.09B	-66.3M	8.93	3.72	49,791	444,439	2,639,823	4,433,061
2008-04-10	$70.47	$70.00	26.7%	7.7%	31.6%	57.8%	27.7%	5.8%	0.5%	-212.1M	2.75B	-65.6M	2.01	3.43	120,550	242,316	2,640,581	4,471,721
2008-04-11	$68.74	$70.00	27.4%	7.9%	32.4%	61.0%	28.5%	5.3%	0.5%	-508.7M	6.94B	-63.9M	3.50	4.26	264,929	928,262	2,672,881	4,528,241
2008-04-14	$68.53	$70.00	27.8%	8.0%	30.9%	62.8%	29.1%	5.4%	0.1%	-560.8M	7.73B	-64.1M	1.34	3.14	193,249	259,923	2,752,039	4,775,168
2008-04-15	$69.01	$70.00	27.1%	7.8%	30.2%	59.4%	27.0%	5.6%	0.5%	-488.8M	6.47B	-63.5M	1.41	3.62	162,497	228,830	2,803,931	4,750,530
2008-04-16	$71.20	$70.00	25.1%	7.2%	27.9%	50.8%	25.4%	5.6%	0.7%	-12.7M	843.8M	-63.3M	1.34	3.54	313,414	420,174	2,792,212	4,778,407
2008-04-17	$70.92	$70.00	24.8%	7.1%	26.0%	49.5%	26.1%	5.6%	1.2%	-42.7M	1.46B	-63.1M	1.55	3.88	177,842	275,657	2,891,947	4,809,335
2008-04-18	$71.67	$70.00	23.1%	6.6%	25.6%	41.7%	24.7%	6.1%	1.4%	158.0M	-454.1M	-62.3M	1.06	3.17	506,219	536,898	2,858,156	4,876,393
2008-04-21	$71.68	$70.00	23.7%	6.8%	22.3%	44.6%	23.7%	5.4%	0.7%	-247.8M	1.88B	-61.5M	0.86	3.50	153,962	133,061	2,235,916	3,753,090
2008-04-22	$70.50	$70.00	25.1%	7.2%	23.2%	50.8%	24.9%	5.0%	0.8%	-293.6M	3.57B	-61.0M	2.44	2.48	141,519	345,582	2,235,956	3,717,623
2008-04-23	$70.55	$70.00	23.9%	6.8%	23.0%	45.2%	24.5%	4.1%	1.1%	-336.8M	3.80B	-61.5M	2.25	3.63	73,958	166,597	2,345,987	3,889,619
2008-04-24	$71.23	$70.00	23.5%	6.7%	23.0%	43.6%	24.1%	4.1%	0.8%	-238.7M	2.01B	-61.5M	2.20	2.89	164,649	362,159	2,368,631	3,897,477
2008-04-25	$71.90	$70.00	22.6%	6.5%	22.4%	39.6%	23.2%	4.5%	0.5%	-218.2M	1.25B	-61.2M	1.31	5.57	137,338	180,077	2,390,341	4,013,452
2008-04-28	$72.38	$71.00	22.9%	6.6%	22.5%	40.9%	23.4%	4.2%	0.2%	-154.7M	158.6M	-59.9M	1.85	3.27	161,995	299,980	2,451,338	4,018,551
2008-04-29	$71.74	$71.00	23.6%	6.8%	19.1%	43.8%	24.7%	4.6%	0.1%	-194.6M	1.37B	-61.2M	3.07	2.56	78,897	242,429	2,514,846	4,079,364
2008-04-30	$71.40	$71.00	24.5%	7.0%	19.2%	48.1%	24.2%	4.6%	0.1%	-241.1M	2.19B	-61.6M	1.97	3.17	119,633	235,700	2,530,464	4,167,818