IWM Options History — May 2008

In May 2008, IWM traded between $71.50 and $74.67. ATM implied volatility averaged 21.3%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.7% (HV 20d: 17.5%). Max pain ranged from $71.00 to $74.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.18.

Notable Days

2008-05-16: Highest Volume — 765,554 contracts
2008-05-05: Largest IV spike — 12.0% change
2008-05-27: Highest IV Rank — 40.9%
2008-05-09: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.07	$71.50	$74.67	$72.75	$74.67
Max Pain	$72.33	$71.00	$74.00	$71.00	$72.00
ATM IV	21.3%	19.4%	22.9%	21.2%	19.4%
Expected Move	6.3%	5.6%	6.8%	6.1%	5.6%
HV 20d	17.5%	14.4%	20.6%	20.3%	15.2%
HV 60d	26.6%	25.9%	27.3%	27.3%	25.9%
IV Rank	33.6%	25.2%	40.9%	33.2%	25.2%
IV Percentile	23.8%	10.3%	30.6%	26.2%	10.3%
Term Structure	0.7%	0.2%	2.0%	1.2%	0.9%
VWIV	22.8%	20.6%	25.2%	23.1%	22.0%
Skew 25d	5.5%	4.1%	6.0%	4.2%	5.4%
Skew 10d	10.2%	7.7%	11.3%	7.9%	10.8%
Call IV 25d	19.2%	17.2%	20.7%	19.6%	17.2%
Put IV 25d	24.7%	22.4%	26.5%	23.7%	22.6%
Bid-Ask Spread %	4.63	3.20	10.57	3.34	6.40
Gamma HHI	0.09	0.07	0.27	0.07	0.08
Net GEX	-206.0M	-447.6M	257.6M	-103.4M	-262.6M
Net DEX	992.3M	-3.42B	5.00B	-631.8M	17.3M
Net VEX	-64.8M	-70.4M	-59.7M	-59.7M	-68.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.18	1.03	3.32	3.32	1.78
Total Volume	469,348.333	200,057	765,554	668,031	220,708
Total OI	6,836,537.286	5,435,851	7,917,636	6,702,598	6,714,013

Daily Data (21 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
2008-05-01	$72.75	$71.00	21.2%	6.1%	20.3%	33.2%	23.1%	4.2%	1.2%	-103.4M	-631.8M	-59.7M	3.32	3.34	154,579	513,452	2,532,235	4,170,363
2008-05-02	$72.52	$71.00	19.7%	5.6%	20.3%	26.5%	20.6%	4.1%	2.0%	-133.7M	-91.7M	-60.2M	3.13	3.20	107,810	337,264	2,550,137	4,218,072
2008-05-05	$72.27	$71.00	22.0%	6.6%	20.3%	37.1%	23.1%	5.8%	0.5%	-205.0M	1.12B	-61.4M	1.65	4.84	75,410	124,647	2,556,061	4,372,173
2008-05-06	$72.86	$71.00	20.8%	6.4%	20.5%	31.7%	23.1%	6.0%	0.3%	-135.5M	-77.4M	-61.5M	2.11	4.30	200,717	423,938	2,574,658	4,403,430
2008-05-07	$71.56	$72.00	22.6%	6.7%	20.6%	39.3%	25.2%	5.8%	0.3%	-324.0M	2.95B	-63.8M	3.18	5.03	140,170	446,133	2,629,387	4,601,621
2008-05-08	$71.71	$72.00	21.5%	6.6%	20.4%	34.8%	25.1%	5.5%	0.5%	-447.6M	3.45B	-62.7M	1.03	4.28	213,576	219,495	2,632,232	4,722,800
2008-05-09	$71.50	$72.00	21.9%	6.8%	18.1%	36.6%	23.3%	5.8%	0.6%	-320.6M	2.48B	-63.4M	1.74	4.73	191,385	333,549	2,690,848	4,692,840
2008-05-12	$73.07	$73.00	21.7%	6.4%	19.3%	35.6%	23.9%	5.7%	0.4%	-86.5M	-548.9M	-62.6M	1.91	3.95	155,229	296,614	2,751,573	4,816,432
2008-05-13	$73.49	$73.00	20.4%	6.3%	19.2%	29.8%	22.1%	5.8%	0.4%	2.1M	-1.78B	-61.3M	1.05	4.13	261,495	274,193	2,767,982	4,847,150
2008-05-14	$73.40	$73.00	20.2%	6.4%	16.1%	28.7%	22.6%	5.9%	0.4%	-13.3M	-1.54B	-62.7M	2.02	4.00	170,224	344,173	2,831,360	4,902,605
2008-05-15	$73.55	$73.00	21.1%	6.1%	16.0%	33.0%	21.9%	6.0%	0.2%	73.7M	-3.42B	-62.4M	1.59	4.24	109,027	173,318	2,835,488	4,999,439
2008-05-16	$73.95	$73.00	21.6%	6.2%	15.7%	35.2%	22.5%	5.6%	0.4%	257.6M	-2.67B	-63.0M	1.57	5.18	297,363	468,191	2,845,178	5,072,458
2008-05-19	$73.97	$73.00	21.3%	6.1%	15.7%	33.7%	22.9%	5.5%	0.6%	-242.8M	1.58B	-64.8M	3.31	4.40	105,886	350,406	1,873,457	3,562,394
2008-05-20	$73.70	$73.00	20.8%	6.0%	14.4%	31.8%	21.9%	5.5%	0.9%	-289.5M	2.17B	-66.3M	1.66	3.39	208,486	345,512	1,936,502	3,711,282
2008-05-21	$72.65	$73.00	21.7%	6.2%	15.5%	35.4%	22.0%	5.1%	0.9%	-345.3M	3.60B	-68.9M	2.71	3.81	128,418	347,700	2,073,085	3,869,325
2008-05-22	$73.17	$74.00	21.1%	6.0%	15.4%	32.9%	21.7%	4.7%	1.1%	-357.1M	3.41B	-69.6M	2.52	3.90	142,613	359,886	2,119,451	3,982,408
2008-05-23	$72.21	$73.00	22.7%	6.5%	15.9%	39.8%	23.3%	5.1%	0.7%	-413.0M	5.00B	-70.4M	3.10	3.61	105,135	325,837	2,197,503	4,067,755
2008-05-27	$73.32	$72.00	22.9%	6.6%	16.6%	40.9%	23.8%	5.8%	0.5%	-359.1M	3.03B	-69.4M	2.29	5.31	113,227	259,559	2,231,049	4,132,141
2008-05-28	$73.66	$72.00	21.2%	6.1%	16.3%	33.2%	22.4%	5.8%	0.8%	-331.7M	2.07B	-69.4M	1.81	4.57	81,427	147,234	2,282,661	4,205,668
2008-05-29	$74.41	$72.00	20.8%	6.0%	16.4%	31.8%	21.9%	5.7%	1.3%	-288.3M	726.6M	-67.9M	2.21	10.57	181,315	401,014	2,297,892	4,294,175
2008-05-30	$74.67	$72.00	19.4%	5.6%	15.2%	25.2%	22.0%	5.4%	0.9%	-262.6M	17.3M	-68.9M	1.78	6.40	79,396	141,312	2,395,289	4,318,724