IWM Options History — June 2008 In June 2008, IWM traded between $69.05 and $76.20. ATM implied volatility averaged 24.0%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.2% (HV 20d: 19.7%). Max pain ranged from $72.00 to $74.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.37.
Notable Days 2008-06-26 : Highest Volume — 980,661 contracts2008-06-30 : Largest IV spike — 23.0% change2008-06-24 : Highest IV Rank — 59.3%2008-06-24 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $72.65 $69.05 $76.20 $73.99 $69.05 Max Pain $73.33 $72.00 $74.00 $72.00 $73.00 ATM IV 24.0% 20.0% 27.0% 21.6% 27.0% Expected Move 6.9% 5.7% 7.8% 6.2% 7.7% HV 20d 19.7% 15.4% 22.4% 15.6% 22.3% HV 60d 21.5% 18.7% 24.9% 24.9% 19.6% IV Rank 45.7% 27.9% 59.3% 35.2% 59.2% IV Percentile 34.5% 12.7% 50.4% 24.2% 50.0% Term Structure 0.9% -0.2% 1.6% 0.6% 0.7% VWIV 25.1% 20.4% 26.8% 24.5% 26.8% Skew 25d 5.4% 4.5% 6.6% 5.7% 4.5% Skew 10d 10.3% 8.4% 12.8% 11.4% 8.9% Call IV 25d 21.9% 17.1% 25.2% 19.0% 25.0% Put IV 25d 27.3% 22.4% 29.9% 24.7% 29.5% Bid-Ask Spread % 5.26 3.90 7.29 4.36 5.15 Gamma HHI 0.10 0.07 0.26 0.08 0.26 Net GEX -530.5M -921.9M -100.4M -333.8M -921.9M Net DEX 4.93B -3.40B 12.49B 1.61B 12.49B Net VEX -65.1M -71.7M -56.0M -68.5M -57.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.37 1.41 4.87 4.87 1.84 Total Volume 614,216.095 381,439 980,661 521,773 552,225 Total OI 7,281,428.333 6,395,139 7,972,970 6,742,191 7,284,066
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 2008-06-02 $73.99 $72.00 21.6% 6.2% 15.6% 35.2% 24.5% 5.7% 0.6% -333.8M 1.61B -68.5M 4.87 4.36 88,822 432,951 2,422,271 4,319,920 2008-06-03 $73.84 $72.00 22.0% 6.3% 15.5% 36.7% 24.3% 5.8% 0.7% -384.4M 2.27B -69.4M 2.73 5.62 142,265 389,027 2,444,912 4,447,891 2008-06-04 $74.30 $72.00 22.3% 6.4% 15.4% 38.4% 23.9% 5.7% 0.4% -379.5M 1.57B -69.8M 3.04 5.46 106,335 323,235 2,485,571 4,575,343 2008-06-05 $76.20 $72.00 20.0% 5.7% 16.0% 27.9% 20.4% 5.3% 1.0% -100.4M -3.40B -66.7M 1.80 5.08 256,327 462,043 2,528,763 4,626,510 2008-06-06 $73.92 $72.00 24.3% 7.0% 20.0% 47.4% 25.2% 5.9% 0.1% -373.1M 2.39B -71.7M 3.39 5.55 168,118 570,752 2,613,985 4,647,353 2008-06-09 $73.68 $72.00 24.2% 7.1% 20.0% 46.7% 25.0% 5.8% -0.2% -475.0M 3.47B -70.3M 2.23 6.78 200,366 447,074 2,631,891 4,823,698 2008-06-10 $73.14 $74.00 24.1% 7.1% 18.7% 46.2% 26.7% 6.6% 1.5% -565.5M 4.82B -69.4M 1.54 5.64 185,569 285,218 2,671,035 4,882,710 2008-06-11 $71.87 $74.00 25.3% 7.3% 19.6% 51.5% 25.9% 6.2% 1.2% -672.8M 7.89B -69.1M 2.70 7.29 178,467 482,713 2,716,329 4,974,195 2008-06-12 $72.02 $74.00 25.2% 7.2% 19.6% 51.2% 25.3% 5.9% 1.1% -705.3M 7.30B -69.6M 1.68 5.49 170,905 286,999 2,701,246 5,089,635 2008-06-13 $73.32 $74.00 23.5% 6.8% 20.7% 43.8% 23.7% 5.7% 1.6% -527.5M 3.63B -69.0M 1.59 6.12 157,544 251,109 2,739,525 5,023,712 2008-06-16 $73.78 $74.00 23.0% 6.6% 20.7% 41.2% 25.4% 5.6% 1.4% -464.8M 1.81B -56.0M 1.58 4.58 265,617 420,205 2,501,532 4,689,634 2008-06-17 $73.72 $74.00 22.6% 6.5% 20.7% 39.5% 25.7% 5.2% 1.3% -480.7M 2.18B -64.8M 4.44 5.07 83,311 369,966 2,765,999 5,012,171 2008-06-18 $73.13 $74.00 24.0% 6.9% 20.9% 45.6% 24.3% 5.5% 1.3% -707.1M 4.27B -64.6M 1.73 4.74 178,643 308,716 2,753,429 5,049,374 2008-06-19 $73.74 $74.00 22.7% 6.5% 20.4% 40.0% 23.4% 5.1% 1.5% -555.3M 2.19B -63.5M 1.41 4.63 281,759 397,166 2,784,507 5,025,485 2008-06-20 $72.57 $74.00 24.6% 7.1% 21.1% 48.6% 26.3% 5.4% 1.1% -683.3M 5.93B -64.2M 3.98 5.60 182,748 726,754 2,853,843 5,119,127 2008-06-23 $71.89 $74.00 25.8% 7.4% 20.8% 53.7% 25.8% 4.8% 0.8% -463.9M 6.01B -62.3M 1.83 4.37 134,912 246,527 2,326,702 4,068,437 2008-06-24 $70.70 $74.00 27.0% 7.8% 20.8% 59.3% 26.6% 4.8% 0.5% -540.0M 8.47B -61.0M 1.42 3.90 336,636 478,530 2,391,660 4,193,273 2008-06-25 $71.50 $73.00 25.3% 7.2% 21.2% 51.4% 25.0% 4.7% 0.8% -573.7M 7.18B -62.7M 2.09 4.97 180,783 377,204 2,542,705 4,361,974 2008-06-26 $69.66 $74.00 26.8% 7.7% 22.4% 58.4% 26.7% 4.9% 0.5% -599.7M 10.81B -59.3M 2.30 4.67 296,763 683,898 2,572,859 4,336,932 2008-06-27 $69.70 $74.00 22.0% 7.5% 22.3% 36.7% 26.7% 5.1% 1.2% -633.1M 10.60B -58.4M 1.60 5.33 312,020 498,316 2,572,859 4,336,932 2008-06-30 $69.05 $73.00 27.0% 7.7% 22.3% 59.2% 26.8% 4.5% 0.7% -921.9M 12.49B -57.0M 1.84 5.15 194,675 357,550 2,767,494 4,516,572
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