IWM Options History — July 2008

In July 2008, IWM traded between $65.69 and $71.93. ATM implied volatility averaged 27.5%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.4% (HV 20d: 27.1%). Max pain ranged from $70.00 to $73.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.78.

Notable Days

2008-07-02: Highest Volume — 1,447,060 contracts
2008-07-09: Largest IV spike — 14.8% change
2008-07-14: Highest IV Rank — 76.2%
2008-07-14: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.71	$65.69	$71.93	$69.10	$71.32
Max Pain	$70.73	$70.00	$73.00	$73.00	$70.00
ATM IV	27.5%	23.8%	31.9%	26.6%	25.6%
Expected Move	7.9%	6.8%	9.2%	7.6%	7.3%
HV 20d	27.1%	19.6%	31.2%	22.3%	28.7%
HV 60d	22.0%	19.6%	23.8%	19.6%	23.7%
IV Rank	53.6%	30.4%	76.2%	57.4%	40.2%
IV Percentile	53.1%	24.6%	88.5%	47.2%	36.9%
Term Structure	0.1%	-1.5%	1.0%	0.9%	0.4%
VWIV	27.8%	24.9%	31.7%	26.8%	25.9%
Skew 25d	5.8%	4.4%	7.7%	4.4%	4.8%
Skew 10d	10.8%	8.0%	14.0%	8.0%	8.8%
Call IV 25d	24.7%	21.0%	28.2%	24.7%	23.0%
Put IV 25d	30.5%	26.8%	35.6%	29.1%	27.8%
Bid-Ask Spread %	3.65	1.98	5.32	5.32	2.64
Gamma HHI	0.09	0.07	0.21	0.10	0.07
Net GEX	-395.1M	-604.2M	-117.0M	-491.0M	-173.3M
Net DEX	7.74B	733.1M	14.73B	10.02B	1.49B
Net VEX	-56.8M	-60.9M	-50.2M	-57.6M	-60.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.68	2.84	1.68	1.60
Total Volume	708,018.091	255,849	1,447,060	1,004,822	255,849
Total OI	6,761,213.455	5,603,025	7,754,800	6,102,277	6,808,545

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
2008-07-01	$69.10	$73.00	26.6%	7.6%	22.3%	57.4%	26.8%	4.4%	0.9%	-491.0M	10.02B	-57.6M	1.68	5.32	374,257	630,565	2,314,383	3,787,894
2008-07-02	$66.91	$73.00	29.6%	8.5%	24.3%	70.9%	29.1%	4.8%	0.2%	-479.7M	12.79B	-54.3M	1.73	3.59	529,381	917,679	2,437,065	3,919,671
2008-07-03	$66.32	$73.00	28.5%	8.2%	21.4%	65.8%	27.7%	4.5%	0.6%	-544.0M	14.15B	-54.3M	1.14	3.99	375,062	426,480	2,606,220	4,180,832
2008-07-07	$65.69	$72.00	29.3%	8.3%	19.6%	69.2%	29.4%	6.3%	-0.2%	-523.2M	14.73B	-50.2M	2.78	4.44	259,069	719,475	2,791,740	4,118,443
2008-07-08	$68.07	$72.00	25.9%	7.5%	24.5%	54.3%	26.2%	5.9%	0.6%	-604.2M	10.96B	-56.5M	1.75	3.63	216,020	378,283	2,640,221	4,255,401
2008-07-09	$66.25	$72.00	29.8%	8.4%	25.9%	64.1%	28.1%	6.1%	-0.5%	-568.8M	13.50B	-52.6M	1.27	4.40	295,211	376,140	2,671,221	4,235,256
2008-07-10	$66.90	$71.00	29.0%	8.3%	25.9%	59.9%	30.3%	6.2%	-0.3%	-583.5M	12.61B	-55.5M	2.84	4.08	186,111	527,879	2,754,013	4,354,346
2008-07-11	$67.27	$70.00	29.7%	8.5%	26.0%	63.9%	30.4%	7.0%	-0.5%	-541.2M	11.64B	-56.9M	2.15	4.97	275,393	593,484	2,824,139	4,335,817
2008-07-14	$66.16	$70.00	31.9%	9.2%	25.2%	76.2%	31.0%	7.5%	-1.5%	-542.5M	13.17B	-54.1M	1.99	4.99	177,634	353,947	2,932,591	4,435,431
2008-07-15	$65.88	$70.00	31.5%	9.0%	24.8%	73.6%	31.7%	7.4%	-1.2%	-563.9M	13.52B	-52.8M	1.79	4.28	303,504	541,994	2,956,571	4,431,831
2008-07-16	$68.30	$70.00	28.9%	8.3%	28.9%	58.8%	29.8%	6.7%	-0.5%	-491.9M	8.30B	-57.4M	1.32	3.43	376,842	498,417	3,021,958	4,485,618
2008-07-17	$68.40	$70.00	29.1%	8.3%	28.9%	60.0%	28.5%	7.7%	-0.2%	-419.5M	6.20B	-57.7M	1.77	4.90	393,111	697,264	3,100,980	4,545,324
2008-07-18	$68.88	$70.00	27.4%	7.9%	28.8%	50.6%	27.4%	6.4%	0.2%	-600.8M	7.19B	-56.4M	1.54	3.26	260,300	401,602	3,097,448	4,657,352
2008-07-21	$69.72	$70.00	26.4%	7.6%	28.9%	45.1%	28.2%	6.6%	-0.0%	-241.5M	4.07B	-56.0M	2.23	2.61	172,904	386,046	2,202,024	3,401,001
2008-07-22	$71.47	$70.00	24.1%	6.9%	30.3%	31.9%	25.1%	5.7%	0.8%	-156.9M	1.57B	-57.3M	1.15	3.19	296,848	340,027	2,272,451	3,627,702
2008-07-23	$71.93	$70.00	23.8%	6.8%	29.7%	30.4%	25.5%	5.8%	0.9%	-117.0M	733.1M	-59.4M	1.71	2.87	259,705	443,809	2,398,954	3,757,716
2008-07-24	$70.11	$70.00	26.2%	7.5%	30.9%	43.9%	26.2%	5.7%	0.8%	-228.5M	3.37B	-60.1M	2.21	3.42	172,418	381,287	2,464,253	3,786,628
2008-07-25	$70.68	$70.00	25.0%	7.2%	29.6%	36.9%	24.9%	5.1%	1.0%	-218.6M	2.98B	-60.5M	0.68	2.94	263,037	178,625	2,483,517	3,832,119
2008-07-28	$69.48	$70.00	27.8%	8.0%	30.2%	52.8%	27.4%	4.8%	-0.1%	-290.6M	4.78B	-59.3M	2.11	3.33	102,495	216,079	2,605,033	3,891,907
2008-07-29	$71.18	$70.00	25.6%	7.3%	31.2%	40.2%	26.4%	4.8%	0.2%	-166.9M	1.77B	-59.8M	1.60	2.10	186,882	299,741	2,648,659	3,945,596
2008-07-30	$71.61	$70.00	24.3%	7.0%	31.2%	33.2%	25.2%	4.4%	0.4%	-144.1M	792.4M	-60.0M	2.09	1.98	173,105	362,437	2,693,083	4,035,742
2008-07-31	$71.32	$70.00	25.6%	7.3%	28.7%	40.2%	25.9%	4.8%	0.4%	-173.3M	1.49B	-60.9M	1.60	2.64	98,260	157,589	2,735,505	4,073,040