IWM Options History — August 2008

In August 2008, IWM traded between $70.75 and $75.30. ATM implied volatility averaged 24.1%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.0% (HV 20d: 24.2%). Max pain ranged from $70.00 to $73.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.55.

Notable Days

  • 2008-08-13: Highest Volume — 1,004,317 contracts
  • 2008-08-25: Largest IV spike — 13.1% change
  • 2008-08-04: Highest IV Rank — 43.3%
  • 2008-08-04: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.17$70.75$75.30$71.41$73.87
Max Pain$71.67$70.00$73.00$70.00$73.00
ATM IV24.1%22.1%26.1%24.7%23.9%
Expected Move7.0%6.4%7.5%7.1%6.9%
HV 20d24.2%21.8%28.3%28.3%23.3%
HV 60d24.6%23.4%25.7%23.5%25.2%
IV Rank32.2%21.0%43.3%35.3%31.1%
IV Percentile28.1%15.1%41.3%29.0%28.2%
Term Structure0.6%0.1%1.1%1.0%0.8%
VWIV24.8%23.1%26.5%25.3%24.6%
Skew 25d4.9%3.7%5.9%4.6%4.9%
Skew 10d9.0%6.8%11.2%8.2%9.7%
Call IV 25d22.0%20.9%24.0%22.0%21.9%
Put IV 25d26.9%24.7%29.2%26.6%26.7%
Bid-Ask Spread %3.382.454.682.453.96
Gamma HHI0.080.060.140.070.07
Net GEX-15.5M-322.0M403.8M-148.6M-83.6M
Net DEX-986.1M-7.73B2.84B978.4M35.6M
Net VEX-63.2M-69.6M-56.5M-60.1M-69.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.523.111.861.39
Total Volume564,728.762297,1571,004,317470,893361,262
Total OI6,963,098.2385,642,8778,091,1056,808,2947,112,198

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$71.41$70.0024.7%7.1%28.3%35.3%25.3%4.6%1.0%-148.6M978.4M-60.1M1.862.45164,423306,4702,742,9874,065,307
2008-08-04$70.75$70.0026.1%7.5%28.3%43.3%26.5%5.2%0.1%-322.0M2.84B-56.5M1.194.39233,039276,7002,780,8684,112,049
2008-08-05$71.96$70.0024.9%7.1%26.2%36.4%26.4%5.9%0.2%-95.7M36.1M-59.1M1.162.75149,195173,5202,875,1424,194,559
2008-08-06$72.32$70.0023.7%7.0%23.7%30.0%24.7%5.5%0.2%-45.1M-920.7M-58.5M1.273.31227,689288,9912,893,3744,227,868
2008-08-07$71.24$70.0024.3%7.2%24.6%33.4%25.4%5.7%0.4%-171.3M1.20B-59.7M1.913.37118,792226,5542,969,3784,312,122
2008-08-08$73.12$71.0022.3%6.8%25.9%21.8%24.6%5.7%0.3%19.8M-2.44B-59.3M2.402.94209,098501,5822,967,5494,328,168
2008-08-11$74.87$71.0025.1%6.8%25.6%37.9%25.0%5.9%0.3%239.8M-6.30B-58.1M1.153.66433,103499,7333,009,1274,450,988
2008-08-12$74.31$71.0023.9%7.1%25.8%31.2%25.5%5.5%0.3%135.1M-5.05B-59.8M1.614.17235,342379,4573,049,5564,583,870
2008-08-13$74.58$71.0022.1%7.0%23.2%21.0%25.5%5.4%0.6%157.9M-5.37B-60.0M1.113.19476,847527,4703,079,2564,636,381
2008-08-14$75.30$72.0023.7%6.8%23.2%29.8%23.6%4.9%0.5%357.6M-7.73B-61.6M0.523.37582,108300,3053,307,5044,742,413
2008-08-15$75.10$72.0023.5%6.7%23.4%28.7%24.2%5.0%0.6%403.8M-7.11B-62.3M1.213.34339,678410,8093,319,6304,771,475
2008-08-18$74.13$72.0024.7%7.1%23.9%35.2%24.9%4.8%0.8%22.3M-1.18B-63.1M1.753.44243,646427,0522,412,3273,230,550
2008-08-19$72.90$73.0025.1%7.2%23.5%37.8%25.5%4.5%0.8%-65.3M1.16B-65.5M1.204.02338,241404,3672,529,7603,440,034
2008-08-20$73.00$73.0024.6%7.1%23.4%35.0%25.1%4.3%0.7%-71.3M1.08B-66.7M1.742.90217,350377,9642,600,7113,556,986
2008-08-21$72.16$73.0024.4%7.0%21.8%33.7%24.4%3.8%0.8%-132.1M2.47B-65.9M2.212.79138,937306,7172,638,2673,634,697
2008-08-22$73.68$73.0022.4%6.4%22.7%22.5%23.1%3.8%1.0%-40.0M-55.6M-66.7M1.392.92183,145254,5402,674,3483,717,923
2008-08-25$72.06$73.0025.4%7.2%23.4%39.0%25.2%3.7%0.7%-161.8M2.78B-67.1M1.722.98187,530322,9352,760,5633,824,578
2008-08-26$72.17$73.0025.1%7.0%21.8%37.6%24.4%3.7%1.1%-162.2M2.55B-68.9M3.112.5686,163267,9132,810,3693,979,594
2008-08-27$73.03$72.0024.1%7.0%22.1%32.3%23.7%4.7%0.8%-136.2M1.47B-69.2M1.364.68126,145171,0122,802,3854,081,362
2008-08-28$74.51$72.0022.6%6.6%23.0%23.7%23.8%4.5%0.9%-26.0M-1.16B-68.8M1.263.79169,602213,8782,851,0854,147,755
2008-08-29$73.87$73.0023.9%6.9%23.3%31.1%24.6%4.9%0.8%-83.6M35.6M-69.6M1.393.96151,097210,1652,886,4984,225,700