IWM Options History — September 2008

In September 2008, IWM traded between $65.05 and $74.15. ATM implied volatility averaged 35.5%, placing in the 70.9% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 3.7% (HV 20d: 31.8%). Max pain ranged from $71.00 to $74.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.22.

Notable Days

2008-09-17: Highest Volume — 1,310,762 contracts
2008-09-29: Largest IV spike — 113.7% change
2008-09-23: Highest IV Rank — 100.0%
2008-09-29: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.89	$65.05	$74.15	$73.85	$68.00
Max Pain	$72.67	$71.00	$74.00	$73.00	$73.00
ATM IV	35.5%	25.0%	98.1%	25.4%	42.0%
Expected Move	9.4%	7.2%	14.6%	7.3%	12.1%
HV 20d	31.8%	22.3%	50.3%	23.0%	50.3%
HV 60d	28.3%	24.4%	35.7%	24.4%	35.7%
IV Rank	70.9%	29.7%	100.0%	39.5%	29.7%
IV Percentile	80.2%	36.9%	100.0%	42.9%	99.2%
Term Structure	-1.9%	-7.6%	0.6%	0.5%	-4.6%
VWIV	33.6%	25.4%	48.8%	25.4%	43.0%
Skew 25d	6.8%	4.7%	13.0%	5.1%	9.0%
Skew 10d	12.8%	7.9%	29.4%	9.0%	17.9%
Call IV 25d	29.6%	22.7%	46.3%	23.1%	38.4%
Put IV 25d	36.4%	27.4%	56.0%	28.2%	47.4%
Bid-Ask Spread %	8.71	3.81	35.68	3.81	10.30
Gamma HHI	0.08	0.06	0.21	0.07	0.21
Net GEX	-359.9M	-720.3M	59.9M	-75.7M	-614.0M
Net DEX	5.46B	-2.34B	14.17B	-68.7M	10.67B
Net VEX	-64.8M	-69.3M	-55.5M	-68.1M	-56.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.22	1.29	3.58	2.11	2.25
Total Volume	771,158.095	372,446	1,310,762	487,301	500,044
Total OI	7,767,432	6,747,452	8,797,024	7,214,934	7,295,186

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
2008-09-02	$73.85	$73.00	25.4%	7.3%	23.0%	39.5%	25.4%	5.1%	0.5%	-75.7M	-68.7M	-68.1M	2.11	3.81	156,671	330,630	2,953,285	4,261,649
2008-09-03	$74.15	$73.00	25.0%	7.2%	22.3%	37.1%	25.6%	4.8%	0.6%	-54.4M	-576.1M	-68.4M	1.73	4.45	136,382	236,064	3,009,650	4,358,175
2008-09-04	$71.82	$73.00	27.1%	7.8%	25.2%	48.8%	27.3%	4.8%	0.3%	-280.7M	4.07B	-67.6M	2.62	4.97	242,360	635,463	3,028,367	4,414,331
2008-09-05	$71.64	$73.00	26.3%	7.6%	24.6%	44.6%	27.2%	4.7%	0.5%	-316.9M	4.48B	-67.3M	2.80	4.86	225,481	630,269	3,032,903	4,503,526
2008-09-08	$72.48	$73.00	26.8%	7.9%	23.1%	47.4%	28.2%	5.4%	-0.1%	-151.5M	683.5M	-67.3M	1.60	6.30	317,280	507,663	3,096,496	4,647,241
2008-09-09	$70.81	$73.00	30.1%	8.5%	22.7%	65.8%	28.9%	4.7%	-0.7%	-420.5M	6.48B	-67.0M	1.88	5.03	285,416	536,257	3,205,874	4,692,572
2008-09-10	$71.47	$73.00	28.5%	8.1%	23.0%	57.1%	27.6%	5.0%	0.0%	-436.9M	5.57B	-69.3M	1.29	3.91	195,091	251,662	3,294,429	5,021,057
2008-09-11	$71.92	$73.00	28.1%	8.0%	23.1%	54.3%	29.6%	5.8%	0.2%	-344.7M	4.18B	-67.4M	1.98	4.59	303,821	602,695	3,228,657	4,785,618
2008-09-12	$72.25	$74.00	28.9%	8.3%	22.8%	59.3%	29.9%	6.0%	-0.4%	-325.5M	3.31B	-68.5M	1.56	5.27	273,646	427,027	3,288,500	4,981,097
2008-09-15	$69.01	$73.00	33.3%	9.6%	27.6%	83.9%	33.0%	6.4%	-1.6%	-626.3M	10.82B	-64.4M	2.53	6.51	308,809	782,706	3,364,269	5,090,324
2008-09-16	$71.00	$72.00	30.9%	8.9%	29.7%	70.3%	32.3%	7.4%	-1.1%	-493.5M	5.66B	-66.0M	3.58	7.10	249,601	893,171	3,347,243	5,092,727
2008-09-17	$67.80	$72.00	35.7%	10.2%	33.2%	97.4%	36.1%	9.0%	-2.6%	-720.3M	12.89B	-61.3M	2.34	17.87	392,487	918,275	3,352,320	5,164,429
2008-09-18	$71.80	$71.00	32.6%	9.3%	39.7%	79.8%	36.8%	13.0%	-3.1%	-502.5M	4.95B	-64.8M	2.07	35.68	331,086	685,483	3,471,127	5,286,449
2008-09-19	$71.80	$71.00	34.3%	9.8%	39.5%	89.6%	36.4%	10.0%	-3.9%	59.9M	-2.34B	-65.2M	2.12	15.24	402,588	852,900	3,508,622	5,288,402
2008-09-22	$71.95	$71.00	35.6%	10.2%	38.7%	96.8%	36.2%	7.1%	-3.1%	-181.0M	2.86B	-63.0M	1.81	7.70	172,898	313,011	2,666,200	4,081,252
2008-09-23	$70.99	$73.00	36.9%	10.6%	38.2%	100.0%	37.3%	6.4%	-3.2%	-349.4M	5.83B	-63.1M	2.68	6.58	181,538	487,265	2,762,846	4,348,683
2008-09-24	$69.94	$73.00	38.5%	11.0%	38.5%	100.0%	39.3%	6.9%	-3.3%	-415.3M	7.74B	-63.7M	2.63	8.11	160,092	420,495	2,702,581	4,495,411
2008-09-25	$70.30	$73.00	36.2%	10.4%	38.3%	88.2%	36.1%	5.6%	-2.5%	-424.2M	6.92B	-62.9M	1.66	6.86	186,398	308,913	2,742,031	4,552,977
2008-09-26	$70.63	$73.00	45.9%	10.9%	37.5%	100.0%	39.8%	5.6%	-3.6%	-402.3M	6.42B	-62.9M	2.61	6.06	147,665	385,607	2,766,545	4,526,120
2008-09-29	$65.05	$73.00	98.1%	14.6%	46.9%	100.0%	48.8%	9.7%	-7.6%	-481.9M	14.17B	-55.5M	2.76	11.66	217,803	601,607	2,789,491	4,617,410
2008-09-30	$68.00	$73.00	42.0%	12.1%	50.3%	29.7%	43.0%	9.0%	-4.6%	-614.0M	10.67B	-56.8M	2.25	10.30	153,734	346,310	2,821,944	4,473,242