IWM Options History — October 2008 In October 2008, IWM traded between $44.86 and $67.02. ATM implied volatility averaged 67.3%, placing in the 60.9% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 4.7% (HV 20d: 71.9%). Max pain ranged from $63.00 to $73.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 2.09.
Notable Days 2008-10-06 : Highest Volume — 1,535,599 contracts2008-10-06 : Largest IV spike — 30.2% change2008-10-10 : Highest IV Rank — 95.2%2008-10-27 : Largest Expected Move — 22.3%Monthly Statistics Metric Avg Min Max Open Close Price $53.75 $44.86 $67.02 $67.02 $53.75 Max Pain $67.26 $63.00 $73.00 $73.00 $63.00 ATM IV 67.3% 43.8% 94.3% 43.8% 57.7% Expected Move 17.5% 12.6% 22.3% 12.6% 16.5% HV 20d 71.9% 50.3% 87.8% 50.3% 87.8% HV 60d 48.8% 35.0% 59.9% 35.0% 59.9% IV Rank 60.9% 31.9% 95.2% 31.9% 48.7% IV Percentile 97.6% 92.9% 99.6% 99.2% 92.9% Term Structure -6.6% -10.5% -2.2% -5.1% -3.5% VWIV 59.7% 45.1% 74.0% 45.1% 61.3% Skew 25d 16.6% 8.6% 22.8% 8.6% 18.4% Skew 10d 30.3% 16.6% 42.7% 16.6% 34.1% Call IV 25d 53.1% 39.7% 69.1% 39.7% 49.7% Put IV 25d 69.7% 48.3% 89.8% 48.3% 68.1% Bid-Ask Spread % 10.18 6.14 26.54 7.11 6.98 Gamma HHI 0.06 0.04 0.07 0.06 0.05 Net GEX -172.6M -358.1M -71.6M -317.9M -93.5M Net DEX 12.87B 7.97B 17.70B 7.97B 8.95B Net VEX -34.0M -55.8M -21.2M -55.8M -35.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.09 0.64 4.41 3.42 1.20 Total Volume 608,171.652 236,131 1,535,599 397,475 389,761 Total OI 6,325,640.522 5,389,423 7,458,068 5,820,644 6,016,993
Daily Data (23 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 2008-10-01 $67.02 $73.00 43.8% 12.6% 50.3% 31.9% 45.1% 8.6% -5.1% -317.9M 7.97B -55.8M 3.42 7.11 90,022 307,453 2,182,494 3,638,150 2008-10-02 $63.58 $72.00 53.0% 15.2% 52.3% 43.5% 53.8% 12.3% -8.3% -309.8M 10.67B -51.0M 3.31 7.45 177,155 586,325 2,205,216 3,683,271 2008-10-03 $62.70 $72.00 49.7% 14.3% 52.3% 39.3% 52.0% 11.4% -5.9% -358.1M 13.39B -47.8M 4.41 6.57 158,040 696,302 2,276,107 3,901,945 2008-10-06 $59.72 $71.00 64.8% 14.3% 53.9% 58.1% 50.3% 14.7% -5.4% -306.5M 14.82B -42.4M 4.22 6.64 294,378 1,241,221 2,305,463 4,035,844 2008-10-07 $55.80 $70.00 66.6% 15.3% 57.6% 59.9% 50.2% 13.0% -6.0% -268.3M 16.65B -35.6M 2.91 7.75 223,919 651,649 2,452,301 4,259,881 2008-10-08 $54.46 $70.00 74.8% 17.0% 57.2% 70.4% 57.9% 14.3% -7.5% -233.9M 17.12B -33.9M 2.10 6.90 274,201 575,146 2,490,048 4,320,872 2008-10-09 $49.99 $70.00 82.5% 18.6% 62.0% 80.1% 57.2% 14.1% -2.2% -141.9M 17.70B -24.6M 1.86 17.94 281,289 522,753 2,568,987 4,310,810 2008-10-10 $52.45 $69.00 94.3% 19.9% 65.9% 95.2% 68.6% 18.4% -9.7% -173.7M 16.31B -32.6M 1.60 26.54 329,952 527,918 2,659,472 4,279,207 2008-10-13 $56.98 $68.00 75.7% 16.3% 73.6% 71.5% 52.5% 16.5% -7.2% -260.5M 14.02B -39.6M 2.36 9.43 234,763 554,201 2,741,033 4,376,848 2008-10-14 $55.38 $67.00 75.2% 17.1% 72.5% 70.9% 53.9% 14.1% -7.3% -242.7M 14.64B -37.8M 1.14 10.15 258,838 294,781 2,831,677 4,447,541 2008-10-15 $50.41 $67.00 89.2% 19.3% 77.3% 88.7% 63.4% 15.7% -10.5% -136.6M 16.48B -27.3M 2.02 12.78 223,692 452,725 2,927,880 4,308,483 2008-10-16 $53.71 $66.00 63.3% 18.1% 78.0% 55.8% 64.7% 19.2% -8.9% -188.4M 15.10B -32.4M 1.90 10.07 296,559 562,929 2,978,922 4,272,038 2008-10-17 $52.45 $66.00 65.3% 18.7% 77.9% 58.4% 62.7% 17.4% -8.4% -134.9M 15.52B -31.6M 1.74 14.74 224,134 390,677 3,062,011 4,396,057 2008-10-20 $54.69 $65.00 51.4% 14.7% 80.3% 40.7% 50.4% 15.1% -2.3% -118.5M 10.09B -33.5M 0.64 7.22 193,152 123,803 2,151,217 3,238,206 2008-10-21 $53.18 $65.00 53.4% 15.3% 80.5% 43.3% 52.6% 15.0% -2.7% -107.2M 10.48B -30.7M 1.12 9.76 168,048 188,566 2,232,724 3,248,048 2008-10-22 $50.49 $65.00 65.8% 18.9% 81.6% 58.9% 64.1% 19.1% -6.0% -89.2M 10.75B -30.2M 1.28 7.73 130,514 167,336 2,359,251 3,296,065 2008-10-23 $48.99 $65.00 64.6% 18.5% 81.3% 57.4% 65.7% 20.6% -5.6% -84.9M 11.28B -26.9M 1.91 8.28 164,858 314,570 2,369,715 3,327,664 2008-10-24 $47.17 $65.00 75.1% 21.5% 81.2% 70.8% 74.0% 22.8% -7.9% -77.2M 11.48B -24.5M 1.42 17.43 142,434 201,831 2,404,738 3,384,741 2008-10-27 $44.86 $65.00 77.9% 22.3% 78.7% 74.3% 73.7% 20.8% -9.6% -71.6M 11.63B -21.2M 1.87 6.14 82,325 153,806 2,432,049 3,417,314 2008-10-28 $48.45 $65.00 68.7% 19.7% 82.9% 62.6% 64.7% 21.1% -7.4% -83.6M 10.78B -29.1M 2.49 10.10 137,594 342,173 2,458,201 3,427,866 2008-10-29 $48.70 $64.00 68.8% 19.7% 83.2% 62.7% 69.2% 19.8% -7.0% -79.7M 10.42B -26.6M 1.79 8.39 145,382 260,581 2,494,790 3,330,325 2008-10-30 $51.43 $64.00 65.0% 18.6% 85.6% 58.0% 65.6% 19.5% -6.4% -90.6M 9.71B -31.6M 1.37 8.04 105,697 144,495 2,538,927 3,448,340 2008-10-31 $53.75 $63.00 57.7% 16.5% 87.8% 48.7% 61.3% 18.4% -3.5% -93.5M 8.95B -35.1M 1.20 6.98 177,268 212,493 2,552,902 3,464,091
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