IWM Options History — November 2008

In November 2008, IWM traded between $38.53 and $54.44. ATM implied volatility averaged 63.3%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 14.3% (HV 20d: 77.5%). Max pain ranged from $48.00 to $70.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.51.

Notable Days

2008-11-21: Highest Volume — 864,418 contracts
2008-11-13: Largest IV drop — 16.4% change
2008-11-20: Highest IV Rank — 77.4%
2008-11-20: Largest Expected Move — 23.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.90	$38.53	$54.44	$53.82	$47.34
Max Pain	$55.32	$48.00	$70.00	$63.00	$70.00
ATM IV	63.3%	52.0%	80.3%	55.0%	59.8%
Expected Move	18.0%	14.9%	23.0%	15.8%	17.2%
HV 20d	77.5%	67.8%	86.5%	86.5%	79.0%
HV 60d	65.2%	59.4%	72.7%	59.6%	72.6%
IV Rank	55.8%	41.5%	77.4%	45.3%	51.4%
IV Percentile	92.9%	88.1%	98.4%	92.5%	88.1%
Term Structure	-1.7%	-4.5%	0.6%	-1.8%	-0.3%
VWIV	63.4%	52.7%	79.7%	60.4%	67.1%
Skew 25d	16.6%	13.0%	18.9%	17.2%	15.7%
Skew 10d	31.0%	24.9%	35.5%	33.3%	30.2%
Call IV 25d	54.6%	45.0%	71.8%	46.2%	51.9%
Put IV 25d	71.2%	58.6%	90.6%	63.4%	67.5%
Bid-Ask Spread %	7.50	5.12	12.62	7.58	9.62
Gamma HHI	0.06	0.05	0.12	0.05	0.06
Net GEX	-93.4M	-112.5M	-63.0M	-93.6M	-66.2M
Net DEX	10.10B	7.02B	12.11B	8.65B	7.02B
Net VEX	-25.5M	-35.2M	-14.7M	-35.2M	-26.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.51	0.90	1.98	1.98	1.23
Total Volume	397,333.421	123,865	864,418	250,939	123,865
Total OI	6,327,218.842	5,231,227	7,119,000	6,174,982	5,520,992

Daily Data (19 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
2008-11-03	$53.82	$63.00	55.0%	15.8%	86.5%	45.3%	60.4%	17.2%	-1.8%	-93.6M	8.65B	-35.2M	1.98	7.58	84,328	166,611	2,629,732	3,545,250
2008-11-04	$54.44	$63.00	52.0%	14.9%	83.4%	41.5%	52.7%	13.6%	-1.6%	-99.1M	8.80B	-35.2M	1.59	5.61	124,703	198,580	2,638,031	3,582,589
2008-11-05	$51.59	$62.00	54.9%	15.7%	85.1%	45.1%	56.9%	13.0%	-1.6%	-97.4M	9.78B	-32.4M	1.56	6.76	115,224	180,011	2,685,986	3,592,913
2008-11-06	$49.59	$62.00	63.2%	18.1%	80.6%	55.7%	62.0%	14.9%	-3.7%	-98.5M	10.33B	-30.6M	1.67	7.05	147,249	245,291	2,711,865	3,642,344
2008-11-07	$50.62	$52.00	54.6%	15.6%	79.0%	44.7%	57.1%	17.4%	-1.6%	-103.2M	10.02B	-31.0M	1.29	10.03	111,220	143,737	2,752,323	3,712,319
2008-11-10	$49.45	$52.00	61.2%	16.4%	72.6%	53.1%	55.6%	16.8%	-0.4%	-109.2M	10.72B	-29.0M	1.82	5.58	88,132	160,362	2,753,337	3,707,677
2008-11-11	$48.38	$52.00	61.6%	16.7%	72.4%	53.6%	57.4%	17.6%	-1.6%	-110.3M	11.17B	-26.0M	1.63	6.28	159,112	259,919	2,772,474	3,709,559
2008-11-12	$45.56	$52.00	66.8%	17.7%	67.8%	60.3%	62.2%	18.6%	-1.9%	-112.5M	11.77B	-22.2M	1.98	5.91	157,244	311,433	2,810,153	3,728,773
2008-11-13	$49.31	$52.00	55.9%	16.0%	70.1%	46.3%	58.6%	17.2%	-1.5%	-109.6M	10.46B	-27.0M	0.90	6.20	292,874	264,402	2,868,691	3,766,707
2008-11-14	$45.64	$52.00	62.6%	17.9%	74.5%	54.9%	59.8%	18.9%	-0.3%	-106.0M	11.42B	-23.5M	1.32	5.12	176,997	234,345	2,929,148	3,753,273
2008-11-17	$45.25	$51.00	67.9%	19.5%	72.3%	61.7%	64.0%	18.2%	-2.7%	-104.8M	11.50B	-22.1M	1.16	5.53	143,850	167,045	2,942,994	3,778,623
2008-11-18	$45.03	$51.00	70.0%	20.1%	71.9%	64.3%	70.4%	18.3%	-3.2%	-99.2M	11.08B	-22.7M	1.78	8.66	117,116	207,925	2,974,171	3,788,140
2008-11-19	$41.36	$50.00	77.0%	22.1%	75.5%	73.2%	74.2%	17.3%	-3.0%	-95.8M	11.87B	-18.3M	1.74	6.46	198,592	346,024	2,999,510	3,817,569
2008-11-20	$38.53	$50.00	80.3%	23.0%	78.3%	77.4%	79.7%	18.8%	-4.5%	-80.5M	12.10B	-14.7M	1.48	12.62	347,141	512,095	3,092,361	3,823,244
2008-11-21	$40.64	$50.00	72.3%	20.7%	80.9%	67.3%	75.6%	17.0%	-0.9%	-90.9M	12.11B	-17.5M	1.52	11.71	342,405	522,013	3,232,480	3,886,520
2008-11-24	$43.50	$49.00	66.5%	19.3%	83.5%	59.8%	68.7%	15.1%	-2.0%	-63.0M	7.93B	-21.8M	1.38	6.84	174,611	241,494	2,206,154	3,025,073
2008-11-25	$44.22	$48.00	62.4%	17.9%	78.5%	54.6%	63.9%	13.8%	0.3%	-67.8M	7.97B	-22.5M	1.43	6.55	88,544	126,714	2,260,930	3,123,382
2008-11-26	$46.87	$70.00	58.3%	16.6%	81.6%	49.4%	57.5%	15.1%	0.6%	-66.2M	7.17B	-25.8M	1.27	8.44	118,292	149,835	2,288,440	3,163,431
2008-11-28	$47.34	$70.00	59.8%	17.2%	79.0%	51.4%	67.1%	15.7%	-0.3%	-66.2M	7.02B	-26.6M	1.23	9.62	55,480	68,385	2,304,637	3,216,355