IWM Options History — December 2008

In December 2008, IWM traded between $42.02 and $49.24. ATM implied volatility averaged 57.8%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 22.3% (HV 20d: 80.1%). Max pain ranged from $55.00 to $70.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.37.

Notable Days

2008-12-22: Highest Volume — 484,768 contracts
2008-12-29: Largest IV spike — 24.9% change
2008-12-01: Highest IV Rank — 67.8%
2008-12-01: Largest Expected Move — 20.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.79	$42.02	$49.24	$42.02	$49.24
Max Pain	$62.77	$55.00	$70.00	$70.00	$55.00
ATM IV	57.8%	45.6%	72.7%	72.7%	45.6%
Expected Move	16.5%	13.1%	20.9%	20.9%	13.1%
HV 20d	80.1%	49.6%	91.9%	86.7%	49.6%
HV 60d	78.1%	76.1%	79.5%	76.1%	76.7%
IV Rank	48.8%	33.3%	67.8%	67.8%	33.3%
IV Percentile	84.1%	74.6%	95.6%	95.6%	74.6%
Term Structure	0.4%	-2.1%	2.6%	-2.1%	1.4%
VWIV	58.6%	46.0%	74.5%	74.5%	46.0%
Skew 25d	11.7%	7.1%	16.2%	16.2%	7.1%
Skew 10d	21.4%	13.8%	30.4%	30.4%	13.8%
Call IV 25d	51.8%	41.7%	65.0%	65.0%	41.7%
Put IV 25d	63.5%	48.8%	81.2%	81.2%	48.8%
Bid-Ask Spread %	6.34	2.79	9.13	9.06	2.79
Gamma HHI	0.06	0.05	0.10	0.06	0.10
Net GEX	-64.2M	-77.3M	-53.8M	-64.8M	-62.6M
Net DEX	6.52B	4.36B	8.21B	8.21B	4.36B
Net VEX	-24.9M	-28.6M	-21.0M	-21.0M	-22.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.38	3.25	1.12	1.15
Total Volume	276,379.318	67,267	484,768	265,312	213,461
Total OI	5,738,713.227	5,004,317	6,381,543	5,538,743	5,004,317

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
2008-12-01	$42.02	$70.00	72.7%	20.9%	86.7%	67.8%	74.5%	16.2%	-2.1%	-64.8M	8.21B	-21.0M	1.12	9.06	125,000	140,312	2,312,374	3,226,369
2008-12-02	$44.23	$70.00	69.0%	19.8%	89.5%	63.0%	72.2%	16.1%	-1.4%	-65.4M	7.69B	-23.8M	0.94	7.05	113,581	106,515	2,367,263	3,269,896
2008-12-03	$45.57	$70.00	66.4%	19.0%	90.3%	59.7%	65.0%	15.5%	-1.4%	-63.3M	7.25B	-25.2M	1.19	8.07	128,679	153,028	2,390,563	3,270,663
2008-12-04	$44.06	$70.00	69.2%	19.8%	89.2%	63.2%	70.0%	15.6%	-1.0%	-62.8M	7.49B	-24.3M	2.18	9.13	116,183	253,078	2,428,776	3,310,336
2008-12-05	$46.10	$69.00	64.5%	18.5%	90.3%	57.3%	68.1%	14.0%	-0.4%	-63.8M	7.11B	-26.6M	1.30	7.79	136,068	177,372	2,472,264	3,360,144
2008-12-08	$48.14	$69.00	63.6%	18.2%	91.5%	56.1%	66.8%	13.7%	-0.5%	-58.7M	6.22B	-28.6M	2.35	7.56	92,587	217,400	2,483,314	3,398,404
2008-12-09	$46.65	$69.00	65.1%	18.3%	91.8%	58.1%	63.0%	13.5%	0.2%	-62.5M	6.62B	-27.5M	1.77	6.45	112,899	200,130	2,509,038	3,431,559
2008-12-10	$47.75	$62.00	58.6%	17.2%	91.9%	49.8%	60.2%	13.6%	-0.5%	-65.1M	6.48B	-27.7M	1.22	6.00	123,217	150,617	2,526,627	3,454,358
2008-12-11	$45.33	$62.00	62.1%	17.8%	91.3%	54.2%	60.5%	13.1%	-0.6%	-74.4M	7.47B	-25.4M	1.47	6.16	141,600	208,829	2,575,412	3,489,876
2008-12-12	$46.89	$62.00	59.7%	17.1%	87.4%	51.2%	59.9%	13.3%	0.6%	-68.2M	6.54B	-27.4M	1.22	5.85	108,123	132,423	2,622,096	3,551,250
2008-12-15	$45.38	$62.00	62.4%	17.9%	83.7%	54.6%	61.4%	13.5%	-0.2%	-77.3M	7.19B	-25.1M	1.06	5.91	158,232	168,450	2,637,835	3,565,724
2008-12-16	$48.33	$62.00	56.6%	16.2%	86.6%	47.3%	61.7%	11.7%	1.2%	-61.7M	6.22B	-27.1M	1.66	5.50	123,106	204,737	2,677,874	3,593,952
2008-12-17	$48.77	$61.00	54.0%	15.5%	86.5%	43.9%	58.1%	10.7%	1.5%	-53.8M	6.02B	-26.8M	2.04	5.10	133,555	272,036	2,680,391	3,585,087
2008-12-18	$48.46	$61.00	52.3%	15.0%	80.1%	41.8%	52.9%	10.8%	2.6%	-60.3M	5.99B	-26.5M	1.01	6.46	142,739	144,775	2,703,088	3,631,503
2008-12-19	$48.70	$60.00	48.6%	13.9%	74.5%	37.1%	49.5%	9.5%	1.6%	-62.0M	6.18B	-25.7M	0.98	5.13	196,966	193,545	2,750,188	3,631,355
2008-12-22	$47.76	$60.00	48.4%	13.9%	73.6%	36.9%	50.3%	9.2%	2.3%	-59.3M	6.62B	-24.1M	0.38	4.41	352,560	132,208	2,342,491	3,026,044
2008-12-23	$46.71	$60.00	49.6%	14.2%	70.7%	38.4%	49.7%	8.3%	2.0%	-69.7M	7.31B	-22.9M	1.16	4.84	82,539	95,658	2,325,073	3,069,192
2008-12-24	$46.88	$59.00	50.0%	14.3%	70.6%	38.9%	49.7%	8.7%	1.0%	-63.1M	6.29B	-23.2M	0.82	7.50	36,985	30,282	2,349,876	2,898,287
2008-12-26	$47.55	$57.00	45.9%	13.8%	67.7%	33.7%	48.8%	8.4%	1.0%	-66.6M	5.67B	-22.8M	0.89	6.74	44,140	39,259	2,356,202	2,791,693
2008-12-29	$46.82	$56.00	57.3%	14.6%	67.8%	48.1%	52.7%	7.3%	0.2%	-70.4M	5.77B	-21.7M	3.25	4.21	54,333	176,411	2,360,804	2,776,807
2008-12-30	$48.12	$55.00	50.2%	13.8%	51.9%	39.1%	48.5%	7.5%	0.8%	-55.8M	4.79B	-22.0M	1.04	7.81	71,918	74,809	2,355,307	2,688,019
2008-12-31	$49.24	$55.00	45.6%	13.1%	49.6%	33.3%	46.0%	7.1%	1.4%	-62.6M	4.36B	-22.5M	1.15	2.79	99,256	114,205	2,342,321	2,661,996