IWM Options History — January 2009

In January 2009, IWM traded between $43.33 and $51.25. ATM implied volatility averaged 47.7%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 3.4% (HV 20d: 44.3%). Max pain ranged from $48.00 to $55.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.59.

Notable Days

2009-01-15: Highest Volume — 605,539 contracts
2009-01-20: Largest IV spike — 20.4% change
2009-01-20: Highest IV Rank — 48.2%
2009-01-20: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.81	$43.33	$51.25	$50.22	$44.48
Max Pain	$49.95	$48.00	$55.00	$55.00	$48.00
ATM IV	47.7%	42.1%	57.3%	43.6%	48.1%
Expected Move	13.7%	12.1%	16.4%	12.5%	13.8%
HV 20d	44.3%	34.6%	49.6%	49.1%	48.9%
HV 60d	68.9%	65.1%	75.6%	75.6%	65.2%
IV Rank	35.9%	28.9%	48.2%	30.8%	36.4%
IV Percentile	74.4%	67.1%	82.5%	73.8%	72.6%
Term Structure	0.9%	-0.3%	2.2%	1.3%	0.7%
VWIV	48.0%	43.9%	55.7%	44.7%	46.3%
Skew 25d	11.3%	6.3%	13.8%	6.3%	10.8%
Skew 10d	22.0%	11.8%	28.2%	11.8%	20.9%
Call IV 25d	42.0%	36.9%	49.9%	40.9%	41.9%
Put IV 25d	53.3%	46.8%	63.8%	47.2%	52.8%
Bid-Ask Spread %	5.13	3.96	6.23	3.96	4.52
Gamma HHI	0.07	0.05	0.09	0.06	0.06
Net GEX	-53.5M	-83.1M	-37.6M	-37.6M	-54.8M
Net DEX	3.87B	2.84B	5.31B	3.19B	3.87B
Net VEX	-20.9M	-22.7M	-18.2M	-22.7M	-21.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	0.77	2.65	1.95	1.19
Total Volume	290,335.5	159,495	605,539	198,042	161,049
Total OI	4,007,266.3	3,139,364	4,777,365	4,056,958	3,901,142

Daily Data (20 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
2009-01-02	$50.22	$55.00	43.6%	12.5%	49.1%	30.8%	44.7%	6.3%	1.3%	-37.6M	3.19B	-22.7M	1.95	3.96	67,206	130,836	1,811,863	2,245,095
2009-01-05	$50.40	$52.00	46.4%	13.0%	46.9%	34.3%	45.3%	10.4%	-0.1%	-39.8M	3.23B	-21.5M	1.38	5.85	68,861	95,205	1,786,889	2,273,724
2009-01-06	$51.25	$52.00	44.2%	12.6%	44.9%	31.5%	45.9%	10.8%	0.1%	-40.5M	2.91B	-22.7M	1.36	6.04	123,499	168,267	1,838,372	2,315,611
2009-01-07	$49.74	$51.00	47.0%	13.5%	44.1%	35.1%	47.4%	11.8%	-0.1%	-45.3M	3.45B	-22.5M	1.14	5.95	126,112	144,314	1,884,131	2,358,289
2009-01-08	$49.98	$51.00	44.8%	13.4%	42.4%	32.3%	48.9%	11.8%	1.1%	-42.4M	3.35B	-22.6M	1.58	6.03	103,489	163,005	1,907,843	2,384,054
2009-01-09	$48.13	$51.00	43.9%	13.6%	44.1%	31.2%	48.4%	10.7%	1.0%	-62.2M	4.26B	-20.3M	2.34	5.04	142,665	333,283	1,930,393	2,424,117
2009-01-12	$46.70	$51.00	50.4%	14.4%	41.2%	39.4%	49.7%	12.6%	-0.0%	-73.3M	4.96B	-19.9M	1.53	4.68	114,392	175,390	1,958,347	2,543,640
2009-01-13	$47.32	$51.00	47.4%	13.7%	39.7%	35.6%	47.0%	11.8%	1.0%	-69.8M	4.60B	-20.0M	1.36	4.81	140,102	191,164	1,988,278	2,542,257
2009-01-14	$45.24	$50.00	53.6%	14.6%	41.3%	43.4%	51.1%	12.4%	0.6%	-83.1M	5.31B	-19.2M	2.03	5.62	106,908	217,304	2,056,593	2,587,525
2009-01-15	$45.97	$50.00	49.1%	14.1%	34.6%	37.8%	50.3%	12.8%	0.9%	-82.6M	4.93B	-20.2M	2.21	5.03	188,382	417,157	2,087,927	2,643,049
2009-01-16	$46.48	$50.00	47.6%	13.7%	34.7%	35.9%	48.3%	12.4%	1.7%	-52.9M	4.55B	-20.3M	1.91	4.68	186,033	355,186	2,121,085	2,656,280
2009-01-20	$43.33	$49.00	57.3%	16.4%	42.2%	48.2%	55.7%	13.8%	-0.3%	-42.8M	3.80B	-18.2M	1.57	6.22	115,939	182,159	1,334,436	1,804,928
2009-01-21	$45.49	$49.00	50.1%	14.4%	46.3%	39.0%	50.8%	12.2%	1.5%	-45.0M	3.47B	-20.2M	1.16	4.83	113,790	132,008	1,382,078	1,891,059
2009-01-22	$44.17	$49.00	50.4%	14.5%	46.9%	39.4%	48.7%	12.1%	2.2%	-47.9M	3.70B	-19.5M	1.58	4.85	94,331	149,064	1,424,747	1,940,889
2009-01-23	$44.39	$48.00	48.7%	14.0%	46.5%	37.2%	49.6%	11.2%	2.2%	-50.1M	3.88B	-19.1M	1.62	4.95	70,529	113,978	1,457,324	1,954,428
2009-01-26	$44.89	$48.00	47.1%	13.5%	46.7%	35.2%	47.6%	11.1%	1.2%	-53.4M	3.81B	-20.4M	1.04	4.57	101,576	105,585	1,480,340	2,074,633
2009-01-27	$45.38	$48.00	45.7%	13.1%	46.6%	33.4%	45.5%	10.2%	1.1%	-53.2M	3.66B	-21.0M	0.77	4.56	89,977	69,518	1,521,025	2,094,917
2009-01-28	$47.25	$48.00	42.1%	12.1%	48.6%	28.9%	43.9%	9.9%	1.3%	-40.7M	2.84B	-22.6M	2.65	6.23	106,595	282,208	1,557,827	2,110,974
2009-01-29	$45.40	$48.00	46.1%	13.2%	49.6%	33.9%	45.4%	10.3%	1.1%	-52.8M	3.56B	-22.4M	1.43	4.16	65,803	93,841	1,590,492	2,278,725
2009-01-30	$44.48	$48.00	48.1%	13.8%	48.9%	36.4%	46.3%	10.8%	0.7%	-54.8M	3.87B	-21.8M	1.19	4.52	73,456	87,593	1,611,097	2,290,045