IWM Options History — February 2009

In February 2009, IWM traded between $39.15 and $46.96. ATM implied volatility averaged 46.5%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 2.6% (HV 20d: 43.9%). Max pain ranged from $45.00 to $56.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.65.

Notable Days

  • 2009-02-20: Highest Volume — 515,809 contracts
  • 2009-02-17: Largest IV spike — 11.2% change
  • 2009-02-23: Highest IV Rank — 40.3%
  • 2009-02-23: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.18$39.15$46.96$44.84$39.15
Max Pain$47.84$45.00$56.00$48.00$56.00
ATM IV46.5%43.9%51.1%47.6%46.5%
Expected Move13.4%12.6%14.7%13.6%13.3%
HV 20d43.9%34.9%49.3%48.3%34.9%
HV 60d58.5%46.3%65.1%65.1%46.3%
IV Rank34.4%31.1%40.3%35.8%34.4%
IV Percentile68.9%64.7%77.0%71.8%67.5%
Term Structure0.2%-0.7%1.3%-0.1%-0.3%
VWIV46.4%43.1%50.2%50.2%45.6%
Skew 25d11.1%9.5%14.2%11.1%10.2%
Skew 10d21.8%17.2%24.4%22.6%17.2%
Call IV 25d41.4%38.0%44.9%42.6%42.3%
Put IV 25d52.5%49.8%59.1%53.7%52.4%
Bid-Ask Spread %5.703.727.623.726.41
Gamma HHI0.080.060.120.060.09
Net GEX-66.4M-108.5M-42.1M-55.6M-59.7M
Net DEX4.32B2.96B5.68B3.84B4.95B
Net VEX-22.0M-26.9M-17.6M-21.5M-17.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.632.772.461.05
Total Volume269,822.526115,254515,809316,247211,861
Total OI4,332,059.1583,788,4534,764,3073,938,9864,072,762

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$44.84$48.0047.6%13.6%48.3%35.8%50.2%11.1%-0.1%-55.6M3.84B-21.5M2.463.7291,499224,7481,631,3092,307,677
2009-02-03$45.16$48.0045.5%13.1%48.4%33.2%46.1%9.9%0.4%-61.3M3.90B-22.4M0.784.13187,216146,9031,656,4282,387,982
2009-02-04$44.83$48.0045.2%13.0%47.7%32.8%45.0%9.5%0.4%-54.9M3.84B-24.2M2.773.9674,757207,4011,768,0862,453,220
2009-02-05$45.35$48.0045.2%13.0%47.3%32.8%45.2%9.5%1.0%-57.8M3.86B-25.4M1.243.7851,51663,7381,803,9602,552,961
2009-02-06$46.96$46.0043.9%12.7%49.3%31.1%44.4%11.5%0.2%-42.1M2.96B-26.9M0.836.84128,426106,4461,810,3222,555,054
2009-02-09$46.75$46.0045.5%12.9%47.6%33.2%44.2%11.6%0.1%-42.3M3.07B-26.2M0.635.23117,48673,6981,852,2042,578,378
2009-02-10$44.59$46.0048.6%13.7%49.3%37.2%47.1%12.3%0.1%-58.0M4.00B-24.8M2.166.12130,187281,2741,913,4822,598,074
2009-02-11$44.76$46.0043.9%13.2%49.0%31.1%46.4%11.9%0.1%-77.2M4.18B-24.6M2.706.5555,622150,4371,914,1842,700,783
2009-02-12$45.14$46.0044.3%12.7%46.5%31.6%44.2%11.8%1.3%-69.9M3.85B-24.2M0.815.70134,352108,6491,914,0622,702,614
2009-02-13$44.67$46.0044.1%12.6%46.2%31.4%43.1%10.9%0.3%-80.6M4.26B-23.8M2.387.6297,693232,9111,962,4782,713,832
2009-02-17$42.90$46.0049.0%14.1%48.0%37.6%49.3%11.7%-0.3%-90.5M5.08B-21.8M1.536.41103,756159,2401,991,5022,690,202
2009-02-18$42.29$46.0048.6%13.9%41.4%37.1%47.6%11.1%-0.2%-89.3M5.33B-20.3M1.745.88120,091208,8212,010,0622,662,886
2009-02-19$41.70$46.0046.9%13.4%37.2%35.0%45.6%11.0%0.0%-101.0M5.47B-20.0M1.906.08109,357207,7082,041,6302,697,572
2009-02-20$41.14$45.0048.2%13.8%36.2%36.5%47.4%10.8%-0.7%-108.5M5.68B-18.9M2.276.55157,768358,0412,051,3462,712,961
2009-02-23$39.56$45.0051.1%14.7%38.1%40.3%50.1%14.2%0.7%-51.8M4.45B-18.4M1.505.8578,922118,6851,577,3402,211,113
2009-02-24$41.02$45.0045.4%13.0%40.5%33.1%45.9%10.0%0.2%-50.4M4.18B-19.6M1.254.97102,524128,4911,625,8892,231,817
2009-02-25$40.17$56.0046.5%13.3%40.5%34.4%47.3%11.3%0.1%-54.1M4.59B-18.4M1.646.33106,098173,6361,654,1682,264,278
2009-02-26$39.42$56.0047.3%13.6%36.8%35.4%46.8%11.0%-0.3%-56.4M4.67B-18.2M1.616.2344,73371,9371,698,2192,338,287
2009-02-27$39.15$56.0046.5%13.3%34.9%34.4%45.6%10.2%-0.3%-59.7M4.95B-17.6M1.056.41103,174108,6871,709,7292,363,033