IWM Options History — March 2009

In March 2009, IWM traded between $34.39 and $44.38. ATM implied volatility averaged 49.7%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 2.6% (HV 20d: 52.2%). Max pain ranged from $37.00 to $56.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.60.

Notable Days

2009-03-02: Highest Volume — 422,089 contracts
2009-03-30: Largest IV spike — 66.0% change
2009-03-30: Highest IV Rank — 62.4%
2009-03-09: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.43	$34.39	$44.38	$36.94	$42.05
Max Pain	$44.23	$37.00	$56.00	$56.00	$41.00
ATM IV	49.7%	41.3%	68.5%	53.5%	51.0%
Expected Move	14.1%	12.6%	16.0%	15.3%	14.6%
HV 20d	52.2%	38.6%	64.5%	39.1%	60.8%
HV 60d	47.3%	44.4%	50.9%	46.4%	50.7%
IV Rank	38.5%	27.8%	62.4%	43.3%	40.2%
IV Percentile	69.5%	50.4%	92.9%	79.0%	74.2%
Term Structure	-0.5%	-1.9%	1.0%	-1.5%	-0.1%
VWIV	49.2%	45.7%	52.9%	52.4%	51.6%
Skew 25d	9.3%	7.7%	11.9%	11.9%	7.9%
Skew 10d	17.7%	15.0%	22.7%	22.7%	16.3%
Call IV 25d	44.7%	40.1%	49.7%	47.7%	47.6%
Put IV 25d	54.0%	48.7%	60.5%	59.7%	55.6%
Bid-Ask Spread %	5.06	3.58	6.72	6.25	5.76
Gamma HHI	0.08	0.05	0.15	0.08	0.13
Net GEX	-50.0M	-68.2M	-16.6M	-55.4M	-51.1M
Net DEX	4.05B	1.90B	5.77B	5.18B	2.92B
Net VEX	-19.7M	-24.9M	-14.0M	-16.1M	-24.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.84	2.98	2.98	1.70
Total Volume	288,057.182	204,433	422,089	422,089	238,363
Total OI	4,678,772.455	4,127,117	5,238,297	4,127,117	4,765,995

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
2009-03-02	$36.94	$56.00	53.5%	15.3%	39.1%	43.3%	52.4%	11.9%	-1.5%	-55.4M	5.18B	-16.1M	2.98	6.25	106,016	316,073	1,741,218	2,385,899
2009-03-03	$36.24	$56.00	52.5%	15.1%	38.7%	42.1%	52.6%	10.8%	-0.9%	-59.8M	5.57B	-15.0M	1.52	5.41	98,795	149,939	1,762,322	2,481,172
2009-03-04	$36.99	$56.00	48.8%	14.0%	39.8%	37.3%	50.0%	10.2%	-0.2%	-63.5M	5.40B	-15.7M	1.56	4.07	92,562	144,302	1,792,167	2,530,532
2009-03-05	$35.02	$56.00	54.4%	15.6%	42.8%	44.5%	49.9%	11.5%	-1.6%	-63.9M	5.61B	-14.4M	2.16	4.76	108,220	233,525	1,830,909	2,595,373
2009-03-06	$35.20	$56.00	54.3%	15.6%	42.4%	44.3%	52.9%	11.6%	-1.9%	-64.4M	5.50B	-15.0M	1.60	4.34	142,855	228,604	1,878,629	2,646,013
2009-03-09	$34.39	$56.00	55.7%	16.0%	38.6%	46.2%	52.7%	10.8%	-1.6%	-66.4M	5.77B	-14.0M	1.99	3.58	76,457	152,178	1,946,192	2,725,150
2009-03-10	$36.63	$56.00	49.6%	13.9%	47.6%	38.3%	48.5%	9.2%	-0.7%	-67.8M	5.29B	-16.0M	1.48	3.62	136,273	201,228	1,958,652	2,742,750
2009-03-11	$36.68	$37.00	47.7%	13.4%	45.9%	36.0%	47.1%	9.2%	-0.0%	-68.2M	5.33B	-15.9M	1.38	6.32	102,148	141,428	1,982,907	2,760,255
2009-03-12	$38.96	$37.00	45.3%	13.0%	52.1%	32.9%	46.9%	8.8%	-0.5%	-54.0M	4.38B	-18.4M	1.08	5.00	186,738	201,621	2,020,268	2,789,070
2009-03-13	$39.37	$37.00	46.6%	13.4%	52.2%	34.6%	46.2%	8.8%	-0.1%	-53.0M	4.19B	-19.8M	1.65	5.47	86,740	143,525	2,081,358	2,839,526
2009-03-16	$38.66	$37.00	47.5%	13.6%	52.3%	35.7%	48.0%	9.5%	-0.0%	-59.8M	4.45B	-19.1M	0.89	5.47	135,456	120,305	2,093,147	2,884,589
2009-03-17	$40.45	$37.00	45.3%	13.0%	53.9%	32.9%	46.7%	8.5%	0.1%	-44.0M	3.66B	-20.6M	1.02	4.41	122,491	124,592	2,151,747	2,907,651
2009-03-18	$41.85	$38.00	44.0%	12.6%	55.3%	31.3%	45.7%	8.6%	-0.0%	-24.8M	3.01B	-21.5M	1.21	3.91	115,171	139,004	2,187,105	2,913,777
2009-03-19	$41.41	$38.00	47.1%	13.5%	55.2%	35.2%	46.4%	9.1%	-0.1%	-16.6M	3.21B	-21.4M	0.84	5.53	158,462	133,734	2,225,862	2,938,398
2009-03-20	$39.98	$38.00	49.1%	14.1%	56.4%	37.7%	49.0%	9.9%	0.5%	-61.1M	3.99B	-21.0M	1.90	5.23	121,248	229,761	2,256,802	2,981,495
2009-03-23	$43.38	$39.00	47.5%	13.6%	61.7%	35.7%	49.0%	9.6%	-1.1%	-26.8M	2.36B	-23.2M	1.98	6.72	90,313	178,791	1,907,941	2,458,804
2009-03-24	$41.70	$40.00	47.9%	13.7%	62.4%	36.1%	48.2%	8.2%	-0.1%	-38.4M	3.03B	-22.8M	1.64	5.06	77,334	127,099	1,905,047	2,507,025
2009-03-25	$42.73	$40.00	46.8%	13.4%	62.4%	34.9%	48.5%	7.8%	-0.2%	-34.4M	2.58B	-23.9M	2.01	5.38	86,380	173,971	1,937,241	2,534,387
2009-03-26	$44.38	$40.00	48.2%	13.8%	63.0%	36.6%	49.4%	7.9%	-1.1%	-29.7M	1.90B	-24.9M	1.48	5.43	149,776	222,148	1,932,466	2,588,163
2009-03-27	$42.89	$41.00	41.3%	13.5%	64.5%	27.8%	47.7%	7.7%	1.0%	-39.3M	2.51B	-24.8M	1.36	5.54	100,588	136,801	1,983,650	2,655,646
2009-03-30	$41.66	$41.00	68.5%	14.9%	61.5%	62.4%	52.9%	7.9%	-0.7%	-57.7M	3.20B	-24.2M	1.71	4.02	112,897	193,346	2,031,886	2,693,808
2009-03-31	$42.05	$41.00	51.0%	14.6%	60.8%	40.2%	51.6%	7.9%	-0.1%	-51.1M	2.92B	-24.5M	1.70	5.76	88,136	150,227	2,063,870	2,702,125