IWM Options History — April 2009 In April 2009, IWM traded between $42.78 and $48.97. ATM implied volatility averaged 46.0%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 6.7% (HV 20d: 52.7%). Max pain ranged from $41.00 to $46.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.76.
Notable Days 2009-04-17 : Highest Volume — 367,877 contracts2009-04-20 : Largest IV spike — 14.1% change2009-04-02 : Highest IV Rank — 39.0%2009-04-02 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $46.21 $42.78 $48.97 $42.78 $48.52 Max Pain $44.19 $41.00 $46.00 $41.00 $46.00 ATM IV 46.0% 42.3% 50.1% 49.4% 43.3% Expected Move 13.4% 12.2% 14.4% 14.2% 12.4% HV 20d 52.7% 42.8% 60.7% 60.7% 44.4% HV 60d 50.9% 49.3% 52.7% 50.9% 49.9% IV Rank 33.8% 29.1% 39.0% 38.1% 30.4% IV Percentile 56.8% 43.3% 72.2% 70.6% 43.7% Term Structure -0.3% -1.5% 1.1% 0.2% -0.1% VWIV 47.9% 43.5% 51.3% 51.1% 44.8% Skew 25d 7.5% 6.0% 9.7% 7.4% 7.4% Skew 10d 14.8% 11.2% 19.2% 15.2% 14.6% Call IV 25d 43.3% 39.0% 47.2% 46.1% 41.2% Put IV 25d 50.8% 46.8% 54.0% 53.5% 48.6% Bid-Ask Spread % 3.92 2.70 6.65 5.05 3.32 Gamma HHI 0.05 0.04 0.09 0.05 0.05 Net GEX -19.5M -36.7M 2.9M -19.5M -22.1M Net DEX 604.8M -462.8M 1.53B 1.53B 148.2M Net VEX -28.6M -31.1M -26.5M -31.1M -30.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.76 0.91 2.88 2.88 2.22 Total Volume 257,723.714 147,660 367,877 175,944 230,563 Total OI 4,280,912.667 3,903,352 4,739,531 4,218,056 4,739,531
Daily Data (21 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 2009-04-01 $42.78 $41.00 49.4% 14.2% 60.7% 38.1% 51.1% 7.4% 0.2% -19.5M 1.53B -31.1M 2.88 5.05 45,349 130,595 1,784,136 2,433,920 2009-04-02 $44.92 $41.00 50.1% 14.4% 57.7% 39.0% 51.3% 6.9% -0.0% -10.4M 615.4M -27.1M 1.50 6.65 119,099 178,911 1,620,267 2,283,085 2009-04-03 $45.63 $43.00 45.9% 13.9% 57.7% 33.6% 49.9% 7.7% -1.5% -10.0M 378.1M -27.7M 2.35 4.15 58,229 137,073 1,649,629 2,357,811 2009-04-06 $44.85 $44.00 47.1% 14.2% 57.2% 35.3% 51.1% 7.0% -1.3% -17.8M 822.0M -27.1M 2.79 3.81 55,522 154,646 1,659,214 2,378,324 2009-04-07 $43.26 $44.00 45.6% 14.2% 56.6% 33.3% 49.6% 6.7% -0.1% -28.6M 1.53B -26.5M 1.61 3.62 58,971 94,958 1,672,478 2,437,226 2009-04-08 $44.06 $44.00 42.3% 13.6% 56.6% 29.1% 47.8% 6.5% 0.2% -26.4M 1.23B -26.7M 1.36 3.95 79,080 107,596 1,684,570 2,462,779 2009-04-09 $46.64 $44.00 44.8% 12.8% 56.2% 32.2% 45.8% 6.1% 0.1% -3.3M -84.5M -27.7M 1.41 3.44 143,282 202,435 1,707,222 2,478,745 2009-04-13 $46.66 $44.00 47.0% 13.5% 56.3% 35.1% 48.9% 6.0% -1.5% -5.7M -29.7M -27.6M 1.87 3.24 96,454 179,915 1,728,383 2,515,167 2009-04-14 $45.31 $44.00 47.9% 13.7% 57.1% 36.3% 47.0% 6.0% -0.8% -16.4M 532.5M -26.9M 1.25 3.71 107,450 134,795 1,755,584 2,542,399 2009-04-15 $46.00 $44.00 46.0% 13.2% 55.5% 33.8% 47.1% 6.5% 0.3% -15.3M 338.1M -27.5M 1.91 3.03 91,300 174,350 1,782,168 2,619,621 2009-04-16 $47.33 $44.00 44.2% 12.7% 55.2% 31.6% 45.8% 6.7% 0.2% -5.7M -270.8M -28.3M 1.19 3.55 150,071 178,077 1,796,662 2,702,482 2009-04-17 $47.75 $45.00 42.6% 12.2% 54.8% 29.5% 43.5% 6.9% 0.8% 2.9M -462.8M -28.5M 0.91 3.19 192,953 174,924 1,828,463 2,744,350 2009-04-20 $45.30 $45.00 48.6% 13.9% 56.9% 37.1% 49.7% 8.7% -1.1% -36.7M 1.47B -27.9M 2.21 3.72 97,979 216,380 1,646,422 2,346,066 2009-04-21 $46.87 $45.00 46.1% 13.2% 50.7% 33.9% 47.4% 8.3% -0.9% -31.5M 932.9M -29.0M 1.56 3.92 138,281 216,334 1,682,693 2,424,617 2009-04-22 $46.86 $45.00 46.6% 13.4% 48.1% 34.6% 47.5% 8.5% -0.3% -30.2M 1.00B -29.3M 1.28 5.38 127,077 162,519 1,739,257 2,462,910 2009-04-23 $46.75 $45.00 46.1% 13.2% 47.7% 33.9% 47.6% 8.5% -0.6% -30.1M 1.07B -29.3M 1.98 3.91 111,272 220,435 1,773,022 2,485,172 2009-04-24 $47.62 $45.00 44.8% 12.8% 46.4% 32.2% 46.7% 9.0% 0.6% -24.8M 431.6M -30.3M 1.87 5.99 58,910 110,431 1,820,511 2,591,557 2009-04-27 $47.11 $45.00 47.8% 13.7% 44.6% 36.1% 50.0% 9.7% -1.0% -33.1M 881.5M -30.2M 1.58 3.30 65,727 104,172 1,835,832 2,629,093 2009-04-28 $47.18 $45.00 47.0% 13.5% 42.8% 35.0% 49.0% 9.3% -0.8% -32.3M 819.0M -30.4M 1.78 2.70 53,098 94,562 1,879,441 2,656,341 2009-04-29 $48.97 $45.00 42.5% 12.2% 44.2% 29.3% 44.5% 8.1% 1.1% -12.5M -185.4M -30.5M 1.37 2.70 150,986 207,437 1,888,222 2,673,794 2009-04-30 $48.52 $46.00 43.3% 12.4% 44.4% 30.4% 44.8% 7.4% -0.1% -22.1M 148.2M -30.8M 2.22 3.32 71,602 158,961 1,961,867 2,777,664
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