IWM Options History — May 2009

In May 2009, IWM traded between $47.28 and $51.01. ATM implied volatility averaged 39.0%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 0.9% (HV 20d: 38.1%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.93.

Notable Days

2009-05-14: Highest Volume — 474,761 contracts
2009-05-12: Largest IV drop — 18.3% change
2009-05-11: Highest IV Rank — 30.4%
2009-05-07: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.28	$47.28	$51.01	$48.82	$50.17
Max Pain	$49.30	$46.00	$50.00	$46.00	$50.00
ATM IV	39.0%	35.4%	43.4%	41.8%	35.7%
Expected Move	11.2%	10.2%	12.1%	12.0%	10.2%
HV 20d	38.1%	34.2%	42.8%	41.5%	36.9%
HV 60d	49.3%	47.7%	50.3%	49.9%	47.7%
IV Rank	24.9%	20.3%	30.4%	28.5%	20.7%
IV Percentile	37.9%	32.1%	43.7%	41.3%	32.1%
Term Structure	0.0%	-0.6%	1.0%	1.0%	-0.0%
VWIV	40.4%	37.7%	43.6%	43.6%	40.3%
Skew 25d	7.9%	7.0%	9.0%	7.0%	8.6%
Skew 10d	15.4%	13.8%	18.0%	14.4%	17.3%
Call IV 25d	35.2%	31.1%	39.4%	39.4%	31.1%
Put IV 25d	43.1%	39.8%	46.4%	46.4%	39.8%
Bid-Ask Spread %	4.40	2.84	6.46	3.26	4.10
Gamma HHI	0.06	0.04	0.11	0.05	0.06
Net GEX	-43.4M	-93.7M	7.0M	-22.1M	-48.2M
Net DEX	307.7M	-1.50B	2.02B	50.2M	226.1M
Net VEX	-30.4M	-32.3M	-28.5M	-31.2M	-30.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	1.04	2.72	1.04	2.19
Total Volume	269,738.45	132,926	474,761	260,356	175,503
Total OI	4,923,504.6	4,133,494	5,484,592	4,863,766	4,973,441

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
2009-05-01	$48.82	$46.00	41.8%	12.0%	41.5%	28.5%	43.6%	7.0%	1.0%	-22.1M	50.2M	-31.2M	1.04	3.26	127,315	133,041	2,000,298	2,863,468
2009-05-04	$50.60	$49.00	41.1%	11.7%	42.8%	27.6%	42.4%	8.1%	0.1%	7.0M	-1.31B	-32.3M	1.82	4.99	47,083	85,843	2,116,401	2,957,700
2009-05-05	$50.35	$49.00	40.9%	11.8%	42.2%	27.3%	42.2%	8.1%	-0.1%	6.3M	-1.17B	-31.7M	2.26	4.77	51,013	115,049	2,089,277	2,927,914
2009-05-06	$50.49	$49.00	41.5%	11.8%	39.2%	28.2%	41.3%	7.9%	-0.1%	4.6M	-1.28B	-31.5M	1.75	4.72	73,859	129,318	2,093,541	2,985,625
2009-05-07	$49.30	$49.00	42.6%	12.1%	40.5%	29.5%	42.0%	8.0%	-0.6%	-18.7M	-430.8M	-31.4M	2.01	5.82	76,487	153,846	2,109,496	3,016,279
2009-05-08	$51.01	$49.00	38.8%	11.2%	37.4%	24.6%	39.9%	7.5%	0.0%	6.7M	-1.50B	-30.7M	2.27	6.46	86,975	197,857	2,121,182	3,056,279
2009-05-11	$50.26	$50.00	43.4%	11.4%	38.0%	30.4%	39.8%	7.7%	-0.4%	-10.5M	-969.5M	-30.3M	1.04	4.52	75,366	78,521	2,142,368	3,113,377
2009-05-12	$49.55	$50.00	35.4%	10.8%	36.6%	20.3%	37.9%	7.0%	0.3%	-17.5M	-567.4M	-29.4M	2.16	5.28	93,806	202,618	2,157,231	3,130,623
2009-05-13	$47.28	$50.00	39.3%	11.8%	40.6%	25.3%	41.4%	7.6%	-0.1%	-88.6M	1.44B	-28.8M	1.82	5.04	141,142	257,079	2,155,250	3,143,317
2009-05-14	$47.94	$49.00	40.4%	11.6%	39.6%	26.7%	43.0%	7.9%	-0.5%	-82.7M	1.06B	-29.2M	2.30	5.63	144,032	330,729	2,179,635	3,187,402
2009-05-15	$47.76	$49.00	40.2%	11.5%	39.5%	26.4%	41.8%	8.3%	-0.1%	-93.7M	1.43B	-29.0M	1.92	5.22	140,050	268,475	2,171,741	3,312,851
2009-05-18	$49.36	$49.00	37.5%	10.7%	35.9%	23.0%	39.2%	7.6%	0.3%	-43.2M	752.9M	-28.5M	2.11	4.56	95,280	201,007	1,622,804	2,510,690
2009-05-19	$49.38	$49.00	37.4%	10.7%	34.2%	22.9%	38.9%	7.8%	0.0%	-43.7M	753.9M	-28.8M	2.03	2.86	108,783	221,159	1,678,756	2,560,878
2009-05-20	$48.92	$49.00	36.6%	10.5%	34.4%	21.9%	37.7%	8.0%	0.4%	-59.1M	1.10B	-30.0M	2.54	3.72	94,988	240,880	1,739,013	2,678,650
2009-05-21	$48.29	$50.00	37.8%	10.8%	34.8%	23.4%	38.5%	8.0%	0.6%	-76.0M	1.64B	-30.6M	2.59	3.16	73,866	191,141	1,792,735	2,796,301
2009-05-22	$47.79	$50.00	37.6%	10.8%	34.5%	23.2%	39.1%	8.1%	0.1%	-86.6M	2.02B	-30.7M	2.72	3.49	56,789	154,719	1,804,452	2,841,685
2009-05-26	$50.07	$50.00	36.7%	10.5%	37.9%	22.0%	37.8%	7.9%	0.2%	-59.8M	579.3M	-30.7M	1.20	2.84	139,273	166,490	1,822,533	2,886,127
2009-05-27	$49.10	$50.00	38.0%	10.9%	38.7%	23.7%	42.5%	9.0%	-0.1%	-69.1M	1.15B	-31.0M	1.76	3.72	93,088	163,455	1,886,348	2,922,660
2009-05-28	$49.16	$50.00	37.4%	10.7%	36.4%	22.9%	37.8%	8.9%	-0.4%	-73.1M	1.18B	-31.1M	1.15	3.93	97,162	111,682	1,934,798	2,986,966
2009-05-29	$50.17	$50.00	35.7%	10.2%	36.9%	20.7%	40.3%	8.6%	-0.0%	-48.2M	226.1M	-30.8M	2.19	4.10	55,032	120,471	1,956,378	3,017,063