IWM Options History — June 2009

In June 2009, IWM traded between $49.09 and $53.20. ATM implied volatility averaged 32.6%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.8% (HV 20d: 30.8%). Max pain ranged from $50.00 to $52.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.71.

Notable Days

2009-06-01: Highest Volume — 363,578 contracts
2009-06-29: Largest IV spike — 31.8% change
2009-06-01: Highest IV Rank — 20.4%
2009-06-03: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.58	$49.09	$53.20	$52.13	$51.08
Max Pain	$51.05	$50.00	$52.00	$50.00	$51.00
ATM IV	32.6%	25.3%	35.7%	35.4%	28.5%
Expected Move	9.4%	7.9%	10.2%	10.2%	8.2%
HV 20d	30.8%	22.5%	39.1%	39.1%	22.5%
HV 60d	40.6%	35.0%	46.5%	46.5%	35.0%
IV Rank	14.4%	4.4%	20.4%	20.4%	8.3%
IV Percentile	26.3%	9.9%	32.1%	31.3%	16.7%
Term Structure	1.0%	-0.2%	2.5%	-0.2%	1.5%
VWIV	34.1%	28.3%	41.5%	36.0%	29.0%
Skew 25d	7.2%	5.2%	8.6%	8.6%	5.8%
Skew 10d	14.5%	9.6%	17.6%	17.6%	11.2%
Call IV 25d	29.6%	25.6%	31.7%	31.7%	26.1%
Put IV 25d	36.8%	30.8%	40.3%	40.3%	31.9%
Bid-Ask Spread %	4.87	3.12	7.55	4.34	3.67
Gamma HHI	0.07	0.05	0.10	0.06	0.07
Net GEX	-33.3M	-81.7M	7.7M	-24.1M	-13.0M
Net DEX	-311.6M	-1.68B	1.74B	-925.5M	240.9M
Net VEX	-28.8M	-31.2M	-25.8M	-30.0M	-25.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.71	1.15	2.44	1.65	1.47
Total Volume	236,098.727	138,572	363,578	363,578	294,871
Total OI	5,237,703.636	4,657,246	5,687,102	5,029,880	5,004,977

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
2009-06-01	$52.13	$50.00	35.4%	10.2%	39.1%	20.4%	36.0%	8.6%	-0.2%	-24.1M	-925.5M	-30.0M	1.65	4.34	137,039	226,539	1,969,665	3,060,215
2009-06-02	$52.78	$50.00	34.0%	9.7%	37.4%	17.9%	36.3%	7.9%	0.1%	-3.1M	-1.43B	-31.0M	1.21	3.36	126,156	152,308	2,016,321	3,126,481
2009-06-03	$52.43	$50.00	35.7%	10.2%	37.4%	20.1%	38.6%	8.0%	0.1%	-14.4M	-1.22B	-31.2M	1.81	4.22	71,542	129,559	2,034,395	3,168,202
2009-06-04	$53.18	$50.00	34.5%	9.9%	37.7%	18.6%	41.5%	7.8%	-0.2%	5.5M	-1.66B	-30.7M	2.10	4.21	100,486	210,967	2,034,124	3,150,612
2009-06-05	$53.20	$50.00	33.9%	9.7%	36.4%	17.9%	36.3%	7.2%	0.2%	3.1M	-1.68B	-30.6M	1.29	3.91	118,403	152,804	2,057,296	3,221,424
2009-06-08	$52.57	$50.00	33.3%	9.8%	35.0%	14.9%	36.2%	7.4%	0.1%	-11.2M	-1.24B	-30.7M	1.56	4.13	65,380	102,090	2,099,259	3,254,682
2009-06-09	$52.81	$50.00	30.4%	9.3%	34.4%	11.1%	34.3%	6.9%	0.3%	7.7M	-1.55B	-30.3M	1.89	3.88	51,123	96,693	2,149,518	3,284,372
2009-06-10	$52.60	$51.00	30.3%	9.4%	34.0%	11.0%	34.6%	7.8%	1.3%	-9.9M	-1.27B	-30.2M	1.88	6.79	87,232	163,576	2,121,270	3,319,856
2009-06-11	$52.62	$52.00	32.4%	9.3%	28.4%	13.7%	34.0%	7.8%	1.0%	-10.5M	-1.26B	-29.4M	1.49	7.55	72,637	108,394	2,151,519	3,351,969
2009-06-12	$52.78	$52.00	31.7%	9.1%	28.3%	12.8%	34.0%	7.6%	1.0%	-7.6M	-1.34B	-29.3M	1.90	7.11	91,088	173,473	2,157,484	3,376,475
2009-06-15	$51.36	$52.00	35.4%	10.2%	30.4%	17.7%	36.2%	8.4%	0.1%	-57.5M	-9.4M	-29.8M	2.09	5.70	92,083	192,254	2,168,231	3,440,524
2009-06-16	$50.50	$52.00	35.5%	10.2%	29.1%	17.8%	35.8%	8.1%	0.6%	-81.7M	726.6M	-29.3M	1.77	6.40	109,953	194,455	2,176,643	3,440,302
2009-06-17	$50.77	$52.00	34.1%	9.8%	29.2%	16.0%	35.2%	7.8%	1.0%	-70.6M	495.3M	-29.2M	1.72	7.44	100,544	172,840	2,187,115	3,454,393
2009-06-18	$51.00	$52.00	33.0%	9.5%	28.9%	14.5%	33.5%	7.8%	1.4%	-61.0M	111.1M	-28.7M	1.65	5.93	72,121	118,643	2,200,571	3,486,531
2009-06-19	$51.31	$52.00	31.9%	9.1%	28.4%	13.0%	31.9%	7.4%	1.7%	-52.7M	-66.1M	-28.1M	1.74	7.39	76,267	132,505	2,190,268	3,495,439
2009-06-22	$49.49	$52.00	34.9%	10.0%	31.3%	17.0%	34.1%	6.8%	1.5%	-66.4M	1.32B	-27.2M	1.38	3.51	101,162	139,862	1,848,877	2,808,369
2009-06-23	$49.09	$51.00	33.8%	9.7%	26.6%	15.5%	33.7%	6.7%	1.4%	-76.8M	1.74B	-26.9M	2.08	3.12	58,525	121,694	1,866,801	2,832,681
2009-06-24	$49.62	$51.00	31.1%	8.9%	25.9%	12.0%	33.2%	5.9%	2.5%	-69.9M	1.32B	-26.9M	1.75	3.44	96,026	167,629	1,888,568	2,854,777
2009-06-25	$51.05	$51.00	28.3%	8.1%	27.7%	8.4%	28.8%	5.5%	2.2%	-45.3M	366.3M	-26.4M	1.15	3.42	98,933	113,853	1,931,408	2,914,654
2009-06-26	$51.23	$51.00	25.3%	7.9%	26.9%	4.4%	28.3%	5.2%	2.4%	-37.0M	170.2M	-26.8M	2.44	3.55	40,293	98,279	1,974,242	2,979,859
2009-06-29	$51.23	$51.00	33.4%	8.0%	23.0%	15.0%	28.5%	5.7%	1.4%	-37.2M	307.4M	-25.9M	1.51	4.12	65,309	98,582	1,971,140	3,007,971
2009-06-30	$51.08	$51.00	28.5%	8.2%	22.5%	8.3%	29.0%	5.8%	1.5%	-13.0M	240.9M	-25.8M	1.47	3.67	119,307	175,564	1,983,804	3,021,173