IWM Options History — July 2009

In July 2009, IWM traded between $47.87 and $55.80. ATM implied volatility averaged 29.2%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.0% (HV 20d: 27.3%). Max pain ranged from $49.00 to $52.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.81.

Notable Days

2009-07-15: Highest Volume — 436,188 contracts
2009-07-14: Largest IV drop — 12.2% change
2009-07-07: Highest IV Rank — 16.8%
2009-07-07: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.89	$47.87	$55.80	$51.87	$55.57
Max Pain	$50.45	$49.00	$52.00	$51.00	$52.00
ATM IV	29.2%	26.7%	34.9%	27.7%	27.0%
Expected Move	8.4%	7.7%	9.9%	7.9%	7.8%
HV 20d	27.3%	22.6%	30.5%	23.2%	22.6%
HV 60d	31.7%	29.4%	35.0%	34.8%	29.6%
IV Rank	9.3%	6.0%	16.8%	7.3%	6.4%
IV Percentile	17.4%	11.1%	29.4%	15.1%	11.1%
Term Structure	1.6%	0.4%	2.4%	1.4%	1.8%
VWIV	30.6%	27.8%	35.2%	29.3%	28.3%
Skew 25d	5.6%	2.8%	8.5%	5.8%	2.8%
Skew 10d	10.9%	4.9%	16.5%	11.4%	4.9%
Call IV 25d	27.0%	25.0%	30.9%	25.9%	26.4%
Put IV 25d	32.6%	29.2%	38.6%	31.7%	29.2%
Bid-Ask Spread %	3.41	2.01	4.66	3.26	3.81
Gamma HHI	0.07	0.07	0.08	0.08	0.07
Net GEX	-34.3M	-105.4M	19.1M	-29.7M	7.1M
Net DEX	87.1M	-2.04B	2.52B	102.7M	-1.84B
Net VEX	-26.0M	-27.3M	-24.8M	-26.5M	-26.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.81	0.95	2.54	1.38	2.54
Total Volume	239,121.091	133,033	436,188	212,715	171,132
Total OI	4,188,416.227	3,829,409	4,515,085	4,012,968	4,515,085

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
2009-07-01	$51.87	$51.00	27.7%	7.9%	23.2%	7.3%	29.3%	5.8%	1.4%	-29.7M	102.7M	-26.5M	1.38	3.26	89,394	123,321	1,598,114	2,414,854
2009-07-02	$49.91	$51.00	29.9%	8.6%	26.1%	10.2%	31.0%	5.5%	1.6%	-68.9M	1.34B	-26.7M	2.34	3.64	73,890	172,801	1,582,545	2,444,611
2009-07-06	$49.47	$50.00	33.1%	9.4%	26.1%	14.5%	33.7%	8.2%	0.9%	-75.4M	1.52B	-26.0M	2.04	4.42	66,447	135,326	1,604,218	2,478,538
2009-07-07	$48.40	$50.00	34.9%	9.9%	26.8%	16.8%	34.0%	8.5%	0.4%	-91.1M	2.10B	-25.8M	2.13	4.47	53,354	113,860	1,601,213	2,491,234
2009-07-08	$48.07	$50.00	33.3%	9.8%	26.6%	14.7%	35.2%	7.7%	0.5%	-104.6M	2.51B	-25.3M	2.11	4.66	105,280	222,407	1,613,712	2,500,641
2009-07-09	$47.87	$50.00	31.7%	9.4%	26.6%	12.6%	33.3%	7.8%	1.4%	-103.8M	2.52B	-25.3M	1.56	3.86	85,154	133,087	1,625,229	2,534,848
2009-07-10	$48.10	$50.00	30.5%	9.3%	26.8%	11.0%	33.6%	7.5%	1.6%	-105.4M	2.42B	-25.1M	1.95	3.69	93,716	182,361	1,639,640	2,541,606
2009-07-13	$49.26	$50.00	31.9%	8.8%	28.5%	12.9%	31.6%	7.0%	2.1%	-98.0M	1.64B	-25.0M	1.37	3.34	105,069	143,514	1,650,814	2,588,896
2009-07-14	$49.55	$49.00	28.0%	8.5%	27.2%	7.8%	30.8%	6.7%	1.9%	-95.3M	1.48B	-25.2M	2.07	4.57	64,011	132,238	1,653,568	2,605,134
2009-07-15	$51.46	$50.00	28.4%	8.5%	30.0%	8.2%	31.1%	6.3%	1.6%	-29.4M	50.7M	-25.4M	1.67	3.21	163,397	272,791	1,663,507	2,609,634
2009-07-16	$52.10	$50.00	29.0%	8.3%	30.2%	9.0%	29.6%	6.0%	1.4%	-5.6M	-435.5M	-25.4M	1.47	3.94	129,377	190,153	1,691,604	2,624,887
2009-07-17	$51.90	$50.00	28.6%	8.2%	30.2%	8.5%	30.5%	6.7%	2.4%	-4.5M	-355.8M	-25.8M	1.85	3.60	79,255	146,898	1,730,459	2,676,137
2009-07-20	$52.54	$50.00	28.0%	8.0%	30.5%	7.6%	29.8%	5.9%	1.6%	-8.5M	-342.3M	-25.5M	2.34	2.01	55,156	129,314	1,495,307	2,334,102
2009-07-21	$52.45	$50.00	28.0%	8.0%	27.1%	7.7%	28.7%	5.6%	2.1%	-14.6M	-336.0M	-25.7M	2.14	2.30	42,397	90,636	1,518,753	2,401,081
2009-07-22	$52.86	$50.00	26.7%	7.7%	26.9%	6.0%	27.8%	5.2%	1.8%	-15.9M	-444.5M	-24.8M	0.95	2.68	150,212	142,770	1,533,521	2,424,494
2009-07-23	$54.53	$50.00	27.9%	8.0%	28.5%	7.5%	29.4%	3.5%	1.1%	15.7M	-1.47B	-25.8M	2.10	4.05	100,419	210,933	1,626,038	2,490,534
2009-07-24	$54.81	$51.00	27.4%	7.9%	27.1%	7.0%	29.5%	3.7%	1.3%	14.0M	-1.58B	-26.9M	1.51	2.50	85,401	129,216	1,648,376	2,585,660
2009-07-27	$55.09	$51.00	27.7%	7.9%	27.1%	7.3%	29.2%	3.7%	1.2%	19.1M	-1.76B	-26.7M	1.64	2.74	53,950	88,329	1,676,879	2,631,564
2009-07-28	$55.12	$51.00	27.5%	7.9%	27.1%	7.0%	28.8%	3.5%	1.8%	18.2M	-1.72B	-26.9M	1.51	2.97	89,234	134,778	1,687,318	2,627,354
2009-07-29	$54.84	$52.00	27.7%	8.0%	27.2%	7.4%	29.1%	3.5%	2.3%	6.1M	-1.44B	-27.3M	1.76	2.48	79,250	139,336	1,660,083	2,687,016
2009-07-30	$55.80	$52.00	27.7%	7.9%	27.3%	7.3%	28.5%	2.8%	1.9%	16.9M	-2.04B	-26.9M	1.31	2.72	126,037	165,063	1,685,247	2,751,102
2009-07-31	$55.57	$52.00	27.0%	7.8%	22.6%	6.4%	28.3%	2.8%	1.8%	7.1M	-1.84B	-26.9M	2.54	3.81	48,388	122,744	1,726,117	2,788,968