IWM Options History — August 2009

In August 2009, IWM traded between $54.82 and $58.51. ATM implied volatility averaged 27.7%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 5.4% (HV 20d: 22.3%). Max pain ranged from $52.00 to $57.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.23.

Notable Days

  • 2009-08-21: Highest Volume — 333,706 contracts
  • 2009-08-17: Largest IV spike — 10.8% change
  • 2009-08-17: Highest IV Rank — 12.3%
  • 2009-08-17: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.04$54.82$58.51$56.54$57.20
Max Pain$54.90$52.00$57.00$52.00$53.00
ATM IV27.7%26.5%31.7%27.3%28.7%
Expected Move8.1%7.6%9.1%7.8%8.2%
HV 20d22.3%19.6%24.6%22.3%23.0%
HV 60d26.4%24.2%29.2%29.2%24.4%
IV Rank7.0%5.2%12.3%6.8%6.5%
IV Percentile11.6%3.2%22.2%11.5%16.7%
Term Structure1.2%0.4%1.7%1.2%1.2%
VWIV29.0%27.4%32.5%28.8%29.0%
Skew 25d5.0%2.6%6.4%2.9%6.1%
Skew 10d10.2%5.1%13.4%5.1%12.7%
Call IV 25d26.0%24.5%28.9%26.6%26.0%
Put IV 25d31.0%28.7%35.4%29.6%32.1%
Bid-Ask Spread %5.922.959.503.095.84
Gamma HHI0.080.060.190.070.08
Net GEX-1.6M-68.2M77.9M24.1M-43.6M
Net DEX-2.11B-3.50B-540.8M-2.49B-851.5M
Net VEX-27.3M-28.5M-26.0M-26.0M-27.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.231.353.411.473.33
Total Volume232,681.762160,366333,706210,860295,701
Total OI4,728,848.3334,036,5675,263,6884,541,6904,363,902

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$56.54$52.0027.3%7.8%22.3%6.8%28.8%2.9%1.2%24.1M-2.49B-26.0M1.473.0985,472125,3881,714,9892,826,701
2009-08-04$57.11$53.0027.1%7.8%19.6%6.5%28.0%2.6%1.7%35.6M-3.00B-26.4M2.533.2567,633170,8441,755,4482,884,218
2009-08-05$56.54$53.0026.6%7.6%20.0%5.9%28.1%2.9%1.7%20.0M-2.50B-26.9M2.347.2371,731167,9811,758,9482,928,535
2009-08-06$55.75$53.0028.4%8.1%21.0%8.2%29.1%3.5%1.4%-871.5K-1.82B-27.9M3.102.9544,077136,5651,779,6052,958,135
2009-08-07$57.09$56.0026.6%8.2%21.8%5.9%29.5%4.4%0.4%16.7M-2.68B-27.3M1.727.60108,669187,4281,793,5733,008,171
2009-08-10$57.19$56.0027.3%8.2%21.1%6.7%29.2%4.9%0.8%18.7M-2.85B-27.2M1.746.8568,438119,2671,828,4743,060,702
2009-08-11$56.27$56.0027.3%8.4%22.7%6.8%29.7%4.9%0.8%-10.1M-2.03B-27.9M2.926.3455,875163,0211,838,1723,098,553
2009-08-12$57.12$56.0026.5%8.2%19.8%5.8%29.5%5.2%1.2%10.3M-2.64B-27.3M2.066.4764,843133,3471,831,3783,103,156
2009-08-13$57.59$56.0027.7%8.0%19.7%7.4%28.7%5.3%1.0%9.8M-2.94B-27.1M1.356.7484,985114,6511,835,3563,147,776
2009-08-14$56.41$56.0028.6%8.2%21.5%8.2%28.9%5.5%1.5%-13.5M-2.18B-27.7M1.945.9392,299178,9801,856,1723,162,884
2009-08-17$54.82$56.0031.7%9.1%24.2%12.3%32.5%6.4%0.8%-68.2M-540.8M-28.5M2.159.50100,295215,6111,874,0603,192,980
2009-08-18$55.55$56.0029.3%8.4%24.4%9.2%30.6%6.0%1.5%-37.5M-1.40B-28.0M2.299.4171,476163,6701,901,9533,227,967
2009-08-19$56.23$56.0028.9%8.3%24.6%8.6%30.1%5.8%1.4%-26.9M-1.82B-27.7M2.204.8389,078195,9671,900,9413,269,088
2009-08-20$56.84$56.0027.3%7.8%22.5%6.5%28.9%5.7%1.2%2.4M-2.40B-27.2M1.374.55102,546140,8941,915,7513,344,228
2009-08-21$58.15$56.0027.2%7.8%23.7%6.4%29.2%5.6%1.2%77.9M-3.50B-26.9M1.935.01113,744219,9621,889,5443,374,144
2009-08-24$58.13$57.0027.8%7.7%23.7%7.1%28.4%5.3%1.7%-5.1M-1.71B-26.7M2.244.7060,300135,2061,490,6422,545,925
2009-08-25$58.38$57.0027.8%7.7%23.7%6.8%27.4%4.7%1.4%-4.3M-1.83B-27.2M2.004.4063,987128,0631,524,5712,610,032
2009-08-26$58.51$53.0026.6%7.8%23.5%5.3%28.9%6.1%1.2%-10.3M-1.84B-27.2M3.417.1936,335124,0311,540,2252,658,492
2009-08-27$58.42$53.0026.6%7.8%22.9%5.2%27.7%5.9%1.2%-10.7M-1.76B-27.3M2.406.2448,071115,4111,547,8872,685,841
2009-08-28$58.05$53.0027.0%7.7%23.0%5.8%27.7%5.7%1.4%-19.2M-1.51B-27.3M2.236.1769,563154,9121,564,7752,711,921
2009-08-31$57.20$53.0028.7%8.2%23.0%6.5%29.0%6.1%1.2%-43.6M-851.5M-27.3M3.335.8468,213227,4881,595,1612,768,741