IWM Options History — September 2009

In September 2009, IWM traded between $55.64 and $62.02. ATM implied volatility averaged 27.5%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 7.1% (HV 20d: 20.4%). Max pain ranged from $53.00 to $62.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.26.

Notable Days

  • 2009-09-21: Highest Volume — 679,026 contracts
  • 2009-09-28: Largest IV spike — 10.4% change
  • 2009-09-28: Highest IV Rank — 7.9%
  • 2009-09-01: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.70$55.64$62.02$55.92$60.24
Max Pain$58.43$53.00$62.00$53.00$61.00
ATM IV27.5%24.6%30.4%30.4%29.3%
Expected Move7.9%7.3%8.7%8.7%8.4%
HV 20d20.4%16.8%24.2%24.2%18.4%
HV 60d23.6%21.4%25.1%24.8%21.4%
IV Rank3.7%0.0%7.9%7.5%6.7%
IV Percentile9.1%0.0%23.0%19.8%21.0%
Term Structure1.3%0.6%2.1%0.9%0.6%
VWIV28.7%26.5%32.7%30.2%30.1%
Skew 25d5.6%4.7%6.5%6.4%5.6%
Skew 10d11.6%9.0%15.5%12.9%11.7%
Call IV 25d25.3%23.8%28.2%27.9%26.5%
Put IV 25d30.9%28.7%34.5%34.3%32.1%
Bid-Ask Spread %5.203.806.365.733.80
Gamma HHI0.080.050.160.070.07
Net GEX-24.8M-100.4M75.1M-80.8M-100.4M
Net DEX-1.85B-4.42B602.0M321.7M-688.9M
Net VEX-28.3M-29.9M-27.2M-28.3M-29.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.724.942.662.51
Total Volume319,296.095187,916679,026384,308477,055
Total OI4,899,589.2864,479,9395,390,4014,479,9395,134,855

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$55.92$53.0030.4%8.7%24.2%7.5%30.2%6.4%0.9%-80.8M321.7M-28.3M2.665.73105,129279,1791,630,1382,849,801
2009-09-02$55.64$53.0030.3%8.7%24.0%7.2%32.7%6.3%1.2%-89.7M602.0M-28.6M2.906.2562,511181,4421,663,9602,920,965
2009-09-03$56.26$54.0030.0%8.6%23.8%6.4%30.6%6.0%0.9%-88.2M239.3M-28.5M4.945.0338,895192,2201,677,1482,979,327
2009-09-04$57.05$53.0027.5%7.9%22.7%3.0%29.2%5.8%1.0%-72.9M-434.4M-27.9M3.455.7253,391184,2961,688,0413,021,637
2009-09-08$57.68$53.0025.1%7.8%23.1%0.0%26.5%6.1%0.8%-43.3M-1.01B-27.4M0.724.59122,86088,3551,696,6213,076,464
2009-09-09$58.67$58.0024.6%7.7%22.9%0.0%28.7%6.5%1.8%5.3M-2.00B-27.6M1.416.36123,760174,7661,758,2953,082,604
2009-09-10$59.40$58.0026.9%7.7%22.7%3.0%27.4%6.5%1.8%33.3M-2.61B-27.7M1.914.7497,088185,0031,783,4593,137,803
2009-09-11$59.42$59.0027.8%8.0%22.6%4.3%28.8%6.3%1.5%13.0M-2.41B-27.9M2.024.11126,087255,1951,787,0183,180,798
2009-09-14$60.05$59.0026.5%7.6%21.2%2.5%28.8%5.9%1.5%34.1M-2.95B-27.9M2.065.8374,058152,7311,829,2123,313,719
2009-09-15$60.54$59.0025.7%7.4%17.6%1.5%27.7%6.0%1.6%58.5M-3.43B-27.8M1.606.00110,904177,9301,845,0033,367,667
2009-09-16$61.79$59.0025.5%7.3%18.3%1.2%26.9%5.4%1.5%75.1M-4.42B-27.2M0.955.81178,067169,4761,851,2073,405,384
2009-09-17$61.66$60.0026.8%7.7%18.3%2.9%28.7%5.4%1.1%44.5M-4.12B-27.6M2.385.96120,241286,5571,840,6543,445,291
2009-09-18$61.91$60.0027.1%7.8%18.1%3.3%27.5%4.8%1.3%43.1M-4.13B-27.7M1.225.54106,357129,3631,864,8863,525,515
2009-09-21$61.74$61.0026.5%7.6%16.9%2.6%27.4%4.9%1.5%-5.1M-3.02B-27.2M0.725.98395,151283,8751,665,3472,944,954
2009-09-22$62.02$61.0025.9%7.4%16.8%1.8%27.2%4.9%1.8%-14.6M-2.42B-28.4M2.064.2261,327126,5891,575,2943,028,958
2009-09-23$61.43$61.0026.7%7.7%17.4%2.8%27.1%4.7%2.1%-25.2M-2.03B-28.8M2.774.2666,620184,4621,600,5213,071,341
2009-09-24$60.20$62.0028.1%8.0%19.2%4.7%28.8%4.8%1.3%-66.0M-702.8M-29.8M3.065.3495,984294,1111,617,4973,161,870
2009-09-25$59.83$61.0027.6%7.9%19.4%4.0%28.6%4.7%1.2%-74.7M-477.9M-29.9M2.764.7087,769242,4391,658,1723,207,237
2009-09-28$61.26$61.0030.4%7.8%20.7%7.9%29.7%5.0%1.1%-79.7M-1.72B-29.6M2.903.9461,085177,1831,690,0903,288,404
2009-09-29$60.99$61.0027.9%7.9%19.9%4.4%29.4%5.0%1.1%-87.2M-1.50B-28.9M2.445.27109,193266,5141,692,2233,331,995
2009-09-30$60.24$61.0029.3%8.4%18.4%6.7%30.1%5.6%0.6%-100.4M-688.9M-29.4M2.513.80135,989341,0661,693,6783,441,177