IWM Options History — October 2009 In October 2009, IWM traded between $56.33 and $62.34. ATM implied volatility averaged 27.9%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 5.4% (HV 20d: 22.5%). Max pain ranged from $58.00 to $61.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.55.
Notable Days 2009-10-28 : Highest Volume — 657,684 contracts2009-10-12 : Largest IV spike — 18.8% change2009-10-30 : Highest IV Rank — 16.0%2009-10-30 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $60.07 $56.33 $62.34 $58.44 $56.33 Max Pain $59.68 $58.00 $61.00 $61.00 $60.00 ATM IV 27.9% 24.6% 33.6% 32.3% 33.6% Expected Move 8.1% 7.1% 9.6% 9.3% 9.6% HV 20d 22.5% 21.7% 25.5% 21.8% 25.5% HV 60d 21.8% 20.8% 23.4% 22.4% 23.4% IV Rank 5.2% 0.0% 16.0% 11.1% 16.0% IV Percentile 14.1% 0.0% 38.1% 27.4% 38.1% Term Structure 0.8% -0.9% 1.8% 0.1% -0.9% VWIV 29.0% 25.2% 33.6% 32.2% 33.6% Skew 25d 6.2% 4.9% 7.5% 5.8% 7.5% Skew 10d 13.0% 9.8% 15.8% 13.4% 15.8% Call IV 25d 25.4% 22.5% 30.0% 29.3% 30.0% Put IV 25d 31.6% 27.8% 37.5% 35.2% 37.5% Bid-Ask Spread % 3.81 3.14 5.51 4.80 4.09 Gamma HHI 0.08 0.06 0.12 0.08 0.08 Net GEX -135.8M -209.4M -42.6M -163.2M -209.4M Net DEX 213.5M -2.17B 4.12B 1.62B 4.12B Net VEX -32.0M -41.1M -29.2M -41.1M -34.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.55 1.51 4.18 2.99 3.34 Total Volume 303,688.864 152,693 657,684 310,203 596,612 Total OI 4,777,099.318 4,268,081 5,262,128 4,828,872 5,262,128
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 2009-10-01 $58.44 $61.00 32.3% 9.3% 21.8% 11.1% 32.2% 5.8% 0.1% -163.2M 1.62B -41.1M 2.99 4.80 77,726 232,477 1,584,096 3,244,776 2009-10-02 $58.00 $61.00 31.0% 8.9% 21.9% 9.1% 31.4% 5.3% 0.9% -159.2M 1.41B -30.5M 3.01 3.68 87,060 262,041 1,521,269 2,868,707 2009-10-05 $59.04 $58.00 29.6% 8.7% 22.2% 7.2% 32.0% 7.3% 0.2% -156.0M 646.8M -31.5M 3.40 3.79 62,251 211,759 1,533,891 2,948,670 2009-10-06 $60.14 $58.00 28.2% 8.3% 22.7% 5.1% 30.5% 6.6% 0.4% -146.2M -170.5M -31.2M 3.46 3.72 68,914 238,382 1,542,090 3,024,704 2009-10-07 $60.16 $58.00 27.9% 8.2% 22.1% 4.7% 29.6% 6.7% 0.6% -160.8M -6.4M -32.3M 2.26 3.57 46,868 105,825 1,551,988 3,183,223 2009-10-08 $60.71 $59.00 26.3% 8.0% 21.9% 2.3% 29.3% 6.8% 0.8% -145.1M -591.8M -32.0M 1.56 3.14 104,670 163,202 1,572,265 3,229,693 2009-10-09 $61.42 $59.00 24.6% 7.9% 22.2% 0.0% 28.7% 6.8% 1.0% -119.8M -1.22B -31.6M 1.73 3.25 77,783 134,251 1,618,876 3,292,139 2009-10-12 $61.43 $59.00 29.3% 8.0% 21.9% 6.7% 30.3% 6.6% 0.7% -128.9M -1.16B -31.2M 2.40 3.16 58,868 141,533 1,649,142 3,333,762 2009-10-13 $61.17 $59.00 26.8% 7.9% 21.9% 3.4% 28.6% 6.2% 0.8% -172.6M -834.9M -31.3M 1.54 3.79 95,870 147,902 1,657,875 3,386,412 2009-10-14 $62.34 $59.00 26.1% 7.6% 21.7% 2.3% 28.1% 6.3% 1.2% -65.9M -2.16B -30.1M 1.59 4.12 105,147 166,692 1,677,420 3,361,554 2009-10-15 $62.30 $60.00 25.8% 7.4% 21.7% 1.9% 28.0% 6.0% 1.7% -42.6M -2.17B -30.2M 3.96 4.22 44,763 177,398 1,691,536 3,396,862 2009-10-16 $61.68 $60.00 24.9% 7.1% 21.9% 0.5% 26.4% 5.5% 1.8% -91.4M -1.36B -30.1M 3.02 3.96 92,359 279,155 1,670,258 3,475,642 2009-10-19 $62.19 $60.00 24.8% 7.1% 22.1% 0.3% 25.7% 4.9% 1.5% -85.4M -1.26B -29.2M 2.12 3.89 68,715 145,826 1,433,761 2,834,320 2009-10-20 $61.33 $60.00 25.2% 7.2% 22.6% 1.0% 25.2% 5.1% 1.7% -96.9M -795.4M -30.6M 2.44 3.52 48,709 118,740 1,458,998 2,909,939 2009-10-21 $60.50 $61.00 27.0% 7.7% 22.9% 4.2% 27.2% 5.3% 0.8% -116.4M 56.5M -30.7M 2.67 4.33 62,381 166,288 1,478,189 2,954,611 2009-10-22 $61.34 $61.00 25.3% 7.3% 22.2% 1.2% 26.2% 5.7% 1.3% -114.1M -494.1M -31.3M 2.17 3.27 87,983 190,558 1,494,928 3,008,264 2009-10-23 $60.06 $60.00 26.5% 7.6% 23.4% 3.3% 27.1% 5.3% 0.9% -132.6M 367.5M -31.8M 2.54 3.67 74,756 189,704 1,531,079 3,073,488 2009-10-26 $59.52 $60.00 28.0% 8.0% 21.9% 5.9% 28.7% 5.9% 0.8% -151.1M 991.7M -32.4M 1.51 3.18 147,602 222,265 1,554,281 3,165,692 2009-10-27 $58.79 $60.00 28.3% 8.1% 22.2% 6.6% 28.3% 6.0% 0.5% -157.0M 1.65B -33.0M 1.74 3.92 110,985 192,955 1,633,637 3,245,762 2009-10-28 $56.83 $60.00 32.1% 9.2% 24.8% 13.4% 31.7% 7.2% -0.4% -176.1M 3.35B -33.1M 4.18 5.51 127,040 530,644 1,638,440 3,295,053 2009-10-29 $57.91 $60.00 29.2% 8.4% 23.7% 8.2% 30.4% 6.6% 0.2% -196.6M 2.71B -34.0M 2.47 3.33 119,987 296,509 1,666,741 3,440,024 2009-10-30 $56.33 $60.00 33.6% 9.6% 25.5% 16.0% 33.6% 7.5% -0.9% -209.4M 4.12B -34.8M 3.34 4.09 137,438 459,174 1,700,830 3,561,298
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