IWM Options History — November 2009

In November 2009, IWM traded between $56.22 and $60.28. ATM implied volatility averaged 28.2%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.9% (HV 20d: 27.2%). Max pain ranged from $56.00 to $60.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.57.

Notable Days

  • 2009-11-02: Highest Volume — 402,511 contracts
  • 2009-11-27: Largest IV spike — 14.4% change
  • 2009-11-02: Highest IV Rank — 17.3%
  • 2009-11-02: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.59$56.22$60.28$56.22$58.09
Max Pain$59.60$56.00$60.00$60.00$56.00
ATM IV28.2%24.6%34.3%34.3%28.9%
Expected Move8.1%7.1%9.8%9.8%8.3%
HV 20d27.2%24.1%29.3%24.4%25.5%
HV 60d23.4%22.8%24.1%22.9%24.0%
IV Rank6.5%0.0%17.3%17.3%8.8%
IV Percentile18.6%0.8%40.1%40.1%31.3%
Term Structure0.6%-0.9%1.3%-0.9%0.2%
VWIV29.3%25.0%34.8%34.8%30.7%
Skew 25d6.4%5.3%7.6%7.6%7.0%
Skew 10d13.3%10.7%17.1%17.1%14.3%
Call IV 25d25.8%22.4%30.9%30.9%26.0%
Put IV 25d32.2%27.7%38.5%38.5%33.1%
Bid-Ask Spread %4.573.596.273.596.27
Gamma HHI0.080.070.090.090.08
Net GEX-234.7M-285.2M-175.8M-237.5M-246.8M
Net DEX2.09B-34.6M4.38B4.38B2.65B
Net VEX-32.7M-36.3M-30.0M-35.1M-30.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.571.414.343.091.91
Total Volume268,354.9159,417402,511402,511204,440
Total OI5,697,541.44,866,0776,184,7935,465,0805,132,904

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$56.22$60.0034.3%9.8%24.4%17.3%34.8%7.6%-0.9%-237.5M4.38B-35.1M3.093.5998,429304,0821,719,9183,745,162
2009-11-03$57.07$60.0032.2%9.2%24.1%13.5%33.9%7.1%-0.2%-240.2M3.74B-35.3M2.643.69101,273266,9151,732,8513,797,196
2009-11-04$56.25$60.0033.1%9.5%24.4%15.2%32.5%6.9%0.3%-248.8M4.08B-35.6M4.313.7374,553321,2331,731,9253,896,278
2009-11-05$58.04$60.0030.4%8.7%27.0%10.3%32.0%6.5%0.2%-251.5M2.85B-36.3M1.853.9881,906151,1371,747,6824,047,597
2009-11-06$58.08$60.0027.4%8.4%26.6%5.0%30.4%7.2%0.6%-274.6M2.88B-35.5M4.343.8557,323249,0201,757,3084,078,734
2009-11-09$59.22$60.0027.5%8.1%27.7%5.1%30.1%7.0%0.7%-245.9M1.56B-33.9M3.105.1168,134211,4771,761,4844,115,254
2009-11-10$58.85$60.0026.1%8.0%27.8%2.7%29.4%6.8%0.7%-267.1M2.08B-34.4M2.104.1967,002140,5111,768,7094,205,685
2009-11-11$59.26$60.0025.8%8.0%26.9%2.1%28.6%6.6%0.6%-243.8M1.41B-33.5M3.505.6350,084175,3651,790,8414,195,353
2009-11-12$58.17$60.0029.4%8.4%27.4%8.6%29.6%6.8%0.4%-285.2M2.71B-34.1M2.884.0378,825227,0781,808,3604,235,671
2009-11-13$58.73$60.0027.5%7.9%27.7%5.1%29.3%6.2%0.8%-273.1M2.10B-33.3M1.854.37107,692199,5971,818,7344,254,179
2009-11-16$60.28$60.0027.9%8.0%29.3%5.8%28.7%5.9%0.6%-193.8M26.7M-31.7M2.064.9888,470182,0621,826,3354,252,828
2009-11-17$60.28$60.0027.1%7.8%28.9%4.4%28.5%5.3%1.0%-201.5M-34.6M-30.9M2.344.1884,668197,8911,852,0354,300,238
2009-11-18$60.16$60.0026.6%7.6%28.5%3.5%27.3%5.5%0.7%-213.2M323.1M-30.9M1.414.2589,590126,4071,855,4344,293,885
2009-11-19$58.66$60.0027.5%7.9%29.3%5.1%28.3%5.8%0.7%-267.8M2.26B-31.7M2.614.3294,145245,4501,877,6144,306,829
2009-11-20$58.59$60.0026.3%7.5%28.5%2.9%27.4%5.8%1.3%-209.3M2.35B-30.7M1.995.68109,158217,6721,861,1374,323,656
2009-11-23$59.61$60.0024.6%7.1%29.1%0.0%25.8%5.7%1.3%-175.8M995.2M-30.2M1.664.9373,312121,4191,428,5393,437,538
2009-11-24$59.34$60.0025.4%7.1%28.7%1.7%25.4%5.3%1.3%-190.1M1.25B-30.3M3.034.3541,785126,6171,458,3193,483,851
2009-11-25$59.33$60.0025.9%7.2%25.7%2.7%25.0%5.4%1.2%-196.6M1.27B-30.2M2.104.2651,359108,0581,457,4033,521,959
2009-11-27$57.58$56.0029.6%8.5%27.3%10.4%29.3%7.1%-0.3%-230.9M2.99B-31.0M2.635.9447,632125,3271,486,8243,584,579
2009-11-30$58.09$56.0028.9%8.3%25.5%8.8%30.7%7.0%0.2%-246.8M2.65B-30.0M1.916.2770,280134,1601,497,9413,634,963