IWM Options History — January 2010

In January 2010, IWM traded between $60.11 and $64.85. ATM implied volatility averaged 21.6%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.2% (HV 20d: 16.4%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.92.

Notable Days

  • 2010-01-26: Highest Volume — 472,747 contracts
  • 2010-01-11: Largest IV spike — 20.2% change
  • 2010-01-22: Highest IV Rank — 16.1%
  • 2010-01-22: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.14$60.11$64.85$63.98$60.11
Max Pain$63.00$62.00$64.00$62.00$63.00
ATM IV21.6%17.9%26.1%21.2%24.2%
Expected Move6.4%5.7%7.5%6.8%6.9%
HV 20d16.4%14.1%20.0%16.3%20.0%
HV 60d22.2%20.7%22.7%22.7%20.8%
IV Rank6.6%0.0%16.1%3.3%12.4%
IV Percentile4.9%0.0%18.3%1.6%11.1%
Term Structure2.2%0.5%3.1%2.1%1.7%
VWIV24.2%21.5%27.4%27.1%25.3%
Skew 25d5.7%4.9%7.4%6.2%5.7%
Skew 10d12.7%10.5%17.3%14.4%12.2%
Call IV 25d20.3%18.1%23.6%21.1%22.1%
Put IV 25d25.9%23.2%31.0%27.3%27.8%
Bid-Ask Spread %3.552.625.203.732.89
Gamma HHI0.100.080.140.090.09
Net GEX-215.4M-310.5M-108.5M-129.4M-310.5M
Net DEX1.24B-110.5M3.97B320.9M3.97B
Net VEX-27.3M-30.4M-24.5M-24.5M-30.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.921.065.912.183.30
Total Volume288,379.789176,042472,747209,215365,737
Total OI4,090,8842,792,2185,256,3254,385,3933,627,248

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-01-04$63.98$62.0021.2%6.8%16.3%3.3%27.1%6.2%2.1%-129.4M320.9M-24.5M2.183.7365,765143,4501,043,3943,341,999
2010-01-05$63.76$63.0020.8%6.7%14.6%2.4%25.5%6.3%2.3%-141.9M530.4M-25.1M2.603.1459,490154,6431,072,4023,400,235
2010-01-06$63.70$63.0020.6%6.5%14.7%2.0%25.9%5.9%2.4%-148.0M579.0M-25.5M5.914.2341,346244,5521,095,0843,508,816
2010-01-07$64.17$63.0021.2%6.4%14.3%3.3%23.5%5.2%2.9%-159.7M257.8M-25.1M3.913.3664,158250,9631,104,3373,623,778
2010-01-08$64.52$63.0017.9%5.9%14.1%0.0%23.8%4.9%2.9%-214.8M247.5M-25.7M2.963.1356,759167,9391,116,3703,808,341
2010-01-11$64.26$63.0021.6%6.3%14.1%7.2%22.6%5.1%2.7%-256.9M513.3M-25.5M1.063.3985,57790,4651,129,3983,835,289
2010-01-12$63.56$63.0020.5%6.3%14.8%5.1%23.2%5.3%2.9%-281.3M1.12B-26.5M2.584.1572,761187,6141,163,3043,868,865
2010-01-13$64.38$63.0019.9%6.1%14.6%3.8%23.3%5.3%2.9%-287.4M369.9M-26.1M2.263.0563,258142,7041,182,9963,937,098
2010-01-14$64.62$63.0020.0%5.7%14.5%4.1%21.9%5.0%3.0%-244.7M-110.5M-26.0M1.762.62102,289180,1911,193,9573,976,642
2010-01-15$63.68$63.0020.8%6.0%15.7%5.6%21.7%5.0%3.1%-287.1M1.17B-27.0M3.342.6490,431302,0941,238,6574,017,668
2010-01-19$64.85$63.0020.0%5.7%15.9%4.0%21.5%5.1%2.6%-108.5M-53.6M-26.3M2.172.9960,530131,391734,1672,058,051
2010-01-20$63.91$63.0020.6%5.9%16.9%5.2%21.9%4.9%2.5%-144.7M540.7M-27.6M2.513.1781,269204,089771,9122,102,160
2010-01-21$62.86$64.0022.2%6.4%17.7%8.4%23.8%5.6%1.9%-181.5M1.41B-28.4M2.494.59101,840253,877814,3412,166,640
2010-01-22$61.73$63.0026.1%7.5%18.6%16.1%27.2%7.4%0.5%-190.5M2.14B-29.9M2.955.2094,935280,469864,9022,241,549
2010-01-25$61.80$63.0023.9%6.9%18.2%11.8%27.4%7.1%1.4%-214.7M2.23B-29.2M3.773.8063,891240,782900,4082,303,233
2010-01-26$61.19$63.0024.5%7.0%18.4%13.0%27.4%6.3%1.2%-239.5M2.70B-29.5M4.214.3890,779381,968911,3252,419,620
2010-01-27$61.84$63.0021.8%6.2%18.9%7.6%23.9%5.6%2.0%-256.2M2.30B-30.1M3.464.1066,206229,173933,5352,613,155
2010-01-28$60.78$63.0023.2%6.6%19.8%10.3%23.5%5.5%1.4%-294.5M3.34B-30.4M2.062.8886,997178,834927,8272,678,093
2010-01-29$60.11$63.0024.2%6.9%20.0%12.4%25.3%5.7%1.7%-310.5M3.97B-30.0M3.302.8985,081280,656927,2752,699,973