IWM Options History — February 2010

In February 2010, IWM traded between $58.68 and $63.25. ATM implied volatility averaged 22.8%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.6% (HV 20d: 21.1%). Max pain ranged from $61.00 to $63.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 2.52.

Notable Days

2010-02-09: Highest Volume — 887,233 contracts
2010-02-04: Largest IV spike — 18.7% change
2010-02-08: Highest IV Rank — 17.3%
2010-02-08: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.39	$58.68	$63.25	$60.82	$62.80
Max Pain	$61.95	$61.00	$63.00	$63.00	$63.00
ATM IV	22.8%	20.4%	26.7%	22.6%	20.4%
Expected Move	6.6%	5.9%	7.7%	6.5%	5.9%
HV 20d	21.1%	18.5%	23.3%	20.3%	19.2%
HV 60d	20.0%	18.3%	20.9%	20.7%	18.3%
IV Rank	9.5%	5.0%	17.3%	9.2%	5.0%
IV Percentile	10.2%	2.8%	28.6%	7.5%	2.8%
Term Structure	0.7%	-0.1%	1.8%	1.4%	0.3%
VWIV	24.4%	21.8%	28.2%	23.4%	22.6%
Skew 25d	6.1%	5.0%	7.9%	5.3%	6.2%
Skew 10d	12.5%	9.1%	15.4%	11.2%	12.9%
Call IV 25d	20.4%	17.8%	23.7%	20.7%	17.8%
Put IV 25d	26.5%	23.4%	31.7%	26.0%	23.9%
Bid-Ask Spread %	3.83	2.09	7.51	2.99	4.99
Gamma HHI	0.11	0.09	0.12	0.10	0.11
Net GEX	-321.6M	-521.4M	-201.9M	-340.9M	-278.3M
Net DEX	2.67B	-422.8M	5.75B	3.52B	1.26B
Net VEX	-31.7M	-34.5M	-29.3M	-29.9M	-33.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.52	1.25	4.74	1.61	1.25
Total Volume	399,596.842	190,164	887,233	257,411	255,431
Total OI	4,459,991.053	3,743,554	5,293,781	3,743,554	4,520,508

Daily Data (19 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
2010-02-01	$60.82	$63.00	22.6%	6.5%	20.3%	9.2%	23.4%	5.3%	1.4%	-340.9M	3.52B	-29.9M	1.61	2.99	98,556	158,855	943,016	2,800,538
2010-02-02	$61.49	$63.00	21.8%	6.3%	18.5%	7.7%	23.0%	5.0%	1.6%	-337.0M	2.82B	-29.3M	1.89	2.09	95,935	181,644	960,107	2,828,783
2010-02-03	$61.08	$63.00	21.6%	6.2%	18.6%	7.2%	24.0%	5.2%	1.8%	-331.3M	2.93B	-29.8M	2.65	3.44	98,028	259,299	974,756	2,863,270
2010-02-04	$59.04	$63.00	25.6%	7.3%	21.7%	15.2%	25.7%	5.2%	0.8%	-395.3M	5.15B	-30.5M	4.07	2.46	119,280	485,156	999,394	2,998,864
2010-02-05	$59.27	$61.00	25.6%	7.6%	21.5%	15.1%	27.1%	7.4%	0.5%	-422.4M	5.36B	-31.0M	3.08	4.64	196,029	603,662	1,048,486	3,122,574
2010-02-08	$58.68	$61.00	26.7%	7.7%	21.3%	17.3%	28.0%	7.9%	0.1%	-419.6M	5.75B	-31.9M	1.42	3.34	93,256	132,743	1,139,656	3,306,583
2010-02-09	$59.49	$62.00	26.0%	7.7%	22.3%	15.9%	28.2%	7.6%	0.2%	-416.2M	5.06B	-31.4M	3.33	3.03	204,928	682,305	1,132,119	3,246,926
2010-02-10	$59.63	$61.00	23.3%	7.3%	22.3%	10.5%	27.0%	7.0%	0.3%	-521.4M	5.58B	-34.5M	2.08	3.35	61,702	128,462	1,263,451	3,754,744
2010-02-11	$60.58	$61.00	23.5%	6.7%	22.6%	11.0%	25.3%	6.2%	0.6%	-385.9M	3.85B	-33.9M	3.14	3.73	76,313	239,687	1,265,725	3,609,211
2010-02-12	$61.02	$61.00	23.6%	6.8%	22.7%	11.2%	24.3%	6.3%	0.6%	-341.5M	2.91B	-34.0M	2.63	7.51	105,902	278,799	1,283,559	3,660,570
2010-02-16	$62.05	$61.00	23.1%	6.6%	23.3%	10.1%	25.6%	5.8%	0.5%	-281.9M	1.58B	-32.6M	2.19	3.28	100,974	220,794	1,339,414	3,757,148
2010-02-17	$62.47	$61.00	22.1%	6.3%	22.4%	8.1%	22.6%	5.7%	1.2%	-245.2M	673.8M	-31.1M	1.27	3.65	160,215	203,459	1,312,679	3,753,277
2010-02-18	$62.98	$61.00	20.9%	6.0%	22.1%	5.8%	22.8%	5.5%	1.1%	-201.9M	-232.1M	-30.9M	2.58	2.99	138,550	357,896	1,363,518	3,782,471
2010-02-19	$63.06	$62.00	20.5%	5.9%	21.3%	5.1%	21.8%	5.7%	1.2%	-205.6M	-422.8M	-31.2M	2.36	4.17	112,701	265,436	1,408,192	3,885,589
2010-02-22	$63.25	$62.00	21.0%	5.9%	20.2%	6.0%	21.8%	5.3%	1.2%	-202.7M	764.0M	-30.9M	2.78	3.16	69,889	194,544	936,072	2,969,704
2010-02-23	$62.51	$62.00	21.7%	6.1%	20.7%	7.4%	23.3%	6.4%	0.8%	-244.5M	1.52B	-32.2M	4.74	2.86	64,238	304,547	969,411	3,029,007
2010-02-24	$63.04	$63.00	21.5%	6.3%	20.5%	7.1%	22.0%	6.5%	-0.1%	-274.2M	1.39B	-32.0M	1.75	6.29	141,478	247,679	998,105	3,166,834
2010-02-25	$63.06	$63.00	20.8%	6.1%	20.2%	5.7%	25.6%	6.3%	-0.0%	-263.9M	1.20B	-32.6M	3.12	4.86	110,106	343,862	1,078,935	3,266,634
2010-02-26	$62.80	$63.00	20.4%	5.9%	19.2%	5.0%	22.6%	6.2%	0.3%	-278.3M	1.26B	-33.1M	1.25	4.99	113,710	141,721	1,115,371	3,405,137