IWM Options History — March 2010

In March 2010, IWM traded between $64.26 and $69.23. ATM implied volatility averaged 19.4%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.8% (HV 20d: 14.6%). Max pain ranged from $63.00 to $68.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 2.46.

Notable Days

2010-03-10: Highest Volume — 788,273 contracts
2010-03-29: Largest IV spike — 16.1% change
2010-03-30: Highest IV Rank — 8.7%
2010-03-25: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.32	$64.26	$69.23	$64.26	$67.80
Max Pain	$66.00	$63.00	$68.00	$63.00	$68.00
ATM IV	19.4%	17.1%	21.6%	19.5%	19.1%
Expected Move	5.6%	5.1%	6.0%	5.6%	5.5%
HV 20d	14.6%	12.2%	20.0%	20.0%	13.7%
HV 60d	18.0%	17.5%	18.7%	18.7%	17.5%
IV Rank	4.1%	0.0%	8.7%	3.1%	5.8%
IV Percentile	4.1%	0.0%	17.5%	0.4%	2.8%
Term Structure	1.5%	0.2%	2.5%	0.4%	1.8%
VWIV	20.7%	19.5%	22.4%	20.3%	19.5%
Skew 25d	4.5%	3.2%	5.6%	5.5%	4.5%
Skew 10d	9.2%	5.8%	12.3%	11.2%	8.9%
Call IV 25d	17.8%	16.5%	19.4%	17.3%	17.5%
Put IV 25d	22.2%	20.5%	24.2%	22.8%	22.0%
Bid-Ask Spread %	4.03	2.74	6.09	5.40	4.42
Gamma HHI	0.09	0.07	0.14	0.10	0.14
Net GEX	-205.3M	-516.0M	18.7M	-175.4M	-516.0M
Net DEX	-1.61B	-4.42B	1.50B	-398.7M	1.50B
Net VEX	-33.7M	-41.5M	-27.9M	-30.5M	-40.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.46	1.19	5.08	1.94	2.86
Total Volume	500,098.435	272,817	788,273	492,425	394,480
Total OI	5,734,959.652	4,593,884	7,081,150	4,593,884	6,157,988

Daily Data (23 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
2010-03-01	$64.26	$63.00	19.5%	5.6%	20.0%	3.1%	20.3%	5.5%	0.4%	-175.4M	-398.7M	-30.5M	1.94	5.40	167,737	324,688	1,146,467	3,447,417
2010-03-02	$64.75	$63.00	19.6%	5.6%	19.8%	3.3%	20.4%	5.6%	0.4%	-129.9M	-1.07B	-30.4M	2.85	5.10	127,007	362,611	1,215,764	3,583,505
2010-03-03	$65.12	$63.00	19.9%	5.7%	19.6%	3.8%	21.6%	5.2%	0.2%	-119.6M	-1.20B	-30.4M	1.19	5.16	139,495	165,846	1,235,515	3,630,485
2010-03-04	$65.29	$63.00	19.4%	5.6%	19.3%	3.0%	19.9%	4.7%	0.4%	-73.0M	-1.69B	-29.8M	2.01	5.21	112,139	225,440	1,309,326	3,629,058
2010-03-05	$66.62	$63.00	17.6%	5.1%	14.3%	0.0%	19.8%	4.0%	0.8%	14.5M	-3.24B	-28.3M	2.85	5.01	153,574	437,748	1,359,312	3,673,402
2010-03-08	$66.74	$64.00	18.7%	5.4%	14.4%	2.1%	20.9%	4.0%	0.6%	18.7M	-3.38B	-27.9M	2.61	4.28	110,913	289,269	1,390,625	3,807,170
2010-03-09	$66.98	$64.00	17.1%	5.4%	13.1%	0.0%	21.5%	4.1%	0.5%	-22.6M	-3.29B	-28.6M	1.89	3.80	188,062	354,574	1,407,704	3,880,569
2010-03-10	$67.55	$65.00	17.2%	5.7%	12.9%	0.2%	21.5%	4.6%	1.6%	-39.2M	-3.62B	-29.2M	2.52	2.85	224,188	564,085	1,442,952	3,989,358
2010-03-11	$67.75	$66.00	19.7%	5.6%	12.9%	5.0%	22.4%	4.5%	1.7%	-107.4M	-3.44B	-31.7M	4.73	3.01	101,490	480,333	1,523,340	4,289,521
2010-03-12	$67.72	$67.00	19.4%	5.6%	12.6%	4.4%	21.8%	4.5%	1.9%	-141.3M	-3.13B	-33.7M	2.82	3.44	125,481	354,095	1,549,330	4,559,911
2010-03-15	$67.49	$67.00	20.6%	5.9%	12.9%	6.8%	20.2%	4.6%	1.9%	-200.9M	-2.53B	-33.8M	2.17	6.09	137,867	299,026	1,591,698	4,782,721
2010-03-16	$68.07	$67.00	19.5%	5.6%	12.3%	4.6%	21.4%	4.5%	2.2%	-144.1M	-3.39B	-33.6M	2.31	3.58	124,708	288,220	1,667,622	4,855,813
2010-03-17	$68.47	$67.00	19.6%	5.6%	12.2%	4.7%	21.0%	4.0%	2.1%	-112.3M	-4.42B	-33.0M	1.88	2.74	245,921	463,055	1,722,761	4,912,967
2010-03-18	$68.26	$67.00	19.5%	5.6%	12.5%	4.6%	20.2%	4.0%	2.0%	-233.3M	-3.84B	-34.4M	2.35	3.66	132,684	311,230	1,812,950	5,149,360
2010-03-19	$67.41	$67.00	20.2%	5.8%	13.8%	5.9%	21.3%	4.3%	1.9%	-452.3M	-1.58B	-36.7M	2.30	5.73	228,877	525,622	1,810,572	5,270,578
2010-03-22	$68.36	$67.00	19.3%	5.5%	14.3%	4.2%	20.3%	4.1%	1.9%	-324.9M	-622.7M	-33.9M	1.76	3.13	205,013	360,318	1,214,619	4,072,769
2010-03-23	$69.23	$67.00	18.3%	5.2%	13.3%	2.3%	19.8%	3.2%	2.1%	-238.5M	-2.29B	-33.1M	2.34	4.00	185,793	434,720	1,353,228	4,194,796
2010-03-24	$68.27	$68.00	19.7%	5.6%	14.9%	4.9%	20.5%	4.3%	1.9%	-342.3M	654.0M	-37.2M	2.69	3.16	99,949	268,781	1,194,303	4,386,153
2010-03-25	$67.84	$68.00	21.1%	6.0%	15.3%	7.6%	21.1%	4.9%	1.2%	-381.6M	1.28B	-38.7M	1.30	3.79	270,374	350,971	1,239,246	4,370,334
2010-03-26	$67.81	$68.00	18.2%	5.8%	15.1%	2.1%	21.4%	5.0%	2.0%	-388.0M	1.48B	-41.5M	1.75	3.09	205,707	360,400	1,400,306	4,541,823
2010-03-29	$68.18	$68.00	21.2%	5.4%	13.3%	7.8%	20.2%	4.4%	2.5%	-320.7M	830.1M	-40.3M	2.48	3.13	78,445	194,372	1,475,166	4,608,095
2010-03-30	$68.39	$68.00	21.6%	5.4%	13.2%	8.7%	19.7%	3.9%	2.2%	-292.8M	332.8M	-39.2M	5.08	2.89	53,759	273,197	1,460,555	4,586,918
2010-03-31	$67.80	$68.00	19.1%	5.5%	13.7%	5.8%	19.5%	4.5%	1.8%	-516.0M	1.50B	-40.0M	2.86	4.42	102,124	292,356	1,465,847	4,692,141