IWM Options History — April 2010 In April 2010, IWM traded between $68.43 and $74.13. ATM implied volatility averaged 18.7%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.7% (HV 20d: 15.0%). Max pain ranged from $67.00 to $71.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.27.
Notable Days 2010-04-15 : Highest Volume — 911,322 contracts2010-04-15 : Largest IV spike — 26.0% change2010-04-30 : Highest IV Rank — 30.3%2010-04-30 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $71.55 $68.43 $74.13 $68.43 $71.65 Max Pain $69.19 $67.00 $71.00 $68.00 $71.00 ATM IV 18.7% 15.5% 23.9% 19.7% 23.9% Expected Move 5.7% 5.1% 6.9% 5.7% 6.9% HV 20d 15.0% 13.5% 21.0% 14.0% 21.0% HV 60d 17.2% 16.0% 18.0% 17.6% 18.0% IV Rank 9.0% 0.0% 30.3% 7.9% 30.3% IV Percentile 8.6% 0.0% 33.7% 7.5% 33.7% Term Structure 1.7% 0.2% 2.4% 1.3% 1.0% VWIV 21.4% 19.3% 25.5% 20.2% 25.5% Skew 25d 4.9% 4.1% 7.0% 4.7% 7.0% Skew 10d 10.3% 8.1% 13.3% 8.7% 13.3% Call IV 25d 17.9% 16.4% 21.5% 17.4% 21.5% Put IV 25d 22.7% 20.7% 28.5% 22.1% 28.5% Bid-Ask Spread % 3.29 2.43 7.86 3.69 7.86 Gamma HHI 0.07 0.06 0.09 0.09 0.06 Net GEX -223.5M -417.2M 22.0M -312.5M -417.2M Net DEX -1.92B -5.11B 1.32B 538.5M 1.32B Net VEX -43.1M -54.8M -36.0M -39.6M -54.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.27 1.48 5.31 1.48 4.59 Total Volume 514,873.095 282,860 911,322 538,588 575,428 Total OI 5,871,920.714 4,965,484 6,846,277 5,056,605 6,402,294
Daily Data (21 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 2010-04-01 $68.43 $68.00 19.7% 5.7% 14.0% 7.9% 20.2% 4.7% 1.3% -312.5M 538.5M -39.6M 1.48 3.69 217,006 321,582 1,333,429 3,723,176 2010-04-05 $69.71 $67.00 16.9% 5.5% 13.7% 0.0% 21.3% 4.7% 1.9% -154.2M -2.05B -36.4M 4.39 2.79 58,289 255,857 1,427,648 3,877,299 2010-04-06 $70.12 $68.00 16.9% 5.6% 13.8% 0.1% 20.2% 4.5% 1.9% -122.2M -2.52B -36.0M 2.73 2.45 173,898 475,412 1,426,751 3,930,611 2010-04-07 $69.90 $68.00 17.2% 5.6% 13.9% 0.9% 20.8% 4.6% 2.0% -185.9M -1.75B -39.1M 4.90 2.54 87,030 426,608 1,474,284 4,148,009 2010-04-08 $69.83 $68.00 16.2% 5.6% 13.7% 0.0% 21.1% 4.6% 2.0% -181.5M -1.75B -38.8M 2.52 2.70 160,909 406,106 1,474,284 4,148,009 2010-04-09 $70.25 $68.00 15.9% 5.6% 13.8% 0.0% 20.3% 4.7% 2.1% -251.8M -1.65B -41.2M 2.49 4.08 107,807 268,084 1,572,400 4,477,013 2010-04-12 $70.54 $68.00 16.5% 5.5% 13.8% 2.0% 21.2% 4.8% 1.7% -195.6M -2.53B -39.0M 2.62 2.92 96,795 253,816 1,629,855 4,549,691 2010-04-13 $70.70 $68.00 15.7% 5.5% 13.6% 0.0% 21.6% 4.9% 1.6% -158.7M -2.74B -39.6M 4.72 2.63 49,435 233,425 1,647,646 4,675,103 2010-04-14 $72.21 $69.00 15.5% 5.5% 15.1% 0.0% 21.0% 4.4% 1.8% 22.0M -5.10B -37.0M 3.10 2.73 156,046 483,313 1,652,757 4,698,917 2010-04-15 $72.43 $69.00 19.6% 5.6% 15.0% 12.2% 21.2% 4.1% 2.0% -38.3M -5.11B -38.6M 4.19 2.96 175,436 735,886 1,666,504 4,919,339 2010-04-16 $71.46 $69.00 20.5% 5.9% 16.0% 15.1% 21.7% 4.9% 2.2% -182.9M -2.79B -44.5M 2.58 3.40 206,267 531,221 1,661,361 5,184,916 2010-04-19 $71.11 $70.00 20.2% 5.8% 15.3% 14.1% 21.6% 5.4% 1.7% -258.5M -249.0M -45.4M 4.48 3.72 106,844 478,598 1,242,922 3,722,562 2010-04-20 $72.08 $70.00 18.7% 5.4% 15.2% 9.6% 20.7% 4.8% 2.1% -260.7M -1.29B -45.3M 4.09 3.34 94,644 387,362 1,313,018 3,937,179 2010-04-21 $72.58 $70.00 17.6% 5.1% 14.9% 6.5% 19.3% 4.3% 2.4% -291.0M -1.42B -45.7M 3.25 2.43 87,604 284,713 1,333,620 4,117,128 2010-04-22 $73.35 $70.00 18.8% 5.4% 13.8% 10.3% 19.9% 4.2% 1.7% -292.1M -2.30B -44.0M 1.85 2.79 215,668 398,070 1,376,145 4,228,486 2010-04-23 $74.13 $70.00 18.1% 5.2% 13.5% 7.9% 19.5% 4.2% 1.9% -203.4M -3.45B -44.1M 2.04 2.45 174,806 356,091 1,486,033 4,395,134 2010-04-26 $73.85 $70.00 19.7% 5.6% 13.7% 12.8% 21.6% 4.3% 1.3% -220.1M -3.02B -44.5M 5.31 3.06 71,130 377,982 1,486,033 4,395,332 2010-04-27 $72.16 $70.00 23.4% 6.7% 16.8% 24.4% 24.6% 5.4% 0.2% -356.0M 37.1M -51.5M 2.80 3.22 127,850 357,986 1,544,963 4,637,657 2010-04-28 $72.28 $71.00 22.0% 6.3% 16.8% 20.6% 23.1% 6.1% 1.3% -358.6M -174.5M -50.9M 1.82 3.43 156,369 284,681 1,532,315 4,586,981 2010-04-29 $73.81 $71.00 19.6% 5.6% 17.4% 14.6% 22.8% 5.7% 1.7% -273.7M -2.25B -48.3M 2.65 3.91 108,559 287,722 1,585,337 4,688,194 2010-04-30 $71.65 $71.00 23.9% 6.9% 21.0% 30.3% 25.5% 7.0% 1.0% -417.2M 1.32B -54.8M 4.59 7.86 102,927 472,501 1,617,247 4,785,047
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