IWM Options History — May 2010

In May 2010, IWM traded between $64.12 and $73.26. ATM implied volatility averaged 34.6%, placing in the 63.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 1.4% (HV 20d: 36.1%). Max pain ranged from $69.00 to $72.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 3.20.

Notable Days

  • 2010-05-21: Highest Volume — 1,387,324 contracts
  • 2010-05-10: Largest IV drop — 29.7% change
  • 2010-05-07: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.91$64.12$73.26$73.26$66.25
Max Pain$71.10$69.00$72.00$71.00$69.00
ATM IV34.6%22.5%47.0%22.5%34.1%
Expected Move9.8%6.5%13.5%6.5%9.8%
HV 20d36.1%21.4%43.5%21.4%42.7%
HV 60d24.1%16.8%28.5%16.8%28.5%
IV Rank63.0%25.2%100.0%25.2%59.1%
IV Percentile85.0%28.2%100.0%28.2%92.9%
Term Structure-0.4%-4.8%1.6%1.6%-0.1%
VWIV36.5%24.8%47.0%24.8%38.3%
Skew 25d12.0%5.9%19.2%5.9%12.3%
Skew 10d23.2%12.5%35.7%12.5%23.7%
Call IV 25d28.9%20.1%38.3%20.1%28.5%
Put IV 25d41.0%26.0%57.4%26.0%40.9%
Bid-Ask Spread %7.473.2920.883.2912.93
Gamma HHI0.100.060.680.070.07
Net GEX-625.7M-2.26B-391.8M-406.0M-522.3M
Net DEX7.31B-637.7M15.11B-637.7M7.72B
Net VEX-57.0M-61.2M-52.4M-52.4M-57.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.201.885.603.843.98
Total Volume781,136.95338,3721,387,324338,372430,146
Total OI7,123,749.35,944,8638,077,9336,596,4606,847,717

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$73.26$71.0022.5%6.5%21.4%25.2%24.8%5.9%1.6%-406.0M-637.7M-52.4M3.843.2969,923268,4491,641,3734,955,087
2010-05-04$70.96$71.0027.2%7.8%24.6%42.0%29.7%7.9%0.2%-510.7M3.00B-57.4M2.696.57230,670619,4681,669,2034,953,529
2010-05-05$69.92$71.0028.5%8.2%25.2%46.7%29.9%8.0%-0.8%-583.0M5.08B-59.2M3.173.66200,909637,7211,737,5155,102,048
2010-05-06$67.30$71.0036.3%10.4%28.6%74.5%34.4%8.4%-4.8%-629.0M10.11B-59.5M2.5320.88349,007882,8441,818,2245,243,446
2010-05-07$65.36$72.0045.6%11.1%30.0%100.0%39.0%12.7%-0.5%-553.3M12.43B-61.2M4.2213.47259,8111,096,0711,891,3155,325,921
2010-05-10$69.03$72.0032.1%8.6%36.4%55.0%33.1%10.0%0.5%-601.6M6.46B-60.7M3.9110.29155,227606,8111,941,1115,431,678
2010-05-11$69.49$72.0032.4%8.8%36.5%56.1%33.1%10.2%0.2%-551.3M5.40B-59.0M3.026.90148,916450,3321,940,7155,332,779
2010-05-12$71.62$72.0027.6%7.9%37.4%40.0%31.0%9.2%0.6%-391.8M1.02B-56.6M2.335.94194,957454,8761,993,0695,386,226
2010-05-13$70.93$72.0030.1%8.6%37.5%48.3%31.7%9.9%0.1%-404.1M2.00B-57.8M2.653.38140,687372,1372,018,5445,459,225
2010-05-14$69.56$72.0031.7%9.1%37.8%53.8%34.4%11.0%0.3%-576.1M5.28B-59.7M2.334.49201,942470,0102,016,8685,560,657
2010-05-17$69.69$72.0032.5%9.3%37.8%56.3%35.5%11.1%-0.5%-590.6M5.03B-56.4M3.014.98118,823357,3542,033,9835,546,082
2010-05-18$68.35$72.0036.6%10.5%37.9%70.1%37.9%13.6%-0.1%-623.1M7.58B-57.1M3.104.74176,883548,8732,056,0945,572,055
2010-05-19$67.54$71.0036.4%10.4%37.9%69.3%39.4%14.0%-0.1%-709.5M9.73B-57.1M2.694.71191,107513,5362,084,8815,664,511
2010-05-20$64.12$71.0047.0%13.5%41.1%100.0%47.0%19.2%-1.3%-657.5M15.11B-56.2M2.475.31378,124935,0972,114,1755,747,848
2010-05-21$65.07$71.0042.4%12.2%41.4%85.4%46.8%18.2%-0.2%-2.26B13.96B-55.0M5.066.83228,8411,158,4832,253,2575,824,676
2010-05-24$64.20$71.0041.0%11.8%41.5%81.1%41.0%17.3%-0.4%-460.7M10.16B-53.0M1.884.18167,489315,5531,324,4414,620,422
2010-05-25$64.19$71.0037.8%10.9%41.1%70.7%40.8%15.0%-0.4%-494.1M10.33B-52.4M2.276.76364,185825,8341,406,6314,656,184
2010-05-26$64.34$69.0038.6%11.1%41.1%73.4%41.3%14.3%-1.1%-511.1M10.17B-55.4M3.1712.58130,359412,8001,613,2325,015,328
2010-05-27$67.11$69.0031.9%9.2%43.5%52.2%40.3%12.4%-0.2%-474.3M6.34B-56.4M5.607.4784,667473,8171,650,7365,024,200
2010-05-28$66.25$69.0034.1%9.8%42.7%59.1%38.3%12.3%-0.1%-522.3M7.72B-57.4M3.9812.9386,366343,7801,665,2925,182,425