IWM Options History — June 2010

In June 2010, IWM traded between $61.12 and $66.99. ATM implied volatility averaged 36.3%, placing in the 65.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 2.4% (HV 20d: 38.7%). Max pain ranged from $66.00 to $69.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.15.

Notable Days

2010-06-29: Highest Volume — 756,543 contracts
2010-06-29: Largest IV spike — 27.6% change
2010-06-29: Highest IV Rank — 100.0%
2010-06-07: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.50	$61.12	$66.99	$64.24	$61.12
Max Pain	$66.91	$66.00	$69.00	$69.00	$66.00
ATM IV	36.3%	27.9%	48.6%	40.3%	47.5%
Expected Move	9.9%	8.0%	12.9%	11.6%	10.5%
HV 20d	38.7%	32.5%	44.9%	42.5%	32.5%
HV 60d	32.2%	28.9%	33.8%	28.9%	33.8%
IV Rank	65.5%	39.5%	100.0%	78.8%	96.9%
IV Percentile	90.2%	67.9%	100.0%	98.4%	99.6%
Term Structure	-0.2%	-3.0%	1.7%	-1.5%	0.4%
VWIV	36.2%	30.0%	44.9%	36.6%	36.7%
Skew 25d	10.2%	7.7%	13.8%	13.1%	7.7%
Skew 10d	19.3%	13.3%	27.1%	27.1%	13.3%
Call IV 25d	30.3%	25.1%	39.0%	34.3%	33.6%
Put IV 25d	40.6%	33.7%	52.6%	47.4%	41.3%
Bid-Ask Spread %	7.08	3.60	18.38	11.65	4.68
Gamma HHI	0.09	0.07	0.33	0.07	0.33
Net GEX	-618.4M	-965.4M	-478.2M	-529.9M	-965.4M
Net DEX	9.54B	5.70B	15.19B	10.40B	12.94B
Net VEX	-49.1M	-56.5M	-41.1M	-54.9M	-41.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.15	1.48	4.53	2.70	4.31
Total Volume	503,042.682	286,062	756,543	510,611	538,976
Total OI	7,290,573.273	6,408,278	8,080,344	6,843,231	6,956,150

Daily Data (22 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
2010-06-01	$64.24	$69.00	40.3%	11.6%	42.5%	78.8%	36.6%	13.1%	-1.5%	-529.9M	10.40B	-54.9M	2.70	11.65	137,996	372,615	1,683,993	5,159,238
2010-06-02	$66.07	$69.00	36.0%	10.3%	43.1%	65.2%	41.0%	13.5%	-1.7%	-544.9M	8.28B	-55.9M	3.89	9.74	75,089	292,445	1,747,057	5,342,669
2010-06-03	$66.92	$69.00	34.6%	9.9%	43.2%	60.5%	39.6%	12.8%	-1.2%	-526.9M	6.77B	-56.3M	4.07	11.66	107,218	436,133	1,768,483	5,439,664
2010-06-04	$63.56	$69.00	40.4%	11.6%	44.9%	78.9%	42.4%	13.8%	-1.5%	-597.5M	11.81B	-56.5M	4.53	18.38	113,532	514,471	1,821,685	5,531,508
2010-06-07	$61.92	$69.00	45.1%	12.9%	44.7%	94.0%	44.9%	13.6%	-3.0%	-634.0M	14.68B	-53.9M	3.43	12.89	152,680	524,232	1,856,057	5,707,745
2010-06-08	$61.89	$69.00	46.3%	11.8%	39.3%	97.7%	40.9%	11.3%	-2.5%	-710.6M	15.19B	-52.4M	3.25	12.18	167,254	543,907	1,898,830	5,814,410
2010-06-09	$61.93	$66.00	41.8%	11.3%	39.1%	83.4%	42.0%	11.7%	-1.2%	-675.0M	14.28B	-52.2M	3.96	6.29	117,064	463,189	1,922,584	5,741,418
2010-06-10	$64.07	$66.00	35.6%	10.2%	39.6%	64.0%	38.8%	10.5%	-0.2%	-721.1M	11.31B	-51.9M	3.62	5.77	120,383	435,262	1,917,263	5,833,930
2010-06-11	$64.94	$66.00	34.1%	9.8%	40.1%	59.0%	37.7%	10.2%	-0.2%	-641.2M	9.53B	-51.9M	3.65	6.74	104,810	382,873	1,942,328	5,840,143
2010-06-14	$65.35	$66.00	34.5%	9.9%	39.9%	60.2%	35.5%	9.7%	-0.3%	-661.7M	8.76B	-50.3M	3.17	4.66	123,061	390,072	1,929,883	5,900,201
2010-06-15	$66.99	$66.00	31.3%	9.0%	41.1%	50.1%	34.3%	8.8%	0.2%	-603.3M	5.98B	-47.8M	2.54	5.71	106,708	270,989	1,952,926	5,933,211
2010-06-16	$66.68	$66.00	30.8%	8.8%	40.6%	48.5%	33.1%	9.6%	0.7%	-586.7M	6.35B	-48.9M	2.65	4.54	103,872	275,261	1,999,751	5,984,744
2010-06-17	$66.76	$66.00	30.0%	8.6%	40.4%	46.1%	34.4%	9.6%	1.0%	-522.9M	6.00B	-47.0M	2.58	5.49	155,906	402,925	2,009,193	5,907,949
2010-06-18	$66.80	$66.00	27.9%	8.0%	35.5%	39.5%	30.0%	8.6%	1.7%	-535.4M	6.18B	-45.7M	2.37	4.48	121,437	287,417	2,068,868	6,011,476
2010-06-21	$66.11	$66.00	30.0%	8.6%	35.5%	46.1%	30.8%	9.2%	0.7%	-478.2M	5.70B	-45.4M	3.40	4.15	112,516	382,292	1,535,384	4,872,894
2010-06-22	$64.75	$66.00	30.8%	8.8%	35.9%	48.7%	31.5%	8.7%	0.8%	-588.8M	8.21B	-45.8M	2.94	4.27	111,760	328,343	1,567,520	5,013,467
2010-06-23	$64.57	$67.00	30.1%	8.6%	36.0%	46.3%	32.0%	7.7%	0.9%	-610.2M	8.48B	-45.0M	2.52	3.60	146,123	367,933	1,592,893	5,031,535
2010-06-24	$63.54	$67.00	32.4%	9.3%	36.4%	53.5%	33.3%	8.6%	0.7%	-625.6M	9.96B	-46.0M	2.00	4.14	134,185	268,600	1,634,920	5,114,730
2010-06-25	$64.63	$66.00	32.1%	8.6%	33.5%	52.7%	31.9%	8.7%	1.1%	-584.1M	8.21B	-45.2M	1.48	4.11	115,317	170,745	1,676,464	5,101,129
2010-06-28	$64.26	$66.00	38.0%	9.3%	33.2%	71.6%	32.4%	8.3%	0.8%	-572.1M	8.62B	-43.6M	2.26	5.03	102,615	232,190	1,708,421	5,115,152
2010-06-29	$61.83	$66.00	48.6%	10.4%	34.3%	100.0%	37.7%	9.4%	-0.2%	-688.1M	12.15B	-41.8M	4.03	5.54	150,281	606,262	1,708,546	5,096,200
2010-06-30	$61.12	$66.00	47.5%	10.5%	32.5%	96.9%	36.7%	7.7%	0.4%	-965.4M	12.94B	-41.1M	4.31	4.68	101,460	437,516	1,766,167	5,189,983