IWM Options History — August 2010

In August 2010, IWM traded between $59.63 and $66.31. ATM implied volatility averaged 31.1%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.6% (HV 20d: 27.6%). Max pain ranged from $63.00 to $66.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.56.

Notable Days

2010-08-24: Highest Volume — 907,190 contracts
2010-08-10: Largest IV spike — 14.7% change
2010-08-26: Highest IV Rank — 55.2%
2010-08-26: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.55	$59.63	$66.31	$66.15	$60.18
Max Pain	$65.14	$63.00	$66.00	$64.00	$66.00
ATM IV	31.1%	25.3%	33.7%	29.7%	33.6%
Expected Move	8.7%	7.6%	9.7%	7.7%	9.6%
HV 20d	27.6%	23.1%	31.3%	31.3%	25.9%
HV 60d	31.7%	28.0%	35.2%	35.2%	28.0%
IV Rank	47.3%	29.6%	55.2%	43.0%	54.7%
IV Percentile	78.7%	39.3%	89.7%	75.4%	88.9%
Term Structure	1.0%	0.0%	1.7%	1.7%	0.4%
VWIV	32.0%	28.6%	34.9%	30.6%	34.6%
Skew 25d	8.1%	6.0%	9.4%	6.0%	9.4%
Skew 10d	15.7%	12.4%	18.5%	12.7%	17.3%
Call IV 25d	27.0%	23.4%	30.0%	23.9%	28.7%
Put IV 25d	35.1%	29.6%	38.6%	30.0%	38.2%
Bid-Ask Spread %	4.44	2.55	6.17	3.59	6.17
Gamma HHI	0.09	0.06	0.12	0.06	0.10
Net GEX	-409.6M	-649.6M	-261.6M	-261.9M	-371.2M
Net DEX	5.46B	1.05B	8.88B	1.24B	6.26B
Net VEX	-38.9M	-41.7M	-35.5M	-41.2M	-37.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.56	1.37	6.40	3.40	1.52
Total Volume	405,040.227	187,075	907,190	308,934	398,772
Total OI	5,636,712.182	4,590,744	6,317,154	5,568,012	5,115,024

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
2010-08-02	$66.15	$64.00	29.7%	7.7%	31.3%	43.0%	30.6%	6.0%	1.7%	-261.9M	1.24B	-41.2M	3.40	3.59	70,146	238,788	1,492,452	4,075,560
2010-08-03	$65.62	$64.00	31.0%	7.7%	31.0%	47.0%	28.6%	6.2%	1.6%	-274.4M	1.71B	-41.7M	1.91	2.98	64,269	122,806	1,513,013	4,113,237
2010-08-04	$66.31	$64.00	30.5%	7.6%	29.1%	45.4%	28.7%	6.1%	1.7%	-261.6M	1.05B	-40.9M	1.96	3.07	73,259	143,221	1,507,143	4,144,144
2010-08-05	$65.53	$64.00	28.2%	7.7%	29.4%	38.5%	29.1%	6.1%	1.6%	-292.5M	1.97B	-41.3M	2.97	2.55	82,388	244,617	1,533,114	4,130,718
2010-08-06	$65.14	$66.00	25.3%	8.2%	29.1%	29.6%	30.6%	8.0%	1.2%	-372.2M	2.55B	-40.7M	6.40	5.98	90,011	576,275	1,552,343	4,190,741
2010-08-09	$65.86	$66.00	28.4%	7.9%	28.9%	39.0%	30.1%	8.4%	1.4%	-311.3M	1.72B	-40.6M	2.88	5.54	55,746	160,698	1,543,077	4,383,873
2010-08-10	$64.62	$66.00	32.6%	8.2%	27.8%	51.6%	30.7%	8.1%	1.2%	-399.8M	3.61B	-41.5M	2.10	4.83	121,373	255,168	1,560,174	4,452,852
2010-08-11	$62.08	$66.00	31.4%	9.1%	31.3%	48.0%	31.5%	8.1%	0.7%	-540.1M	7.33B	-40.3M	2.30	6.10	175,949	404,336	1,583,464	4,426,683
2010-08-12	$61.77	$66.00	31.9%	9.1%	31.2%	49.5%	32.4%	8.3%	0.9%	-556.9M	7.95B	-40.6M	2.82	5.30	82,644	232,738	1,644,062	4,498,296
2010-08-13	$61.07	$66.00	32.4%	9.3%	28.5%	51.2%	32.5%	8.9%	0.9%	-649.6M	8.88B	-39.6M	2.08	4.22	101,619	211,052	1,634,047	4,492,641
2010-08-16	$61.56	$65.00	31.1%	8.9%	28.6%	47.3%	32.5%	8.7%	1.3%	-521.9M	7.68B	-38.3M	2.91	5.61	95,962	279,057	1,656,433	4,447,975
2010-08-17	$62.62	$65.00	29.3%	8.4%	28.6%	41.6%	31.5%	8.6%	1.6%	-443.1M	5.94B	-37.6M	2.03	4.20	101,735	206,666	1,691,408	4,452,738
2010-08-18	$62.81	$65.00	29.2%	8.4%	27.8%	41.4%	32.5%	7.9%	1.2%	-422.7M	5.88B	-35.5M	3.14	3.82	87,897	275,570	1,700,126	4,424,010
2010-08-19	$61.09	$65.00	32.5%	9.3%	26.6%	51.3%	33.7%	8.9%	0.9%	-560.8M	8.44B	-36.2M	2.61	3.63	150,636	393,284	1,683,442	4,459,620
2010-08-20	$61.15	$65.00	31.8%	9.1%	24.8%	49.1%	32.8%	9.1%	0.8%	-460.7M	8.24B	-37.0M	3.52	3.29	157,643	554,661	1,739,044	4,578,110
2010-08-23	$60.32	$65.00	32.6%	9.3%	23.1%	51.7%	32.1%	8.3%	0.8%	-395.3M	7.03B	-36.4M	1.73	3.15	90,568	156,445	1,117,927	3,472,817
2010-08-24	$59.63	$64.00	33.1%	9.4%	23.2%	53.3%	33.7%	8.2%	0.9%	-409.1M	7.74B	-36.2M	2.47	3.72	261,104	646,086	1,163,793	3,541,203
2010-08-25	$60.53	$63.00	32.0%	9.0%	23.9%	50.0%	33.2%	7.6%	1.1%	-389.2M	6.61B	-38.8M	2.41	3.69	149,557	360,165	1,315,618	3,680,108
2010-08-26	$60.08	$66.00	33.7%	9.7%	23.9%	55.2%	34.9%	8.5%	0.0%	-389.4M	6.81B	-38.6M	1.37	5.54	147,102	201,996	1,367,843	3,680,868
2010-08-27	$61.65	$66.00	30.8%	8.8%	26.1%	46.4%	34.1%	8.6%	0.6%	-343.4M	4.79B	-38.9M	1.85	5.27	164,551	304,701	1,426,218	3,731,995
2010-08-30	$60.30	$66.00	33.7%	9.7%	25.9%	54.9%	33.9%	8.9%	0.2%	-384.2M	6.64B	-37.2M	2.00	5.42	73,266	146,358	1,424,623	3,665,091
2010-08-31	$60.18	$66.00	33.6%	9.6%	25.9%	54.7%	34.6%	9.4%	0.4%	-371.2M	6.26B	-37.4M	1.52	6.17	157,954	240,818	1,441,484	3,673,540