IWM Options History — September 2010

In September 2010, IWM traded between $62.51 and $67.67. ATM implied volatility averaged 27.5%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.6% (HV 20d: 26.8%). Max pain ranged from $63.00 to $66.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.31.

Notable Days

  • 2010-09-15: Highest Volume — 702,341 contracts
  • 2010-09-27: Largest IV spike — 19.3% change
  • 2010-09-27: Highest IV Rank — 44.4%
  • 2010-09-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.26$62.51$67.67$62.51$67.50
Max Pain$64.81$63.00$66.00$66.00$65.00
ATM IV27.5%25.3%30.2%29.2%27.9%
Expected Move7.8%7.3%8.4%8.4%7.8%
HV 20d26.8%21.6%30.8%29.6%21.6%
HV 60d28.4%27.0%29.2%29.1%27.0%
IV Rank36.1%29.7%44.4%41.5%37.5%
IV Percentile55.2%38.9%72.2%65.5%58.3%
Term Structure1.7%1.1%2.7%1.2%2.7%
VWIV29.1%25.8%32.0%31.7%28.7%
Skew 25d7.3%6.1%8.4%8.2%6.1%
Skew 10d14.3%11.3%17.4%17.4%11.3%
Call IV 25d24.1%22.3%26.3%26.3%24.0%
Put IV 25d31.5%28.9%34.5%34.5%30.1%
Bid-Ask Spread %3.882.694.814.044.14
Gamma HHI0.080.070.090.090.07
Net GEX-261.1M-379.0M-103.2M-325.6M-103.2M
Net DEX1.09B-1.35B3.83B3.83B-1.17B
Net VEX-35.2M-38.7M-32.7M-38.7M-34.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.311.106.362.562.87
Total Volume393,917.238194,651702,341390,789700,961
Total OI5,584,095.4765,116,3906,162,1445,333,2655,836,173

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$62.51$66.0029.2%8.4%29.6%41.5%31.7%8.2%1.2%-325.6M3.83B-38.7M2.564.04109,832280,9571,541,0023,792,263
2010-09-02$63.20$66.0028.6%8.2%29.8%39.6%32.0%7.6%1.4%-295.8M2.92B-38.7M1.993.0397,245193,6481,567,0293,857,233
2010-09-03$64.33$66.0025.7%7.4%30.5%30.7%28.0%6.5%2.0%-229.9M1.31B-36.9M2.844.81130,283369,7941,573,9073,873,683
2010-09-07$63.11$66.0028.0%8.0%30.8%37.9%30.8%6.8%1.6%-351.2M3.35B-36.4M3.013.8367,210202,4621,564,4083,899,989
2010-09-08$63.48$66.0026.9%8.0%30.3%34.3%30.2%6.5%1.7%-322.5M2.75B-36.2M1.494.0078,040116,6111,577,9253,917,125
2010-09-09$63.52$63.0028.1%8.1%26.5%38.1%29.0%8.3%1.3%-335.1M2.84B-35.8M2.493.4495,030236,4061,617,7623,945,356
2010-09-10$63.72$64.0027.7%7.9%26.4%36.8%31.0%8.1%1.7%-330.4M2.68B-35.8M3.844.7391,671351,9071,668,1344,021,107
2010-09-13$65.27$64.0026.5%7.6%27.1%33.2%27.9%7.9%1.9%-222.9M385.0M-34.0M1.482.69141,754209,6611,662,0054,070,046
2010-09-14$64.99$64.0026.6%7.6%27.2%33.5%28.1%7.7%1.8%-238.6M808.7M-34.6M1.903.6190,344171,2371,715,6894,111,411
2010-09-15$65.36$64.0026.9%7.7%26.7%34.4%28.7%7.2%1.6%-214.0M238.1M-33.9M6.363.1295,395606,9461,714,7434,116,959
2010-09-16$64.94$64.0026.9%7.7%26.8%34.5%27.8%7.1%1.5%-341.7M1.13B-35.7M1.773.79117,974208,2641,758,1384,394,263
2010-09-17$65.21$64.0027.3%7.8%24.5%35.7%28.0%7.6%1.7%-371.3M772.7M-34.6M1.734.17173,900301,1011,773,9374,388,207
2010-09-20$67.02$64.0025.6%7.3%25.9%30.6%27.5%6.9%1.6%-247.3M-446.6M-32.7M2.223.88134,807299,8841,419,6593,696,731
2010-09-21$66.63$65.0027.0%7.7%25.3%34.8%29.4%7.5%1.1%-247.4M161.8M-34.0M1.784.03103,378184,2411,466,2453,759,633
2010-09-22$65.84$65.0027.7%7.9%25.4%36.8%29.4%7.7%1.8%-303.6M1.16B-35.1M2.354.07142,810336,0361,503,2363,823,031
2010-09-23$64.88$65.0028.9%8.3%26.0%40.5%30.3%8.4%1.5%-379.0M2.75B-36.3M2.183.4293,048203,1591,496,3373,847,821
2010-09-24$66.99$65.0025.3%7.3%27.5%29.7%25.8%7.2%2.2%-172.8M-276.1M-34.0M1.103.83195,101214,6811,523,2583,897,966
2010-09-27$66.82$65.0030.2%7.9%26.6%44.4%28.6%7.1%1.5%-213.9M-17.8M-33.9M1.534.01128,446196,7901,584,3303,910,017
2010-09-28$67.48$65.0029.4%7.9%24.7%42.1%28.4%6.6%2.0%-132.7M-1.02B-33.3M1.874.58141,179264,1011,644,9963,971,963
2010-09-29$67.67$65.0026.2%7.5%24.6%32.5%29.1%6.4%2.7%-103.9M-1.35B-33.6M1.234.29177,652218,3161,675,5234,086,765
2010-09-30$67.50$65.0027.9%7.8%21.6%37.5%28.7%6.1%2.7%-103.2M-1.17B-34.2M2.874.14181,153519,8081,721,3414,114,832