IWM Options History — October 2010

In October 2010, IWM traded between $66.94 and $70.88. ATM implied volatility averaged 26.0%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 6.1% (HV 20d: 19.8%). Max pain ranged from $66.00 to $69.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.78.

Notable Days

  • 2010-10-13: Highest Volume — 686,243 contracts
  • 2010-10-14: Largest IV spike — 33.4% change
  • 2010-10-29: Highest IV Rank — 46.9%
  • 2010-10-04: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.68$66.94$70.88$67.86$70.30
Max Pain$67.52$66.00$69.00$66.00$69.00
ATM IV26.0%19.7%31.0%24.1%31.0%
Expected Move7.7%7.1%8.4%7.1%8.0%
HV 20d19.8%16.3%22.4%21.5%16.5%
HV 60d24.9%23.1%27.4%26.9%23.1%
IV Rank31.6%12.8%46.9%26.0%46.9%
IV Percentile46.6%13.5%77.0%34.5%77.0%
Term Structure1.2%-0.3%3.8%3.8%-0.3%
VWIV28.9%26.2%32.0%26.8%27.6%
Skew 25d6.8%5.5%8.2%5.5%6.2%
Skew 10d13.1%10.3%16.3%10.3%11.5%
Call IV 25d23.8%21.9%25.6%22.5%24.7%
Put IV 25d30.6%27.8%33.7%28.0%30.9%
Bid-Ask Spread %3.541.4412.093.772.52
Gamma HHI0.070.050.100.070.06
Net GEX-109.6M-222.0M56.4M-96.2M-204.3M
Net DEX-1.70B-4.11B9.5M-1.04B-1.02B
Net VEX-36.2M-40.6M-32.3M-34.5M-40.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.781.434.733.891.56
Total Volume378,579.476188,506686,243382,314373,136
Total OI4,822,388.5714,128,9955,337,5504,454,1585,215,699

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$67.86$66.0024.1%7.1%21.5%26.0%26.8%5.5%3.8%-96.2M-1.04B-34.5M3.893.7778,202304,1121,433,3493,020,809
2010-10-04$66.94$66.0029.3%8.4%21.6%41.8%31.3%8.2%1.5%-165.2M9.5M-34.7M4.732.9679,457376,1191,437,3743,053,549
2010-10-05$68.84$66.0027.8%8.0%22.0%37.3%32.0%8.1%1.3%-55.6M-1.88B-34.1M2.372.71118,732281,0471,471,4413,208,523
2010-10-06$68.61$66.0024.6%8.0%22.1%27.4%30.0%7.9%1.3%-91.0M-1.52B-34.5M1.432.26108,124154,6471,481,9053,197,648
2010-10-07$68.41$66.0026.6%8.3%22.2%33.6%30.8%8.0%1.2%-94.8M-1.49B-34.9M3.943.1665,943259,7751,538,4143,221,381
2010-10-08$69.28$67.0023.6%7.7%22.4%24.4%28.5%7.4%1.5%-28.6M-2.49B-33.6M2.203.12142,612313,7101,556,9633,313,833
2010-10-11$69.34$67.0025.4%7.9%21.2%29.9%31.5%7.2%1.6%-26.6M-2.45B-34.2M2.852.5697,663278,8021,592,9963,366,773
2010-10-12$69.52$67.0023.6%7.7%21.0%24.4%31.4%7.5%1.4%-8.2M-2.56B-33.6M2.012.97135,471272,0631,615,3553,371,596
2010-10-13$70.58$67.0019.7%7.4%21.4%12.8%29.4%6.6%1.4%56.4M-4.11B-32.3M3.635.66148,234538,0091,592,0173,460,087
2010-10-14$70.53$67.0026.3%7.5%21.2%32.7%29.3%7.0%1.2%18.6M-3.96B-34.8M3.1912.0994,287301,1091,656,3893,681,161
2010-10-15$70.29$67.0027.1%7.8%21.3%35.1%28.6%7.2%1.5%-2.6M-3.27B-35.1M2.274.81153,586349,3141,660,6713,662,451
2010-10-18$70.88$68.0025.4%7.3%19.5%29.9%27.4%6.7%1.4%-101.5M-1.99B-34.1M2.136.3860,281128,2251,311,3172,817,678
2010-10-19$69.50$68.0027.7%7.9%20.9%36.9%28.1%6.6%0.8%-141.1M-757.9M-35.9M4.025.84104,655421,0581,335,3762,874,822
2010-10-20$70.21$68.0026.7%7.7%20.4%34.0%28.4%6.8%1.1%-144.7M-1.09B-37.1M4.121.8389,653368,9471,381,3583,094,045
2010-10-21$69.87$68.0025.9%7.4%19.5%31.4%27.4%6.3%1.1%-216.7M-406.9M-38.8M2.972.19115,777343,3421,419,1633,303,203
2010-10-22$70.32$69.0024.9%7.1%16.5%28.4%26.2%5.9%1.4%-216.0M-988.3M-39.6M1.792.0398,243176,0201,467,3183,432,196
2010-10-25$70.74$69.0025.7%7.4%16.4%30.8%27.5%6.2%0.7%-166.7M-1.63B-39.1M2.261.4478,158176,9861,481,7583,409,097
2010-10-26$70.69$69.0026.1%7.5%16.3%32.0%28.3%6.2%0.7%-190.3M-1.36B-39.5M2.081.6762,783130,3371,505,0573,476,225
2010-10-27$70.51$69.0026.2%7.5%16.3%32.3%28.1%5.9%0.6%-203.7M-1.15B-39.6M2.132.0493,549198,9711,520,2373,511,526
2010-10-28$70.08$69.0027.6%7.9%16.5%36.5%28.3%5.9%-0.2%-222.0M-646.4M-39.6M2.882.2571,925207,1051,564,1323,555,268
2010-10-29$70.30$69.0031.0%8.0%16.5%46.9%27.6%6.2%-0.3%-204.3M-1.02B-40.6M1.562.52145,635227,5011,585,5953,630,104