IWM Options History — November 2010

In November 2010, IWM traded between $69.82 and $73.77. ATM implied volatility averaged 26.0%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 8.5% (HV 20d: 17.6%). Max pain ranged from $69.00 to $73.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.05.

Notable Days

  • 2010-11-04: Highest Volume — 757,920 contracts
  • 2010-11-03: Largest IV drop — 25.5% change
  • 2010-11-02: Highest IV Rank — 78.2%
  • 2010-11-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.44$69.82$73.77$69.82$72.75
Max Pain$72.00$69.00$73.00$69.00$73.00
ATM IV26.0%20.1%41.4%36.4%27.2%
Expected Move7.2%6.5%8.4%8.3%8.3%
HV 20d17.6%14.2%20.3%15.8%20.3%
HV 60d21.2%19.1%23.4%23.1%19.1%
IV Rank31.9%13.9%78.2%63.1%35.3%
IV Percentile46.1%15.9%96.8%93.3%59.5%
Term Structure0.1%-1.2%0.7%-0.3%0.0%
VWIV27.3%24.4%32.6%30.3%32.6%
Skew 25d6.4%4.8%7.3%5.8%7.3%
Skew 10d12.3%8.8%15.7%11.3%15.7%
Call IV 25d22.3%20.2%25.9%25.9%24.6%
Put IV 25d28.7%25.9%32.2%31.7%31.9%
Bid-Ask Spread %5.512.3812.152.383.30
Gamma HHI0.070.060.090.060.07
Net GEX-192.6M-349.0M-13.6M-235.4M-259.8M
Net DEX-2.49B-5.64B101.0M-674.6M-752.7M
Net VEX-36.7M-41.3M-34.1M-41.3M-36.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.051.174.454.384.10
Total Volume421,173230,194757,920465,124421,341
Total OI5,492,294.2864,338,1726,209,3075,330,7034,743,147

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$69.82$69.0036.4%8.3%15.8%63.1%30.3%5.8%-0.3%-235.4M-674.6M-41.3M4.382.3886,497378,6271,632,4893,698,214
2010-11-02$71.27$69.0041.4%8.4%14.3%78.2%30.9%6.5%-1.2%-211.7M-2.13B-39.9M2.322.77124,902289,4661,636,4553,922,916
2010-11-03$71.55$69.0030.8%7.3%14.2%46.4%27.6%5.6%-0.4%-205.3M-2.76B-38.7M2.9212.15102,001297,9451,675,2684,058,645
2010-11-04$73.36$69.0024.5%6.9%16.2%27.2%26.1%4.8%0.3%-22.0M-5.10B-34.9M3.544.05167,082590,8381,699,6694,124,936
2010-11-05$73.77$70.0020.4%6.6%15.9%14.9%24.9%5.1%0.4%-13.6M-5.64B-34.1M4.412.56102,042450,1651,744,3034,218,483
2010-11-08$73.71$73.0022.9%6.6%15.9%22.2%25.1%5.1%0.3%-67.5M-4.95B-34.4M3.787.7148,194182,0001,690,8724,021,442
2010-11-09$72.73$73.0025.4%6.9%17.0%29.9%26.1%5.6%0.3%-123.8M-3.67B-36.1M2.745.38119,119326,1881,692,8754,006,002
2010-11-10$73.54$73.0020.1%6.7%16.6%13.9%25.6%5.9%0.5%-123.9M-4.57B-34.7M2.857.40114,163325,5301,727,9094,090,724
2010-11-11$73.25$73.0024.1%6.9%16.7%26.0%26.5%6.2%0.5%-139.5M-4.02B-37.0M1.683.60156,549263,7541,770,2774,180,604
2010-11-12$72.03$73.0025.9%7.4%17.9%31.5%27.8%7.1%0.3%-318.0M-1.82B-39.5M3.457.03125,870434,7821,767,1124,236,203
2010-11-15$72.04$73.0026.3%7.5%17.7%32.6%28.1%7.1%0.3%-213.5M-2.36B-38.1M3.766.6161,081229,5901,748,5464,213,222
2010-11-16$70.64$73.0026.5%7.6%17.7%33.4%27.8%7.2%0.1%-344.4M101.0M-39.2M3.116.47156,978488,3521,756,7134,231,303
2010-11-17$70.83$72.0025.8%7.4%17.4%31.2%27.7%6.9%0.2%-349.0M-286.6M-38.5M3.205.66108,945348,5581,772,7234,271,542
2010-11-18$72.21$72.0024.0%6.9%18.5%25.6%25.4%7.3%0.6%-201.1M-2.90B-37.0M2.023.21150,579303,8931,793,7624,373,775
2010-11-19$72.45$73.0023.3%6.7%18.4%23.6%24.4%6.3%0.7%-201.8M-3.24B-36.7M1.177.19168,110196,7301,828,4094,380,898
2010-11-22$72.80$73.0022.7%6.5%18.4%21.8%26.1%5.9%0.7%-182.1M-1.56B-34.3M3.443.4684,280289,5161,315,2613,022,911
2010-11-23$72.11$73.0024.9%7.1%18.8%28.3%26.8%6.5%-0.2%-259.5M-461.7M-36.6M2.173.7196,818210,0121,341,7483,161,491
2010-11-24$73.73$73.0023.2%6.6%20.2%23.2%25.8%7.0%-0.0%-157.4M-2.31B-35.0M1.632.9990,409147,8021,367,9263,181,998
2010-11-26$73.22$73.0025.2%7.5%20.2%29.2%28.1%7.2%0.0%-188.9M-1.76B-35.1M4.4511.7442,623189,6011,393,8083,233,436
2010-11-29$73.33$73.0026.1%7.8%20.2%32.0%30.1%7.1%-0.3%-225.4M-1.54B-34.6M2.866.2796,885276,8161,369,3783,240,785
2010-11-30$72.75$73.0027.2%8.3%20.3%35.3%32.6%7.3%0.0%-259.8M-752.7M-36.1M4.103.3082,620338,7211,402,6123,340,535