IWM Options History — December 2010

In December 2010, IWM traded between $74.38 and $79.20. ATM implied volatility averaged 20.5%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.3% (HV 20d: 15.2%). Max pain ranged from $70.00 to $78.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.71.

Notable Days

2010-12-21: Highest Volume — 1,083,357 contracts
2010-12-13: Largest IV spike — 17.2% change
2010-12-01: Highest IV Rank — 29.8%
2010-12-01: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.51	$74.38	$79.20	$74.38	$78.24
Max Pain	$73.64	$70.00	$78.00	$73.00	$78.00
ATM IV	20.5%	17.8%	25.3%	25.3%	19.3%
Expected Move	6.0%	5.3%	7.5%	7.5%	6.3%
HV 20d	15.2%	8.5%	20.7%	20.5%	8.7%
HV 60d	17.4%	15.0%	19.1%	19.0%	15.1%
IV Rank	15.0%	6.9%	29.8%	29.8%	11.4%
IV Percentile	19.0%	4.8%	44.0%	44.0%	10.3%
Term Structure	1.9%	0.1%	3.4%	0.1%	2.8%
VWIV	22.8%	19.5%	30.3%	30.3%	21.9%
Skew 25d	5.1%	4.0%	7.3%	7.3%	5.7%
Skew 10d	9.7%	6.7%	15.0%	15.0%	10.8%
Call IV 25d	18.6%	16.8%	22.0%	22.0%	18.7%
Put IV 25d	23.7%	20.9%	29.3%	29.3%	24.4%
Bid-Ask Spread %	3.10	1.81	10.29	3.42	4.48
Gamma HHI	0.09	0.06	0.41	0.06	0.11
Net GEX	-111.3M	-327.6M	272.9M	-184.1M	-327.6M
Net DEX	-3.93B	-6.87B	-48.2M	-2.72B	-48.2M
Net VEX	-32.4M	-38.6M	-29.8M	-34.7M	-38.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.71	0.24	4.70	4.70	2.37
Total Volume	406,848.455	191,550	1,083,357	575,671	221,056
Total OI	5,232,658.909	4,367,436	6,203,967	4,962,898	5,106,353

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
2010-12-01	$74.38	$73.00	25.3%	7.5%	20.5%	29.8%	30.3%	7.3%	0.1%	-184.1M	-2.72B	-34.7M	4.70	3.42	100,978	474,693	1,437,384	3,525,514
2010-12-02	$75.13	$73.00	23.3%	6.8%	20.7%	23.7%	26.6%	6.8%	0.4%	-176.0M	-3.67B	-34.4M	3.48	8.39	109,836	382,122	1,484,542	3,767,515
2010-12-03	$75.67	$73.00	20.5%	5.8%	19.0%	15.1%	23.0%	5.4%	1.4%	-140.1M	-4.56B	-31.9M	2.14	3.24	112,460	240,831	1,513,999	3,796,629
2010-12-06	$76.14	$70.00	20.4%	6.2%	19.0%	15.0%	24.4%	4.7%	1.4%	-92.7M	-5.18B	-31.0M	2.51	1.97	89,706	225,314	1,526,772	3,773,972
2010-12-07	$76.58	$70.00	20.8%	6.3%	19.1%	16.2%	25.1%	4.8%	1.2%	-82.9M	-5.62B	-30.3M	4.53	2.49	98,984	448,507	1,549,923	3,840,659
2010-12-08	$76.53	$70.00	20.0%	6.1%	18.2%	13.5%	24.5%	4.6%	1.5%	-88.1M	-5.56B	-30.8M	2.77	2.33	79,804	220,896	1,569,944	3,870,658
2010-12-09	$76.79	$71.00	18.7%	5.9%	17.9%	9.7%	22.6%	4.4%	1.5%	-92.5M	-5.66B	-30.2M	2.23	2.09	119,400	266,628	1,591,684	3,946,154
2010-12-10	$77.75	$71.00	19.4%	5.9%	18.1%	11.7%	23.0%	4.0%	1.0%	-51.6M	-6.58B	-29.8M	2.08	10.29	189,945	395,202	1,623,260	4,048,812
2010-12-13	$77.35	$71.00	22.7%	6.2%	16.9%	21.8%	23.4%	5.1%	1.4%	-74.9M	-5.77B	-31.0M	1.65	2.92	142,296	234,427	1,614,029	4,128,963
2010-12-14	$77.31	$72.00	23.7%	6.2%	16.9%	24.7%	23.1%	5.0%	1.4%	-68.1M	-5.68B	-31.4M	2.74	1.95	126,613	346,665	1,705,156	4,166,581
2010-12-15	$77.07	$72.00	21.3%	6.1%	14.8%	17.6%	22.4%	4.9%	1.8%	-168.6M	-5.06B	-33.0M	2.46	2.01	119,785	294,543	1,773,404	4,288,662
2010-12-16	$77.78	$73.00	20.7%	5.9%	14.9%	15.8%	22.3%	5.0%	1.7%	-63.9M	-6.44B	-31.7M	1.96	1.89	113,105	221,126	1,798,287	4,374,456
2010-12-17	$78.02	$73.00	19.1%	5.5%	13.8%	11.0%	19.9%	4.7%	2.5%	272.9M	-6.87B	-30.7M	2.00	1.87	150,708	302,073	1,783,627	4,420,340
2010-12-20	$78.33	$74.00	18.9%	5.4%	13.8%	10.2%	20.1%	4.5%	2.3%	-59.7M	-5.21B	-30.1M	2.50	1.93	80,310	200,590	1,451,648	3,192,037
2010-12-21	$79.20	$74.00	18.5%	5.3%	14.1%	8.9%	19.5%	4.1%	2.1%	-34.5M	-5.89B	-29.9M	0.24	3.70	874,879	208,478	1,467,061	3,269,112
2010-12-22	$78.82	$77.00	19.1%	5.5%	13.5%	10.8%	20.5%	4.9%	2.4%	-61.5M	-1.57B	-32.2M	2.49	2.27	116,480	289,982	1,005,117	3,362,319
2010-12-23	$78.72	$77.00	19.9%	5.7%	11.9%	13.1%	21.4%	5.3%	2.4%	-166.0M	-933.3M	-34.0M	3.24	2.58	59,468	192,638	1,035,632	3,521,101
2010-12-27	$78.96	$77.00	20.5%	5.9%	11.3%	15.1%	22.7%	5.3%	2.3%	-168.9M	-1.08B	-33.4M	4.45	1.81	35,167	156,383	1,022,000	3,539,285
2010-12-28	$78.74	$77.00	20.7%	5.9%	11.5%	15.7%	23.1%	5.2%	3.0%	-201.4M	-696.6M	-34.4M	3.69	1.82	49,239	181,879	1,034,553	3,626,502
2010-12-29	$78.91	$77.00	19.8%	5.7%	10.7%	13.0%	22.1%	4.9%	3.1%	-195.7M	-896.5M	-34.0M	2.65	2.10	81,231	215,246	1,046,181	3,647,620
2010-12-30	$78.76	$77.00	17.8%	5.7%	8.5%	6.9%	20.5%	4.7%	3.4%	-223.4M	-752.2M	-35.7M	2.71	2.61	102,817	278,176	1,097,910	3,773,139
2010-12-31	$78.24	$78.00	19.3%	6.3%	8.7%	11.4%	21.9%	5.7%	2.8%	-327.6M	-48.2M	-38.6M	2.37	4.48	65,527	155,529	1,170,763	3,935,590