IWM Options History — January 2011

In January 2011, IWM traded between $77.19 and $80.60. ATM implied volatility averaged 21.6%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 7.6% (HV 20d: 14.0%). Max pain ranged from $77.00 to $78.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.73.

Notable Days

2011-01-20: Highest Volume — 874,712 contracts
2011-01-28: Largest IV spike — 26.3% change
2011-01-31: Highest IV Rank — 34.7%
2011-01-28: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.85	$77.19	$80.60	$79.60	$77.95
Max Pain	$77.65	$77.00	$78.00	$78.00	$78.00
ATM IV	21.6%	18.2%	27.0%	19.3%	27.0%
Expected Move	6.3%	5.6%	6.9%	5.6%	6.7%
HV 20d	14.0%	10.1%	18.9%	10.1%	18.9%
HV 60d	15.8%	14.8%	16.8%	15.3%	16.8%
IV Rank	18.4%	8.2%	34.7%	11.5%	34.7%
IV Percentile	28.6%	5.6%	58.7%	11.1%	58.7%
Term Structure	1.4%	-0.0%	3.4%	3.4%	0.9%
VWIV	23.2%	21.4%	25.5%	21.4%	25.5%
Skew 25d	5.7%	4.2%	7.4%	4.8%	7.4%
Skew 10d	11.3%	7.6%	15.8%	10.4%	15.8%
Call IV 25d	19.3%	18.0%	20.9%	18.1%	20.0%
Put IV 25d	25.1%	22.8%	27.5%	22.8%	27.5%
Bid-Ask Spread %	3.00	1.91	6.48	1.92	6.44
Gamma HHI	0.11	0.07	0.37	0.07	0.10
Net GEX	-412.7M	-991.6M	-208.5M	-217.8M	-545.0M
Net DEX	849.0M	-2.32B	4.40B	-1.05B	3.36B
Net VEX	-44.0M	-50.2M	-37.2M	-37.2M	-49.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.73	1.44	3.96	3.61	2.95
Total Volume	487,086.1	287,573	874,712	426,252	433,629
Total OI	4,922,823.55	4,154,049	5,969,493	4,154,049	4,858,745

Daily Data (20 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
2011-01-03	$79.60	$78.00	19.3%	5.6%	10.1%	11.5%	21.4%	4.8%	3.4%	-217.8M	-1.05B	-37.2M	3.61	1.92	92,465	333,787	1,101,028	3,053,021
2011-01-04	$78.42	$78.00	22.8%	6.2%	11.7%	22.1%	21.8%	4.8%	2.6%	-295.0M	452.0M	-40.0M	2.04	2.02	177,966	363,245	1,146,162	3,178,460
2011-01-05	$79.34	$78.00	20.5%	5.9%	12.2%	15.0%	21.9%	4.5%	2.8%	-250.1M	-501.5M	-40.6M	2.28	2.06	107,865	246,373	1,227,998	3,304,809
2011-01-06	$78.97	$78.00	21.2%	5.9%	12.4%	17.1%	21.6%	4.2%	2.7%	-269.2M	-219.0M	-41.7M	3.47	1.96	75,233	260,833	1,259,311	3,393,533
2011-01-07	$78.52	$77.00	18.7%	6.5%	12.6%	9.6%	24.4%	6.3%	0.9%	-343.9M	833.3M	-42.7M	2.32	2.02	162,247	376,973	1,276,014	3,499,600
2011-01-10	$78.97	$77.00	22.2%	6.8%	12.0%	20.3%	24.8%	6.4%	0.5%	-340.0M	172.1M	-42.5M	2.19	1.98	123,191	269,907	1,295,506	3,586,322
2011-01-11	$79.29	$77.00	20.0%	6.5%	11.9%	13.5%	24.0%	5.9%	1.0%	-309.7M	-499.9M	-42.8M	3.45	3.07	89,079	307,156	1,342,738	3,722,883
2011-01-12	$79.97	$77.00	18.2%	6.2%	12.1%	8.2%	23.4%	5.7%	1.0%	-265.4M	-1.35B	-42.7M	3.96	2.50	81,279	321,649	1,366,233	3,853,346
2011-01-13	$79.94	$77.00	21.4%	6.1%	12.0%	17.7%	22.6%	5.5%	1.4%	-296.0M	-1.20B	-43.2M	3.15	2.28	84,158	264,827	1,390,840	3,911,190
2011-01-14	$80.54	$77.00	20.6%	5.9%	11.9%	15.4%	22.9%	5.8%	1.1%	-292.0M	-2.01B	-42.4M	2.25	3.25	114,695	258,086	1,410,710	4,031,881
2011-01-18	$80.60	$77.00	20.5%	5.9%	11.9%	15.0%	22.8%	5.7%	1.1%	-208.5M	-2.32B	-40.9M	2.44	2.29	83,539	204,034	1,407,638	4,051,741
2011-01-19	$78.53	$78.00	22.6%	6.5%	15.4%	21.4%	24.1%	5.6%	1.0%	-613.6M	1.45B	-43.9M	3.18	1.99	167,329	531,792	1,430,770	4,110,243
2011-01-20	$77.71	$78.00	23.2%	6.7%	15.2%	23.3%	24.6%	5.7%	1.3%	-851.0M	3.61B	-45.8M	3.06	2.05	215,713	658,999	1,482,295	4,288,825
2011-01-21	$77.19	$78.00	23.4%	6.7%	15.3%	23.7%	23.6%	6.5%	1.2%	-991.6M	4.40B	-46.8M	2.28	1.91	213,469	487,155	1,547,010	4,422,483
2011-01-24	$77.76	$78.00	21.7%	6.2%	15.6%	18.8%	22.7%	6.4%	1.4%	-436.7M	2.98B	-46.7M	1.44	2.51	128,978	185,825	1,237,418	2,974,890
2011-01-25	$77.88	$78.00	21.3%	6.1%	15.6%	17.6%	22.6%	5.8%	1.3%	-449.0M	2.81B	-46.5M	2.51	6.15	85,178	214,077	1,279,726	3,030,070
2011-01-26	$79.12	$78.00	20.4%	5.8%	16.6%	14.8%	22.5%	5.4%	1.6%	-357.7M	830.8M	-45.8M	3.30	6.48	172,731	570,490	1,309,559	3,070,979
2011-01-27	$79.35	$78.00	20.6%	5.9%	16.6%	15.5%	22.3%	5.3%	1.3%	-387.8M	924.3M	-48.3M	2.13	2.78	145,398	308,990	1,387,185	3,365,209
2011-01-28	$77.41	$78.00	26.1%	6.9%	18.8%	31.9%	24.3%	6.8%	-0.0%	-533.5M	4.30B	-50.2M	2.68	4.30	223,789	599,593	1,427,197	3,422,903
2011-01-31	$77.95	$78.00	27.0%	6.7%	18.9%	34.7%	25.5%	7.4%	0.9%	-545.0M	3.36B	-49.8M	2.95	6.44	109,900	323,729	1,419,417	3,439,328