IWM Options History — February 2011

In February 2011, IWM traded between $79.48 and $83.44. ATM implied volatility averaged 21.4%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.2% (HV 20d: 18.2%). Max pain ranged from $78.00 to $80.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 3.19.

Notable Days

  • 2011-02-07: Highest Volume — 941,468 contracts
  • 2011-02-22: Largest IV spike — 21.3% change
  • 2011-02-02: Highest IV Rank — 31.5%
  • 2011-02-23: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.24$79.48$83.44$79.75$82.35
Max Pain$79.05$78.00$80.00$78.00$79.00
ATM IV21.4%18.5%25.9%22.8%22.7%
Expected Move6.2%5.6%7.2%6.3%6.5%
HV 20d18.2%14.6%20.6%19.7%18.1%
HV 60d15.8%14.8%16.6%16.6%15.9%
IV Rank17.9%9.0%31.5%22.1%21.7%
IV Percentile28.1%7.1%50.8%36.1%36.5%
Term Structure0.7%0.1%2.1%1.0%0.4%
VWIV23.8%21.5%26.0%24.0%23.7%
Skew 25d6.2%5.0%7.5%5.8%6.9%
Skew 10d12.3%9.4%14.9%12.1%12.4%
Call IV 25d19.0%17.2%21.9%19.9%19.5%
Put IV 25d25.2%23.0%29.4%25.7%26.4%
Bid-Ask Spread %2.731.924.074.072.49
Gamma HHI0.090.070.100.090.08
Net GEX-453.6M-704.2M-226.1M-471.1M-480.7M
Net DEX-502.4M-4.51B5.22B759.6M-145.8M
Net VEX-50.2M-57.6M-47.1M-48.8M-52.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.192.105.432.153.26
Total Volume556,149.632266,324941,468502,269456,946
Total OI5,813,123.7375,024,1136,697,0705,024,1135,919,015

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$79.75$78.0022.8%6.3%19.7%22.1%24.0%5.8%1.0%-471.1M759.6M-48.8M2.154.07159,208343,0611,452,6753,571,438
2011-02-02$79.48$78.0025.9%6.5%18.9%31.5%23.9%5.4%0.9%-484.6M999.0M-49.1M2.833.2869,553196,7711,500,4233,632,861
2011-02-03$79.61$78.0021.4%5.8%18.5%17.7%22.3%5.0%2.1%-494.7M744.3M-49.1M2.412.60143,097344,8111,518,6413,712,279
2011-02-04$79.84$79.0018.8%6.3%18.4%10.0%24.8%6.5%0.4%-474.2M352.3M-49.2M2.732.85124,373339,3991,570,9963,853,521
2011-02-07$80.61$79.0019.1%6.2%18.5%10.7%25.9%6.5%0.3%-440.2M-728.8M-47.8M5.132.36153,516787,9521,555,7363,844,555
2011-02-08$80.71$79.0019.4%6.1%18.5%11.6%24.4%6.5%0.6%-363.1M-1.74B-47.6M4.532.9588,289399,5891,606,4514,024,920
2011-02-09$80.94$79.0018.5%6.2%18.4%9.0%24.4%6.1%0.8%-451.2M-939.2M-49.3M5.433.1681,960444,8811,627,8084,210,493
2011-02-10$81.19$79.0021.6%6.2%18.2%18.3%23.6%6.0%0.7%-486.7M-1.06B-49.8M3.942.3991,499360,1361,635,7954,340,251
2011-02-11$82.09$79.0020.0%5.7%18.6%13.5%22.5%5.9%0.8%-242.0M-2.89B-47.6M3.082.65180,194555,4801,648,0664,417,907
2011-02-14$82.39$79.0020.5%5.9%18.5%15.2%22.6%5.8%0.6%-375.2M-2.79B-48.1M3.873.5877,695300,9451,641,2484,523,606
2011-02-15$81.97$79.0020.5%5.9%18.6%15.2%23.1%5.7%0.7%-442.2M-2.13B-48.7M3.032.19116,812354,4371,661,3844,558,603
2011-02-16$82.61$79.0019.6%5.6%15.8%12.4%22.1%5.8%0.8%-375.3M-3.03B-48.2M2.183.28112,112244,8611,709,8824,688,298
2011-02-17$83.22$80.0019.9%5.7%15.1%13.4%21.5%5.8%0.6%-226.1M-4.39B-47.1M2.351.92153,790361,7161,753,6984,788,715
2011-02-18$83.44$80.0020.1%5.8%14.6%13.8%22.2%5.9%0.8%-251.5M-4.51B-47.7M4.013.04139,593559,2301,787,1204,909,950
2011-02-22$81.20$80.0024.4%6.9%18.2%26.8%25.4%6.7%0.3%-567.3M2.18B-53.1M2.822.30226,746640,4761,404,7113,882,392
2011-02-23$79.74$80.0025.3%7.2%19.6%29.7%26.0%7.5%0.1%-699.4M5.22B-57.3M2.331.92271,663632,0601,517,4764,144,488
2011-02-24$80.25$79.0024.8%7.1%18.9%28.1%25.9%7.4%0.2%-704.2M4.27B-57.6M2.102.40175,102367,6561,598,2024,275,484
2011-02-25$82.17$79.0021.9%6.3%20.6%19.3%23.9%6.7%0.7%-588.1M311.4M-54.6M2.412.49150,060361,1741,633,5654,326,698
2011-02-28$82.35$79.0022.7%6.5%18.1%21.7%23.7%6.9%0.4%-480.7M-145.8M-52.9M3.262.49107,240349,7061,625,5974,293,418