IWM Options History — March 2011

In March 2011, IWM traded between $78.22 and $84.17. ATM implied volatility averaged 23.9%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.3% (HV 20d: 22.6%). Max pain ranged from $79.00 to $82.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 2.79.

Notable Days

2011-03-15: Highest Volume — 1,305,618 contracts
2011-03-29: Largest IV drop — 28.8% change
2011-03-16: Highest IV Rank — 43.3%
2011-03-16: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.21	$78.22	$84.17	$81.05	$84.17
Max Pain	$81.09	$79.00	$82.00	$79.00	$82.00
ATM IV	23.9%	17.5%	29.8%	24.5%	18.7%
Expected Move	6.9%	5.4%	8.6%	7.0%	5.4%
HV 20d	22.6%	17.7%	26.3%	19.2%	19.6%
HV 60d	18.6%	16.2%	19.7%	16.2%	19.3%
IV Rank	25.4%	6.1%	43.3%	27.3%	9.6%
IV Percentile	39.3%	3.2%	72.2%	44.4%	6.3%
Term Structure	0.9%	-0.3%	2.3%	-0.0%	2.2%
VWIV	26.1%	21.8%	31.2%	26.0%	22.1%
Skew 25d	7.3%	5.5%	10.4%	6.9%	5.5%
Skew 10d	13.1%	9.4%	19.6%	12.2%	11.4%
Call IV 25d	20.9%	16.4%	25.1%	22.2%	16.4%
Put IV 25d	28.2%	21.9%	35.5%	29.1%	21.9%
Bid-Ask Spread %	4.18	2.24	7.12	2.24	4.02
Gamma HHI	0.09	0.07	0.15	0.10	0.07
Net GEX	-673.6M	-1.17B	-185.4M	-795.1M	-219.8M
Net DEX	3.19B	-1.93B	9.99B	2.85B	-1.93B
Net VEX	-52.7M	-56.6M	-48.7M	-52.5M	-49.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.79	0.35	4.47	4.47	2.59
Total Volume	666,350.304	255,971	1,305,618	737,348	433,089
Total OI	6,223,785.348	5,036,270	7,048,307	5,997,436	6,021,949

Daily Data (23 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
2011-03-01	$81.05	$79.00	24.5%	7.0%	19.2%	27.3%	26.0%	6.9%	-0.0%	-795.1M	2.85B	-52.5M	4.47	2.24	134,889	602,459	1,628,185	4,369,251
2011-03-02	$80.64	$80.00	25.3%	7.3%	17.7%	29.7%	28.2%	8.0%	0.2%	-703.3M	3.34B	-56.6M	2.74	2.70	130,549	357,532	1,638,107	4,553,890
2011-03-03	$82.92	$80.00	23.1%	6.6%	20.1%	22.8%	25.5%	7.4%	0.0%	-486.2M	-749.7M	-53.1M	2.78	2.55	162,753	451,719	1,671,478	4,600,940
2011-03-04	$82.50	$80.00	23.6%	6.8%	20.3%	24.4%	25.4%	6.5%	0.2%	-541.5M	63.8M	-54.0M	3.99	2.62	102,207	407,726	1,718,789	4,695,557
2011-03-07	$80.91	$80.00	25.4%	7.3%	21.6%	30.1%	26.8%	7.0%	-0.2%	-740.6M	3.51B	-55.1M	2.92	2.94	145,259	424,110	1,687,143	4,673,072
2011-03-08	$82.43	$80.00	25.3%	7.2%	22.3%	29.6%	26.8%	7.5%	0.0%	-584.7M	522.3M	-53.5M	2.20	2.59	146,888	322,720	1,711,626	4,782,197
2011-03-09	$81.80	$80.00	24.8%	7.2%	22.5%	28.2%	27.2%	7.2%	0.2%	-685.3M	1.84B	-54.3M	1.96	6.76	106,265	207,833	1,748,105	4,814,609
2011-03-10	$79.79	$82.00	27.5%	7.9%	24.3%	36.3%	29.2%	7.6%	0.0%	-950.8M	6.48B	-56.2M	3.85	5.07	227,772	875,887	1,768,270	4,876,250
2011-03-11	$79.94	$82.00	26.5%	7.6%	24.2%	33.3%	28.1%	6.9%	0.6%	-987.1M	5.51B	-55.8M	2.61	3.96	198,614	518,907	1,829,581	5,033,155
2011-03-14	$79.90	$82.00	26.4%	7.6%	23.8%	32.9%	27.5%	7.0%	0.4%	-932.6M	5.57B	-53.7M	2.09	4.95	210,138	439,128	1,809,920	4,946,412
2011-03-15	$79.80	$82.00	26.4%	7.6%	23.8%	33.1%	28.3%	6.7%	-0.1%	-1.17B	6.67B	-51.7M	4.47	5.97	238,649	1,066,969	1,862,035	5,008,411
2011-03-16	$78.22	$82.00	29.8%	8.6%	24.6%	43.3%	31.2%	10.4%	-0.3%	-1.04B	9.99B	-55.5M	3.23	3.28	267,258	863,152	1,934,372	4,983,637
2011-03-17	$78.45	$82.00	28.5%	8.2%	24.4%	39.3%	29.1%	9.0%	-0.3%	-1.03B	9.40B	-54.4M	1.74	3.27	210,597	366,240	1,989,821	5,038,029
2011-03-18	$79.51	$81.00	24.9%	7.1%	24.9%	28.3%	28.0%	8.6%	1.1%	-828.4M	5.73B	-52.1M	2.31	6.93	205,512	475,519	2,029,677	5,018,630
2011-03-21	$81.30	$81.00	22.7%	6.5%	26.3%	21.8%	26.2%	8.6%	1.7%	-491.1M	2.33B	-49.4M	2.92	7.12	123,434	359,821	1,331,793	3,704,477
2011-03-22	$80.87	$81.00	22.4%	6.4%	24.5%	20.7%	25.3%	7.1%	1.5%	-566.0M	3.11B	-49.4M	3.92	4.29	149,291	585,451	1,358,712	3,759,793
2011-03-23	$81.14	$81.00	22.0%	6.3%	23.6%	19.5%	24.0%	7.3%	1.7%	-624.6M	3.13B	-50.0M	0.35	3.33	762,064	266,912	1,383,944	4,057,772
2011-03-24	$81.51	$81.00	20.6%	5.9%	23.6%	15.4%	23.2%	7.4%	2.2%	-482.8M	2.47B	-49.7M	2.84	3.40	174,263	495,429	1,356,024	4,118,797
2011-03-25	$82.22	$81.00	21.1%	6.1%	22.2%	16.8%	23.5%	6.4%	2.2%	-492.2M	2.07B	-53.4M	2.82	4.73	215,738	608,213	1,414,698	4,416,030
2011-03-28	$82.04	$82.00	25.1%	6.2%	22.2%	28.9%	23.5%	6.3%	1.8%	-587.8M	2.58B	-53.4M	2.35	4.76	76,484	179,487	1,458,474	4,455,269
2011-03-29	$82.81	$82.00	17.8%	5.8%	21.6%	7.0%	22.7%	6.4%	2.3%	-361.6M	588.2M	-50.8M	2.22	4.46	141,359	314,253	1,461,074	4,433,873
2011-03-30	$83.88	$82.00	17.5%	5.4%	21.9%	6.1%	21.8%	5.5%	2.3%	-185.4M	-1.71B	-48.7M	2.80	4.13	150,736	422,782	1,504,217	4,489,018
2011-03-31	$84.17	$82.00	18.7%	5.4%	19.6%	9.6%	22.1%	5.5%	2.2%	-219.8M	-1.93B	-49.5M	2.59	4.02	120,631	312,458	1,525,224	4,496,725