IWM Options History — April 2011

In April 2011, IWM traded between $82.13 and $86.39. ATM implied volatility averaged 18.2%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.3% (HV 20d: 14.9%). Max pain ranged from $82.00 to $84.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.35.

Notable Days

  • 2011-04-01: Highest Volume — 935,751 contracts
  • 2011-04-11: Largest IV spike — 17.5% change
  • 2011-04-11: Highest IV Rank — 17.1%
  • 2011-04-12: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.12$82.13$86.39$84.54$86.39
Max Pain$83.90$82.00$84.00$82.00$84.00
ATM IV18.2%16.2%21.2%16.6%16.2%
Expected Move5.5%4.8%6.4%5.0%5.1%
HV 20d14.9%12.8%19.6%19.6%14.2%
HV 60d18.9%17.9%19.4%19.1%17.9%
IV Rank6.4%0.0%17.1%3.3%0.0%
IV Percentile6.2%0.0%24.2%2.0%0.0%
Term Structure2.1%1.1%3.2%3.1%2.6%
VWIV20.8%18.4%23.9%21.4%18.4%
Skew 25d5.4%4.0%6.5%4.9%4.5%
Skew 10d10.5%7.2%12.6%9.3%8.0%
Call IV 25d16.9%14.8%19.5%15.9%15.4%
Put IV 25d22.2%18.9%25.5%20.7%19.9%
Bid-Ask Spread %4.252.6611.9911.993.33
Gamma HHI0.080.070.120.070.07
Net GEX-547.6M-953.8M-223.7M-223.7M-461.6M
Net DEX1.31B-1.57B5.63B-1.31B-973.5M
Net VEX-53.5M-58.2M-47.3M-48.4M-56.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.351.865.803.591.86
Total Volume520,674.85240,365935,751935,751652,979
Total OI5,650,941.24,785,8186,521,4945,351,6515,793,476

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$84.54$82.0016.6%5.0%19.6%3.3%21.4%4.9%3.1%-223.7M-1.31B-48.4M3.5911.99203,775731,9761,362,8873,988,764
2011-04-04$84.73$84.0019.1%5.9%18.0%10.8%23.0%6.5%1.3%-284.3M-1.13B-48.3M3.823.5572,958278,7071,359,2514,149,281
2011-04-05$85.19$84.0019.3%6.0%17.0%11.4%22.8%6.2%1.1%-328.1M-1.57B-47.3M5.802.7192,683537,5371,380,9544,201,536
2011-04-06$85.38$84.0018.2%6.0%16.6%8.0%22.0%6.0%1.1%-292.0M-1.49B-48.3M4.474.8952,608235,0771,404,5484,392,040
2011-04-07$84.87$84.0017.4%6.0%13.6%5.7%22.3%6.1%1.2%-441.1M-374.4M-49.9M3.212.6880,040256,5831,411,2854,420,759
2011-04-08$83.98$84.0018.0%6.2%14.4%7.6%23.1%6.4%1.3%-683.5M1.41B-51.7M3.092.66154,151476,9641,426,2804,506,524
2011-04-11$83.23$84.0021.2%6.4%15.0%17.1%23.9%6.3%1.1%-580.7M2.52B-52.8M4.745.11100,769477,9521,466,7374,617,429
2011-04-12$82.14$84.0020.7%6.4%15.9%15.7%22.7%5.9%1.4%-953.8M5.63B-55.0M2.343.07201,030470,0111,488,7284,885,669
2011-04-13$82.25$84.0018.9%6.1%13.7%7.2%22.0%5.8%1.6%-842.1M4.88B-55.4M2.272.74142,926324,8861,520,2694,855,204
2011-04-14$82.63$84.0019.2%5.5%13.8%8.2%20.5%5.4%2.3%-722.4M3.51B-54.6M2.537.95147,690374,2791,522,6574,896,497
2011-04-15$83.51$84.0018.2%5.2%13.5%4.9%20.7%5.6%2.0%-567.9M1.49B-53.7M2.392.94233,688558,3191,550,8314,970,663
2011-04-18$82.13$84.0019.4%5.6%13.0%8.6%19.9%5.7%2.1%-651.3M4.53B-57.4M2.493.14172,722430,8361,204,4723,581,346
2011-04-19$82.15$84.0018.3%5.2%12.8%5.2%19.3%5.1%2.4%-670.9M4.58B-58.2M1.975.2780,801159,5641,266,6473,724,122
2011-04-20$83.83$84.0017.2%4.9%14.5%1.8%19.2%5.1%2.6%-491.3M1.68B-56.2M3.274.2784,539276,6111,274,9143,743,063
2011-04-21$84.45$84.0016.9%4.8%14.6%0.9%18.4%4.4%3.0%-581.3M977.1M-54.6M3.493.28106,304371,3941,290,5053,860,229
2011-04-25$84.18$84.0017.6%5.0%14.5%3.1%19.2%5.0%2.6%-574.3M1.97B-56.0M2.754.0768,804189,3771,275,6053,880,320
2011-04-26$85.18$84.0017.6%5.0%14.9%3.2%18.6%4.0%2.5%-561.2M347.1M-53.4M4.692.93102,537481,0281,313,6013,932,244
2011-04-27$85.69$84.0017.9%5.1%14.8%4.1%19.8%4.5%2.5%-532.1M89.6M-56.1M3.083.5799,572306,2041,347,0844,172,363
2011-04-28$86.02$84.0016.6%4.8%14.2%0.1%18.5%4.1%3.2%-508.7M-615.8M-55.1M5.224.95100,522525,0941,382,6184,197,422
2011-04-29$86.39$84.0016.2%5.1%14.2%0.0%18.4%4.5%2.6%-461.6M-973.5M-56.9M1.863.33228,619424,3601,432,2414,361,235