IWM Options History — May 2011

In May 2011, IWM traded between $81.03 and $85.53. ATM implied volatility averaged 20.7%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.3% (HV 20d: 17.4%). Max pain ranged from $81.00 to $84.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.72.

Notable Days

  • 2011-05-17: Highest Volume — 931,925 contracts
  • 2011-05-10: Largest IV drop — 17.3% change
  • 2011-05-04: Highest IV Rank — 22.9%
  • 2011-05-16: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.38$81.03$85.53$85.37$84.84
Max Pain$82.90$81.00$84.00$84.00$81.00
ATM IV20.7%17.3%23.6%20.6%19.4%
Expected Move5.8%5.5%6.5%5.5%5.6%
HV 20d17.4%14.9%19.3%14.9%19.3%
HV 60d18.6%17.6%19.5%18.1%17.8%
IV Rank14.0%3.4%22.9%13.6%10.0%
IV Percentile23.0%2.0%37.3%22.6%15.5%
Term Structure1.0%0.5%2.7%2.4%0.8%
VWIV21.5%19.6%22.9%21.1%21.1%
Skew 25d5.4%4.1%6.1%4.5%5.4%
Skew 10d10.7%7.9%12.7%9.3%9.7%
Call IV 25d18.0%17.0%19.8%17.3%17.1%
Put IV 25d23.4%21.7%25.4%21.7%22.5%
Bid-Ask Spread %4.712.679.043.484.35
Gamma HHI0.090.080.130.080.08
Net GEX-874.0M-1.29B-500.8M-623.5M-500.8M
Net DEX5.08B528.9M9.30B1.53B911.8M
Net VEX-61.4M-65.8M-56.2M-60.4M-56.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.721.484.993.722.59
Total Volume534,434.286308,346931,925615,403392,673
Total OI6,458,1485,528,6027,126,3536,018,0646,022,794

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$85.37$84.0020.6%5.5%14.9%13.6%21.1%4.5%2.4%-623.5M1.53B-60.4M3.723.48130,375485,0281,501,7384,516,326
2011-05-03$84.30$84.0020.5%5.6%15.6%13.4%20.6%4.8%2.6%-799.3M4.02B-63.8M4.993.7190,584452,0991,555,7574,690,271
2011-05-04$83.21$84.0023.6%5.6%16.1%22.9%19.6%4.1%2.7%-976.2M6.50B-64.7M2.123.41194,212411,1071,571,8854,788,319
2011-05-05$82.83$84.0022.7%5.9%16.0%19.9%21.3%4.7%1.8%-924.1M6.59B-65.5M2.036.24253,938515,8821,625,5214,785,215
2011-05-06$83.27$83.0022.6%6.2%16.1%19.6%22.1%6.0%0.5%-1.01B6.40B-65.8M3.165.02193,550612,4521,736,8014,953,809
2011-05-09$84.24$83.0020.9%5.8%16.3%14.6%21.5%6.1%0.6%-908.3M3.83B-63.8M2.525.6087,529220,8171,723,6375,053,009
2011-05-10$85.53$83.0017.3%5.5%16.8%3.4%22.3%5.9%0.5%-635.1M528.9M-60.3M4.102.9081,846335,2021,752,2625,010,333
2011-05-11$83.95$83.0019.6%5.9%17.5%10.4%21.6%5.7%0.9%-932.8M4.38B-63.7M2.335.57141,340328,6401,756,3155,052,205
2011-05-12$84.69$83.0020.1%5.8%17.7%12.1%22.4%5.8%0.7%-706.6M2.08B-61.4M2.992.89116,176347,0731,789,8685,045,648
2011-05-13$83.51$83.0021.2%6.1%18.5%15.3%21.9%5.7%0.5%-1.04B5.77B-63.4M2.178.67163,330354,4071,808,8895,155,039
2011-05-16$82.29$83.0022.6%6.5%18.8%19.6%22.7%5.6%0.5%-1.29B8.85B-61.9M2.774.37110,289305,9381,815,2495,126,918
2011-05-17$82.03$83.0021.8%6.3%17.9%17.3%22.9%5.7%0.7%-1.25B9.30B-61.8M3.942.86188,588743,3371,840,1655,160,963
2011-05-18$83.29$83.0020.2%5.8%18.7%12.4%21.9%5.7%1.0%-1.06B5.48B-61.0M2.214.97136,177301,3391,904,0485,222,305
2011-05-19$83.56$83.0019.1%5.5%17.3%9.0%21.2%5.5%1.1%-897.6M4.26B-59.4M2.194.07170,209371,9881,902,6105,089,283
2011-05-20$82.86$83.0019.9%5.7%17.3%11.3%21.3%5.7%0.9%-1.15B6.60B-60.1M2.469.04239,502587,9791,942,6035,150,159
2011-05-23$81.37$83.0021.7%6.2%18.3%16.9%22.0%5.8%0.7%-787.3M7.78B-60.0M2.023.16156,489316,7791,422,4014,106,201
2011-05-24$81.03$83.0021.9%6.2%17.6%17.6%22.5%5.6%0.7%-825.8M8.47B-60.3M3.442.67110,038378,6971,498,6224,173,086
2011-05-25$82.00$83.0020.8%5.9%18.1%14.3%21.5%5.3%0.6%-808.3M6.69B-59.7M2.245.06102,738230,4371,454,2254,256,355
2011-05-26$83.08$81.0019.8%5.7%18.8%11.1%21.2%5.8%0.8%-638.2M4.02B-59.1M1.483.65139,036205,6211,500,7954,291,619
2011-05-27$83.72$81.0019.4%5.6%19.0%9.7%19.9%5.3%0.8%-601.4M2.80B-58.0M1.667.29195,208324,4711,529,7484,338,112
2011-05-31$84.84$81.0019.4%5.6%19.3%10.0%21.1%5.4%0.8%-500.8M911.8M-56.2M2.594.35109,320283,3531,580,0514,442,743