IWM Options History — June 2011

In June 2011, IWM traded between $77.78 and $82.80. ATM implied volatility averaged 23.0%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.4% (HV 20d: 21.6%). Max pain ranged from $81.00 to $83.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.62.

Notable Days

2011-06-10: Highest Volume — 963,041 contracts
2011-06-29: Largest IV drop — 22.8% change
2011-06-27: Highest IV Rank — 36.0%
2011-06-16: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.98	$77.78	$82.80	$82.11	$82.80
Max Pain	$82.05	$81.00	$83.00	$81.00	$82.00
ATM IV	23.0%	16.6%	27.9%	22.4%	16.6%
Expected Move	6.4%	4.8%	7.3%	6.4%	4.8%
HV 20d	21.6%	18.7%	22.7%	22.1%	18.8%
HV 60d	18.3%	18.0%	18.7%	18.6%	18.7%
IV Rank	20.9%	1.5%	36.0%	19.2%	1.5%
IV Percentile	42.3%	0.4%	77.0%	36.5%	0.4%
Term Structure	0.6%	-0.4%	3.4%	0.0%	3.4%
VWIV	23.8%	19.0%	27.3%	24.6%	19.0%
Skew 25d	5.9%	4.2%	7.6%	5.7%	4.9%
Skew 10d	11.5%	8.7%	15.9%	10.8%	9.6%
Call IV 25d	19.9%	15.5%	21.8%	19.7%	15.5%
Put IV 25d	25.8%	20.4%	29.4%	25.4%	20.4%
Bid-Ask Spread %	5.21	2.57	11.64	4.96	2.57
Gamma HHI	0.10	0.07	0.21	0.09	0.07
Net GEX	-924.6M	-1.78B	-478.3M	-876.7M	-481.5M
Net DEX	9.65B	1.78B	16.11B	6.88B	1.78B
Net VEX	-56.5M	-59.1M	-54.4M	-58.9M	-56.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.62	1.41	4.20	2.67	3.07
Total Volume	706,208.136	285,935	963,041	658,256	858,036
Total OI	6,410,434.136	5,399,010	7,077,821	6,042,519	6,697,432

Daily Data (22 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
2011-06-01	$82.11	$81.00	22.4%	6.4%	22.1%	19.2%	24.6%	5.7%	0.0%	-876.7M	6.88B	-58.9M	2.67	4.96	179,449	478,807	1,583,430	4,459,089
2011-06-02	$82.08	$81.00	22.6%	6.5%	21.6%	19.6%	24.4%	5.7%	-0.2%	-907.7M	7.04B	-59.1M	1.41	4.80	301,706	424,966	1,649,170	4,522,806
2011-06-03	$80.88	$81.00	21.7%	6.2%	22.2%	16.9%	21.1%	5.0%	0.1%	-1.13B	9.77B	-58.7M	2.96	11.64	219,829	651,506	1,721,070	4,626,914
2011-06-06	$79.55	$81.00	22.7%	6.5%	22.7%	20.0%	24.1%	4.9%	-0.1%	-1.07B	11.94B	-57.2M	2.67	4.61	250,347	669,038	1,714,813	4,665,947
2011-06-07	$79.74	$81.00	22.3%	6.4%	22.2%	18.8%	23.1%	4.5%	-0.1%	-1.06B	11.47B	-56.9M	2.25	4.70	161,977	364,141	1,755,349	4,718,033
2011-06-08	$78.85	$81.00	22.6%	6.6%	21.3%	19.7%	23.3%	4.2%	-0.4%	-1.12B	13.43B	-55.3M	3.48	5.38	208,275	724,176	1,792,213	4,716,682
2011-06-09	$79.27	$83.00	22.2%	6.4%	20.8%	18.5%	22.6%	5.2%	0.3%	-1.19B	13.21B	-57.6M	4.20	5.37	144,398	606,533	1,831,626	4,981,791
2011-06-10	$78.00	$83.00	22.4%	6.4%	20.8%	19.2%	23.3%	5.8%	0.5%	-1.78B	16.11B	-57.3M	2.81	10.99	252,862	710,179	1,879,690	5,120,099
2011-06-13	$77.78	$83.00	22.8%	6.5%	20.5%	20.5%	23.0%	5.7%	0.2%	-1.15B	15.94B	-55.1M	3.06	6.90	156,163	477,177	1,887,699	5,076,714
2011-06-14	$79.45	$83.00	22.4%	6.4%	21.8%	19.1%	23.1%	5.6%	0.1%	-1.11B	11.96B	-56.0M	2.06	9.42	200,778	412,709	1,893,352	5,101,546
2011-06-15	$78.08	$83.00	24.0%	6.9%	22.5%	24.2%	25.1%	6.6%	0.4%	-1.09B	15.09B	-55.1M	3.56	3.42	165,866	590,878	1,932,685	5,049,559
2011-06-16	$78.21	$83.00	25.5%	7.3%	21.6%	28.7%	27.3%	7.6%	0.1%	-1.03B	14.29B	-55.9M	2.49	3.37	209,346	520,379	1,945,227	5,059,779
2011-06-17	$78.23	$82.00	25.2%	7.2%	21.5%	27.7%	26.6%	7.5%	0.7%	-1.04B	14.17B	-55.3M	2.44	5.69	197,332	482,362	2,027,582	5,050,239
2011-06-20	$78.95	$82.00	23.7%	6.8%	21.9%	23.3%	25.4%	7.0%	0.4%	-701.8M	8.41B	-54.5M	1.87	3.03	122,423	229,512	1,436,231	3,962,779
2011-06-21	$80.66	$82.00	22.1%	6.3%	22.6%	18.1%	25.2%	6.7%	0.5%	-640.7M	5.99B	-54.4M	2.63	3.94	223,186	587,278	1,484,843	4,068,577
2011-06-22	$80.04	$82.00	22.2%	6.4%	22.7%	18.6%	22.4%	5.9%	1.1%	-759.7M	7.16B	-55.2M	2.41	3.16	190,029	458,324	1,537,066	4,243,431
2011-06-23	$80.35	$82.00	22.9%	6.6%	22.3%	20.6%	24.9%	6.4%	0.5%	-702.2M	6.80B	-56.3M	2.84	5.07	211,000	600,269	1,610,809	4,277,506
2011-06-24	$79.94	$82.00	24.9%	6.7%	21.7%	27.0%	24.7%	6.3%	0.4%	-792.9M	7.61B	-57.7M	2.08	6.36	208,938	434,634	1,702,332	4,461,100
2011-06-27	$80.64	$82.00	27.9%	6.4%	21.8%	36.0%	25.0%	6.5%	1.0%	-673.9M	6.32B	-57.5M	2.17	2.89	90,215	195,720	1,690,475	4,424,387
2011-06-28	$81.81	$82.00	26.2%	6.0%	21.9%	30.7%	23.5%	6.0%	1.4%	-558.1M	3.92B	-56.9M	2.03	2.63	220,631	447,671	1,721,042	4,495,369
2011-06-29	$82.20	$83.00	20.2%	5.5%	18.7%	12.7%	21.3%	6.4%	2.0%	-478.3M	2.95B	-56.2M	2.40	3.69	205,213	492,321	1,812,444	4,640,624
2011-06-30	$82.80	$82.00	16.6%	4.8%	18.8%	1.5%	19.0%	4.9%	3.4%	-481.5M	1.78B	-56.6M	3.07	2.57	210,846	647,190	1,892,072	4,805,360