IWM Options History — July 2011

In July 2011, IWM traded between $79.74 and $85.65. ATM implied volatility averaged 22.0%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.7% (HV 20d: 18.3%). Max pain ranged from $83.00 to $84.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.36.

Notable Days

  • 2011-07-29: Highest Volume — 1,346,358 contracts
  • 2011-07-05: Largest IV spike — 35.7% change
  • 2011-07-29: Highest IV Rank — 71.8%
  • 2011-07-28: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.95$79.74$85.65$84.09$79.74
Max Pain$83.40$83.00$84.00$83.00$83.00
ATM IV22.0%15.2%34.0%15.2%34.0%
Expected Move6.4%4.8%8.0%4.8%8.0%
HV 20d18.3%17.0%20.7%18.7%20.4%
HV 60d19.4%18.8%20.3%19.0%20.0%
IV Rank25.8%0.0%71.8%0.0%71.8%
IV Percentile38.8%0.0%99.2%0.0%99.2%
Term Structure0.8%-2.4%3.0%3.0%-2.4%
VWIV23.0%16.5%28.4%16.5%28.4%
Skew 25d5.9%2.5%7.4%2.5%7.4%
Skew 10d11.1%5.0%15.0%5.0%15.0%
Call IV 25d19.4%16.0%24.4%16.0%24.4%
Put IV 25d25.3%18.5%31.7%18.5%31.7%
Bid-Ask Spread %6.241.9215.3315.3314.69
Gamma HHI0.080.060.110.080.09
Net GEX-672.9M-1.15B-212.3M-235.7M-945.3M
Net DEX5.20B-1.22B12.23B231.5M11.61B
Net VEX-65.3M-69.7M-54.9M-54.9M-69.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.361.035.271.371.20
Total Volume726,667.75376,0581,346,3581,036,4721,346,358
Total OI6,702,122.86,063,4177,593,7006,114,7977,084,168

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$84.09$83.0015.2%4.8%18.7%0.0%16.5%2.5%3.0%-235.7M231.5M-54.9M1.3715.33437,187599,2851,602,7064,512,091
2011-07-05$84.04$83.0020.7%5.8%17.4%20.8%22.8%5.6%1.0%-391.8M1.61B-56.9M2.873.47127,754366,9321,476,5354,586,882
2011-07-06$84.38$83.0017.8%5.9%17.4%9.7%21.5%5.7%0.9%-376.3M1.24B-57.4M2.158.21205,413441,3761,546,2984,742,603
2011-07-07$85.65$83.0017.5%5.5%17.1%8.8%20.7%5.1%1.1%-212.3M-1.22B-58.2M2.251.92261,891589,4101,643,9924,887,970
2011-07-08$85.13$83.0016.4%5.4%17.4%4.5%20.0%4.9%1.4%-618.3M863.3M-61.5M3.668.98143,850525,8151,713,2085,174,313
2011-07-11$83.32$84.0022.2%6.3%18.3%26.7%22.7%6.1%1.0%-704.1M5.16B-65.2M5.275.76163,140859,2151,677,8125,168,278
2011-07-12$82.93$83.0022.8%6.4%18.4%28.8%22.8%6.5%0.9%-950.4M6.64B-68.3M2.054.03191,188391,5651,717,9035,560,295
2011-07-13$83.59$84.0018.9%6.2%17.2%13.9%22.4%6.1%1.3%-882.3M4.92B-66.8M2.412.24213,442513,8491,761,6035,649,815
2011-07-14$82.26$83.0022.9%6.6%17.0%29.4%23.8%6.2%1.3%-1.15B8.11B-69.7M2.315.08273,778631,9961,857,2785,714,068
2011-07-15$82.81$84.0021.8%6.3%17.1%25.3%23.0%7.0%1.5%-759.1M6.13B-67.4M1.7212.28350,688602,6671,866,7865,726,914
2011-07-18$81.48$84.0023.7%6.8%18.4%32.5%23.5%6.5%1.0%-713.6M7.74B-69.4M1.782.50232,810415,5741,437,2524,635,163
2011-07-19$83.18$83.0021.9%6.3%19.4%25.5%22.4%5.9%1.2%-585.6M4.63B-67.9M1.404.78172,351241,3711,493,9394,731,678
2011-07-20$83.18$83.0021.9%6.3%18.1%25.5%22.7%5.8%1.1%-627.5M4.74B-67.7M1.922.67128,581247,4771,525,2284,813,631
2011-07-21$83.94$83.0020.8%6.0%17.9%21.1%22.4%5.7%1.3%-485.0M2.54B-66.3M2.7611.71143,539396,1171,570,9434,908,549
2011-07-22$84.05$83.0020.3%5.8%17.9%19.4%21.6%5.3%1.4%-353.8M2.99B-66.2M2.262.93115,569261,2171,605,2354,985,441
2011-07-25$83.06$84.0022.4%6.4%18.4%27.4%22.9%5.3%0.8%-678.0M4.94B-66.8M2.242.82134,875302,0621,561,8624,925,266
2011-07-26$82.32$84.0023.3%6.7%18.6%30.8%24.5%5.8%0.6%-810.2M6.87B-67.4M4.322.40114,415494,7701,558,6104,990,032
2011-07-27$79.97$84.0027.2%7.8%20.7%45.6%26.9%6.8%-0.9%-985.1M12.11B-69.3M2.308.62318,474731,7941,586,4395,154,070
2011-07-28$79.84$84.0028.0%8.0%20.6%49.0%27.7%7.0%-1.2%-990.9M12.23B-69.5M1.034.43416,786428,7741,645,2615,242,339
2011-07-29$79.74$83.0034.0%8.0%20.4%71.8%28.4%7.4%-2.4%-945.3M11.61B-69.6M1.2014.69610,658735,7001,864,8375,219,331