IWM Options History — August 2011

In August 2011, IWM traded between $65.12 and $79.22. ATM implied volatility averaged 42.6%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 7.9% (HV 20d: 50.5%). Max pain ranged from $77.00 to $83.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 2.20.

Notable Days

2011-08-08: Highest Volume — 2,339,054 contracts
2011-08-08: Largest IV spike — 72.8% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.36	$65.12	$79.22	$79.22	$72.65
Max Pain	$79.70	$77.00	$83.00	$83.00	$80.00
ATM IV	42.6%	33.0%	79.5%	34.7%	35.9%
Expected Move	10.9%	7.6%	13.7%	7.7%	10.3%
HV 20d	50.5%	19.4%	65.8%	19.4%	65.0%
HV 60d	34.0%	20.0%	40.6%	20.0%	40.5%
IV Rank	53.0%	28.2%	100.0%	74.3%	32.2%
IV Percentile	97.0%	92.1%	100.0%	99.2%	92.1%
Term Structure	-1.3%	-4.3%	0.5%	-1.5%	-1.2%
VWIV	38.9%	26.2%	45.7%	26.2%	38.0%
Skew 25d	13.3%	6.0%	17.3%	7.1%	11.8%
Skew 10d	24.6%	10.5%	32.9%	15.1%	20.4%
Call IV 25d	31.5%	23.7%	40.3%	23.7%	30.8%
Put IV 25d	44.8%	29.9%	55.0%	30.7%	42.6%
Bid-Ask Spread %	5.75	2.71	12.95	3.00	3.76
Gamma HHI	0.06	0.05	0.09	0.08	0.05
Net GEX	-629.1M	-1.17B	-430.9M	-896.0M	-480.9M
Net DEX	20.02B	10.77B	28.36B	12.28B	10.77B
Net VEX	-54.1M	-67.8M	-40.3M	-67.8M	-57.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.20	0.95	3.39	0.95	3.39
Total Volume	1,082,378.478	585,236	2,339,054	1,486,238	1,080,752
Total OI	8,049,219.609	6,919,269	9,347,978	7,290,221	7,822,062

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
2011-08-01	$79.22	$83.00	34.7%	7.7%	19.4%	74.3%	26.2%	7.1%	-1.5%	-896.0M	12.28B	-67.8M	0.95	3.00	761,797	724,441	2,103,333	5,186,888
2011-08-02	$76.75	$83.00	36.0%	8.0%	21.8%	79.5%	28.3%	6.7%	-1.6%	-1.11B	17.73B	-62.6M	2.53	8.51	415,119	1,049,123	1,854,492	5,305,849
2011-08-03	$77.26	$83.00	33.0%	7.6%	22.0%	67.9%	27.5%	6.0%	-0.4%	-1.17B	16.90B	-65.1M	3.35	2.78	386,829	1,294,852	1,993,869	5,538,193
2011-08-04	$72.60	$83.00	42.2%	10.4%	28.9%	100.0%	34.4%	11.1%	-4.3%	-872.3M	23.65B	-56.0M	2.97	8.95	480,606	1,429,151	2,073,776	5,462,449
2011-08-05	$71.33	$82.00	46.0%	10.0%	29.1%	100.0%	34.6%	11.6%	0.1%	-769.4M	24.54B	-54.8M	2.65	8.44	556,750	1,476,468	2,191,156	5,580,536
2011-08-08	$65.12	$82.00	79.5%	13.7%	41.1%	100.0%	45.4%	14.8%	-2.7%	-430.9M	27.40B	-40.3M	2.70	12.95	631,979	1,707,075	2,185,290	5,516,632
2011-08-09	$69.46	$78.00	58.1%	10.8%	49.3%	66.6%	38.5%	15.6%	-0.7%	-638.0M	25.15B	-54.6M	1.53	12.90	543,209	828,718	2,516,358	6,065,642
2011-08-10	$66.06	$79.00	59.0%	13.2%	51.0%	68.0%	45.5%	17.3%	-2.4%	-472.3M	26.54B	-47.8M	1.69	4.88	409,113	690,582	2,582,265	5,997,567
2011-08-11	$69.36	$79.00	41.7%	11.9%	55.3%	41.1%	45.1%	17.1%	-0.9%	-577.7M	23.66B	-55.8M	1.82	4.45	310,045	563,061	2,698,921	6,114,273
2011-08-12	$69.79	$78.00	38.9%	11.2%	55.3%	36.8%	41.3%	15.0%	-0.4%	-624.0M	23.15B	-56.2M	2.20	3.84	209,056	460,756	2,754,590	6,193,374
2011-08-15	$71.76	$78.00	33.4%	9.6%	56.7%	28.2%	35.6%	11.6%	0.5%	-689.9M	20.99B	-55.8M	1.94	3.25	253,920	491,842	2,705,895	6,147,276
2011-08-16	$70.44	$78.00	36.5%	10.5%	55.9%	33.1%	37.6%	11.8%	-0.3%	-656.0M	22.49B	-56.0M	2.33	6.52	205,617	478,970	2,733,191	6,313,663
2011-08-17	$70.46	$78.00	33.4%	9.6%	55.9%	28.2%	34.4%	11.5%	-0.1%	-690.5M	23.57B	-53.2M	1.65	5.85	224,672	371,391	2,742,999	6,386,624
2011-08-18	$66.45	$78.00	43.6%	12.5%	58.2%	44.2%	44.5%	16.8%	-2.1%	-546.5M	27.30B	-47.0M	2.23	2.77	324,172	721,659	2,789,427	6,338,059
2011-08-19	$65.28	$78.00	46.2%	13.2%	58.0%	48.1%	45.4%	16.3%	-1.3%	-536.5M	28.36B	-46.4M	2.73	7.82	274,230	748,337	2,869,650	6,478,328
2011-08-22	$65.17	$78.00	46.2%	13.3%	58.2%	48.2%	45.7%	15.7%	-1.5%	-432.6M	19.06B	-45.2M	1.95	2.98	198,130	387,106	1,940,206	4,979,063
2011-08-23	$68.19	$78.00	39.7%	11.4%	61.7%	38.1%	41.6%	14.5%	-0.1%	-470.9M	16.30B	-50.4M	1.51	6.76	292,338	441,590	2,002,598	5,065,160
2011-08-24	$69.20	$77.00	38.6%	11.2%	61.8%	36.3%	41.3%	14.4%	-0.8%	-471.2M	15.47B	-52.5M	2.98	2.71	160,533	478,143	2,094,392	5,202,517
2011-08-25	$67.50	$80.00	45.0%	12.7%	62.0%	46.3%	43.8%	17.0%	-3.1%	-477.9M	17.09B	-51.9M	2.18	3.26	268,753	586,560	2,124,006	5,357,093
2011-08-26	$69.11	$80.00	39.0%	11.2%	63.0%	37.0%	39.8%	15.2%	-1.4%	-479.5M	15.44B	-54.3M	1.73	7.57	257,317	443,987	2,219,279	5,546,751
2011-08-29	$72.38	$80.00	36.2%	10.4%	65.8%	32.6%	41.7%	13.5%	-1.7%	-482.2M	11.46B	-56.4M	2.02	3.62	224,310	453,666	2,180,153	5,429,952
2011-08-30	$72.80	$80.00	36.1%	10.3%	65.1%	32.5%	37.7%	12.7%	-1.1%	-498.8M	11.10B	-56.6M	1.61	4.69	229,523	368,457	2,241,307	5,506,947
2011-08-31	$72.65	$80.00	35.9%	10.3%	65.0%	32.2%	38.0%	11.8%	-1.2%	-480.9M	10.77B	-57.0M	3.39	3.76	246,226	834,526	2,264,932	5,557,130