IWM Options History — September 2011

In September 2011, IWM traded between $64.30 and $71.52. ATM implied volatility averaged 43.2%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 0.0% (HV 20d: 43.2%). Max pain ranged from $73.00 to $80.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.70.

Notable Days

2011-09-01: Highest Volume — 1,021,017 contracts
2011-09-09: Largest IV spike — 20.3% change
2011-09-30: Highest IV Rank — 61.4%
2011-09-30: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.20	$64.30	$71.52	$71.09	$64.30
Max Pain	$76.48	$73.00	$80.00	$80.00	$73.00
ATM IV	43.2%	36.5%	54.7%	37.3%	54.7%
Expected Move	12.3%	10.5%	14.7%	10.7%	14.7%
HV 20d	43.2%	34.2%	62.8%	61.6%	37.9%
HV 60d	42.6%	40.7%	44.5%	40.7%	44.5%
IV Rank	43.6%	33.1%	61.4%	34.3%	61.4%
IV Percentile	95.4%	89.7%	98.8%	94.0%	98.8%
Term Structure	-1.4%	-3.1%	0.3%	-1.6%	-1.8%
VWIV	44.6%	38.8%	51.5%	40.4%	51.5%
Skew 25d	13.1%	11.5%	15.7%	11.9%	13.0%
Skew 10d	23.7%	21.1%	28.1%	21.5%	22.9%
Call IV 25d	36.5%	31.0%	44.3%	31.6%	44.3%
Put IV 25d	49.6%	43.5%	57.3%	43.5%	57.3%
Bid-Ask Spread %	5.70	2.85	11.16	7.31	9.27
Gamma HHI	0.07	0.06	0.08	0.06	0.08
Net GEX	-536.1M	-643.0M	-430.4M	-596.8M	-448.9M
Net DEX	14.82B	10.36B	18.95B	14.20B	15.75B
Net VEX	-48.8M	-56.9M	-42.0M	-56.9M	-42.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.70	1.33	4.27	4.00	1.33
Total Volume	668,858.667	342,816	1,021,017	1,021,017	505,893
Total OI	7,452,187.476	5,985,270	8,797,454	8,113,283	6,756,828

Daily Data (21 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
2011-09-01	$71.09	$80.00	37.3%	10.7%	61.6%	34.3%	40.4%	11.9%	-1.6%	-596.8M	14.20B	-56.9M	4.00	7.31	204,130	816,887	2,324,138	5,789,145
2011-09-02	$68.46	$80.00	39.9%	11.4%	62.8%	38.4%	40.7%	11.5%	-1.6%	-612.6M	18.80B	-53.1M	2.42	9.82	217,878	526,887	2,363,794	5,912,725
2011-09-06	$68.27	$80.00	43.2%	12.4%	53.2%	43.6%	46.4%	12.8%	-2.9%	-630.0M	18.40B	-51.8M	3.72	3.78	155,470	578,908	2,322,666	5,865,059
2011-09-07	$70.85	$80.00	38.4%	11.0%	49.8%	36.0%	44.0%	12.3%	-1.2%	-577.9M	14.08B	-54.8M	3.29	4.80	136,696	450,272	2,374,627	5,867,519
2011-09-08	$69.55	$80.00	40.9%	11.7%	46.6%	40.0%	42.9%	12.2%	-2.0%	-603.3M	16.03B	-53.8M	2.75	3.57	124,852	343,682	2,394,641	5,928,198
2011-09-09	$67.50	$80.00	49.2%	13.7%	44.6%	52.9%	47.9%	14.6%	-3.1%	-588.4M	18.95B	-50.9M	3.53	11.16	207,086	730,919	2,410,225	5,933,150
2011-09-12	$68.08	$77.00	47.4%	12.7%	44.7%	50.1%	49.1%	15.7%	-1.5%	-643.0M	18.23B	-50.4M	3.72	3.38	158,521	589,348	2,431,897	5,983,524
2011-09-13	$69.18	$77.00	42.6%	12.4%	43.8%	42.7%	47.1%	14.5%	-1.3%	-578.9M	16.29B	-50.6M	2.88	3.22	165,141	475,085	2,456,886	5,932,179
2011-09-14	$70.42	$77.00	40.6%	11.9%	43.9%	39.4%	42.7%	12.9%	-0.7%	-611.1M	14.62B	-50.6M	2.36	3.49	249,975	590,954	2,472,017	6,038,157
2011-09-15	$71.41	$77.00	39.2%	11.2%	44.2%	37.2%	39.3%	12.7%	0.1%	-596.4M	12.73B	-51.3M	1.88	4.79	287,892	541,507	2,514,168	6,113,565
2011-09-16	$71.52	$76.00	36.5%	10.5%	38.2%	33.1%	40.0%	12.5%	0.3%	-567.5M	12.50B	-50.6M	2.56	6.55	233,656	597,268	2,624,120	6,173,334
2011-09-19	$70.24	$76.00	38.8%	11.1%	38.3%	36.6%	39.8%	11.7%	-0.2%	-459.3M	10.36B	-48.7M	2.41	4.00	158,131	381,203	1,503,062	4,482,208
2011-09-20	$69.15	$75.00	38.5%	11.0%	38.8%	36.1%	38.8%	12.0%	0.0%	-486.0M	11.64B	-47.7M	2.20	5.12	143,150	315,039	1,564,768	4,572,370
2011-09-21	$66.59	$75.00	41.2%	11.8%	38.0%	40.4%	41.8%	12.1%	-1.0%	-495.5M	14.45B	-44.4M	2.57	5.47	164,419	422,721	1,607,361	4,614,377
2011-09-22	$64.73	$75.00	45.2%	13.0%	38.7%	46.6%	46.3%	14.2%	-1.6%	-467.1M	15.92B	-43.1M	4.27	8.32	193,413	825,298	1,658,507	4,705,069
2011-09-23	$65.14	$75.00	46.7%	13.4%	38.0%	49.0%	47.0%	14.1%	-2.3%	-497.3M	15.21B	-44.8M	1.63	5.88	199,985	326,628	1,705,615	4,833,016
2011-09-26	$66.37	$74.00	46.4%	13.3%	37.6%	48.5%	47.3%	14.1%	-2.0%	-453.2M	13.43B	-44.7M	1.78	3.22	123,094	219,722	1,718,305	4,720,674
2011-09-27	$67.80	$73.00	45.1%	12.9%	34.2%	46.5%	46.9%	13.6%	-1.5%	-430.4M	11.74B	-46.1M	2.32	4.63	200,332	465,248	1,765,952	4,720,189
2011-09-28	$65.20	$73.00	49.4%	14.2%	36.3%	53.2%	49.0%	13.2%	-2.2%	-450.3M	14.37B	-43.4M	3.36	2.85	140,014	470,696	1,804,125	4,802,972
2011-09-29	$66.33	$73.00	46.9%	13.4%	37.2%	49.3%	47.7%	13.6%	-1.3%	-464.5M	13.53B	-44.6M	1.68	9.03	152,124	255,908	1,825,151	4,909,654
2011-09-30	$64.30	$73.00	54.7%	14.7%	37.9%	61.4%	51.5%	13.0%	-1.8%	-448.9M	15.75B	-42.0M	1.33	9.27	217,478	288,415	1,853,784	4,903,044