IWM Options History — October 2011

In October 2011, IWM traded between $60.99 and $76.42. ATM implied volatility averaged 42.8%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 3.2% (HV 20d: 45.9%). Max pain ranged from $69.00 to $72.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 2.48.

Notable Days

2011-10-04: Highest Volume — 1,377,534 contracts
2011-10-31: Largest IV spike — 25.5% change
2011-10-03: Highest IV Rank — 83.6%
2011-10-03: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.80	$60.99	$76.42	$60.99	$74.01
Max Pain	$70.19	$69.00	$72.00	$72.00	$71.00
ATM IV	42.8%	32.8%	69.0%	69.0%	42.5%
Expected Move	11.5%	9.0%	16.3%	16.3%	10.3%
HV 20d	45.9%	39.9%	48.4%	39.9%	42.4%
HV 60d	48.9%	45.5%	51.2%	45.5%	49.7%
IV Rank	42.9%	27.3%	83.6%	83.6%	42.5%
IV Percentile	87.2%	74.2%	99.6%	99.6%	89.7%
Term Structure	-0.9%	-3.9%	0.3%	-3.9%	-1.1%
VWIV	42.4%	32.1%	55.7%	55.7%	37.5%
Skew 25d	11.6%	8.1%	13.6%	10.5%	8.7%
Skew 10d	21.3%	15.0%	24.7%	18.8%	16.3%
Call IV 25d	34.7%	27.6%	51.2%	51.2%	32.2%
Put IV 25d	46.3%	35.6%	61.7%	61.7%	40.9%
Bid-Ask Spread %	7.01	2.67	42.81	4.61	7.60
Gamma HHI	0.07	0.06	0.11	0.07	0.06
Net GEX	-298.9M	-479.6M	-126.3M	-363.9M	-228.9M
Net DEX	5.48B	-2.19B	15.27B	15.27B	1.48B
Net VEX	-42.0M	-46.1M	-35.6M	-35.6M	-38.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.48	1.29	6.19	6.19	2.28
Total Volume	735,487.81	355,299	1,377,534	1,333,224	355,299
Total OI	6,557,912.19	5,217,143	7,564,078	5,842,888	5,489,100

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
2011-10-03	$60.99	$72.00	69.0%	16.3%	39.9%	83.6%	55.7%	10.5%	-3.9%	-363.9M	15.27B	-35.6M	6.19	4.61	185,485	1,147,739	1,523,652	4,319,236
2011-10-04	$64.79	$72.00	60.4%	13.9%	46.3%	70.3%	49.8%	9.3%	-1.8%	-479.6M	13.42B	-41.2M	1.48	42.81	555,606	821,928	1,557,851	4,724,817
2011-10-05	$65.68	$72.00	52.6%	13.2%	44.4%	58.1%	47.2%	9.2%	-1.4%	-380.7M	10.63B	-44.3M	2.19	4.26	288,135	629,734	1,895,210	4,666,315
2011-10-06	$67.14	$71.00	48.1%	12.7%	44.9%	51.1%	44.7%	10.2%	-0.6%	-346.1M	8.61B	-46.1M	2.46	2.95	215,031	529,595	1,973,749	4,786,405
2011-10-07	$65.50	$69.00	47.6%	13.2%	44.5%	50.4%	45.8%	13.5%	-1.6%	-371.8M	10.06B	-44.9M	1.29	8.21	506,827	654,946	2,045,083	4,807,756
2011-10-10	$68.37	$69.00	48.6%	12.2%	47.2%	51.9%	45.4%	13.6%	-0.8%	-324.8M	6.84B	-45.3M	3.29	4.11	146,232	480,673	2,065,329	4,749,792
2011-10-11	$68.84	$69.00	44.6%	11.7%	46.9%	45.7%	43.2%	12.9%	-0.4%	-338.3M	6.50B	-44.7M	2.83	2.92	133,598	377,660	2,085,551	4,873,272
2011-10-12	$69.82	$69.00	36.0%	11.0%	46.7%	32.4%	40.5%	12.3%	-0.3%	-317.1M	5.27B	-43.1M	1.79	3.67	278,494	497,277	2,130,241	4,878,117
2011-10-13	$69.76	$69.00	37.3%	10.7%	46.4%	34.3%	40.5%	12.2%	-0.1%	-328.2M	5.47B	-43.6M	1.97	3.40	214,142	420,986	2,208,559	4,976,944
2011-10-14	$71.14	$70.00	35.8%	10.3%	47.0%	32.1%	40.6%	12.1%	-0.3%	-200.8M	3.23B	-43.8M	1.83	4.47	222,913	407,707	2,233,475	5,038,328
2011-10-17	$68.98	$70.00	40.1%	11.5%	47.8%	38.7%	41.4%	12.8%	-1.2%	-403.0M	7.04B	-41.7M	2.57	5.58	176,577	453,364	2,193,127	5,039,610
2011-10-18	$70.81	$70.00	37.9%	10.9%	48.4%	35.3%	42.3%	13.4%	-0.9%	-258.1M	3.49B	-42.8M	2.52	8.52	182,980	461,859	2,217,592	5,059,544
2011-10-19	$69.43	$70.00	41.5%	11.9%	46.9%	40.9%	41.2%	13.6%	-1.1%	-347.2M	5.64B	-42.4M	2.56	5.03	154,251	394,423	2,213,837	5,084,664
2011-10-20	$69.62	$70.00	40.4%	11.6%	45.5%	39.1%	44.9%	13.0%	-0.9%	-439.5M	5.93B	-41.0M	3.20	4.92	187,013	598,415	2,228,191	5,130,901
2011-10-21	$71.13	$70.00	37.7%	10.8%	45.9%	34.9%	41.4%	12.9%	-0.5%	-187.0M	2.76B	-41.1M	1.48	6.96	259,980	385,533	2,263,114	5,300,964
2011-10-24	$73.42	$70.00	35.8%	10.3%	46.7%	32.0%	39.4%	11.8%	-0.3%	-165.8M	1.24B	-40.0M	3.65	4.46	125,504	457,571	1,672,839	3,544,304
2011-10-25	$71.36	$70.00	39.6%	11.4%	47.7%	37.9%	41.8%	12.3%	-1.3%	-255.0M	3.50B	-40.4M	2.36	2.67	195,078	460,039	1,707,975	3,730,298
2011-10-26	$72.59	$70.00	36.0%	10.3%	45.3%	32.3%	39.1%	11.7%	-0.5%	-242.8M	2.49B	-41.1M	2.23	2.75	145,479	324,363	1,757,994	3,876,410
2011-10-27	$76.42	$70.00	32.8%	9.4%	48.0%	27.3%	36.1%	8.9%	-0.7%	-126.3M	-2.19B	-39.5M	2.28	8.77	297,135	677,947	1,789,503	3,978,168
2011-10-28	$76.03	$71.00	33.9%	9.0%	46.2%	29.0%	32.1%	8.1%	0.3%	-172.2M	-1.58B	-40.1M	1.71	8.59	161,459	276,267	1,849,035	4,049,304
2011-10-31	$74.01	$71.00	42.5%	10.3%	42.4%	42.5%	37.5%	8.7%	-1.1%	-228.9M	1.48B	-38.8M	2.28	7.60	108,265	247,034	1,769,100	3,720,000