IWM Options History — November 2011

In November 2011, IWM traded between $66.62 and $75.54. ATM implied volatility averaged 39.9%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 0.1% (HV 20d: 39.8%). Max pain ranged from $71.00 to $74.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.73.

Notable Days

2011-11-17: Highest Volume — 882,712 contracts
2011-11-09: Largest IV spike — 23.8% change
2011-11-01: Highest IV Rank — 65.8%
2011-11-01: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.13	$66.62	$75.54	$71.39	$73.73
Max Pain	$73.67	$71.00	$74.00	$72.00	$74.00
ATM IV	39.9%	33.9%	57.5%	57.5%	33.9%
Expected Move	11.0%	9.5%	12.6%	12.6%	9.7%
HV 20d	39.8%	33.3%	42.7%	40.8%	40.8%
HV 60d	42.2%	39.9%	46.5%	46.5%	42.3%
IV Rank	38.4%	29.0%	65.8%	65.8%	29.0%
IV Percentile	82.2%	67.5%	98.0%	98.0%	67.5%
Term Structure	-0.3%	-3.2%	0.6%	-3.2%	-0.2%
VWIV	39.9%	35.1%	45.3%	45.3%	36.7%
Skew 25d	11.6%	9.3%	13.9%	13.6%	10.5%
Skew 10d	21.0%	15.4%	26.0%	26.0%	19.2%
Call IV 25d	32.8%	28.7%	36.6%	35.8%	29.4%
Put IV 25d	44.4%	39.9%	49.3%	49.3%	39.9%
Bid-Ask Spread %	4.31	2.49	11.10	3.84	8.83
Gamma HHI	0.10	0.06	0.35	0.06	0.09
Net GEX	-317.7M	-701.4M	-197.0M	-248.0M	-239.4M
Net DEX	4.16B	-329.9M	9.76B	4.05B	2.75B
Net VEX	-36.4M	-41.6M	-29.5M	-40.5M	-30.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.73	1.70	3.92	2.80	3.56
Total Volume	526,383.571	232,256	882,712	869,381	648,522
Total OI	5,760,166.19	4,314,110	7,013,995	5,584,193	4,616,094

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
2011-11-01	$71.39	$72.00	57.5%	12.6%	40.8%	65.8%	45.3%	13.6%	-3.2%	-248.0M	4.05B	-40.5M	2.80	3.84	228,983	640,398	1,829,063	3,755,130
2011-11-02	$73.15	$71.00	48.8%	11.6%	41.3%	52.2%	42.6%	12.2%	-2.1%	-233.9M	2.51B	-41.0M	3.92	4.15	100,647	394,231	1,900,814	3,872,608
2011-11-03	$74.97	$72.00	39.2%	10.5%	41.5%	37.4%	40.4%	11.3%	-0.4%	-207.1M	447.4M	-40.0M	3.22	3.00	138,871	447,548	1,899,789	3,984,769
2011-11-04	$74.60	$74.00	36.6%	10.1%	40.1%	33.2%	37.2%	12.9%	-0.1%	-208.4M	843.4M	-41.0M	2.49	2.97	221,663	552,785	1,935,517	4,128,143
2011-11-07	$74.45	$74.00	40.6%	10.4%	37.8%	39.4%	38.8%	12.8%	-0.4%	-234.3M	1.31B	-41.3M	2.87	3.77	83,848	240,539	2,003,567	4,279,793
2011-11-08	$75.54	$74.00	34.5%	9.5%	38.0%	29.9%	35.1%	11.7%	0.2%	-197.0M	-329.9M	-39.2M	2.11	2.77	191,158	402,855	2,022,956	4,359,121
2011-11-09	$71.94	$74.00	42.7%	11.9%	42.2%	42.7%	43.9%	13.9%	-0.6%	-371.0M	5.54B	-41.6M	3.85	3.36	152,210	585,451	2,061,091	4,467,507
2011-11-10	$72.47	$74.00	40.2%	11.5%	42.3%	38.9%	42.3%	13.6%	-0.4%	-404.9M	4.98B	-41.0M	2.78	3.98	115,029	319,616	2,093,085	4,602,677
2011-11-11	$74.38	$74.00	36.8%	10.5%	42.7%	33.5%	40.8%	13.2%	0.1%	-249.8M	1.65B	-40.2M	3.46	2.89	92,635	320,982	2,110,646	4,604,721
2011-11-14	$73.31	$74.00	38.4%	11.0%	41.4%	36.1%	39.6%	12.8%	-0.2%	-299.5M	2.87B	-37.9M	2.52	3.16	76,965	193,877	2,053,617	4,599,815
2011-11-15	$74.24	$74.00	37.6%	10.8%	40.7%	34.7%	38.5%	12.2%	-0.0%	-274.7M	1.69B	-36.7M	2.28	4.19	153,715	350,076	2,065,093	4,574,372
2011-11-16	$73.04	$74.00	38.8%	11.1%	40.4%	36.7%	38.9%	11.6%	-0.4%	-317.7M	3.49B	-36.8M	2.51	2.59	133,564	335,044	2,109,149	4,641,282
2011-11-17	$72.00	$74.00	40.4%	11.6%	40.9%	39.1%	40.1%	11.5%	0.0%	-407.7M	5.10B	-35.8M	2.59	3.28	246,193	636,519	2,113,529	4,682,026
2011-11-18	$71.98	$74.00	38.0%	10.9%	40.2%	35.5%	38.3%	10.9%	0.2%	-701.4M	5.01B	-35.5M	1.70	7.92	191,450	326,185	2,148,017	4,865,978
2011-11-21	$70.26	$74.00	39.6%	11.4%	39.4%	37.9%	39.1%	10.4%	0.3%	-320.8M	6.48B	-33.4M	1.70	4.51	164,207	278,493	1,278,574	3,035,536
2011-11-22	$69.67	$74.00	37.2%	10.7%	38.2%	34.2%	38.0%	9.3%	0.6%	-353.1M	7.14B	-32.4M	2.71	2.49	88,968	240,738	1,298,726	3,069,980
2011-11-23	$67.48	$74.00	41.1%	11.7%	39.0%	40.3%	40.0%	9.4%	0.5%	-369.1M	8.93B	-30.1M	3.20	4.99	184,760	590,374	1,298,609	3,070,437
2011-11-25	$66.62	$74.00	41.2%	11.8%	33.3%	40.4%	44.5%	10.8%	-0.4%	-341.4M	9.76B	-29.5M	2.65	11.10	63,626	168,630	1,350,046	3,189,673
2011-11-28	$69.79	$74.00	38.1%	10.9%	38.3%	35.7%	41.2%	10.1%	-0.2%	-337.1M	6.48B	-30.3M	1.90	3.25	134,173	254,984	1,303,776	3,140,639
2011-11-29	$69.66	$74.00	37.4%	10.7%	37.3%	34.6%	37.2%	9.7%	-0.2%	-356.1M	6.66B	-30.1M	2.44	3.41	105,665	257,878	1,342,174	3,205,351
2011-11-30	$73.73	$74.00	33.9%	9.7%	40.8%	29.0%	36.7%	10.5%	-0.2%	-239.4M	2.75B	-30.6M	3.56	8.83	142,076	506,446	1,368,585	3,247,509