IWM Options History — December 2011

In December 2011, IWM traded between $71.01 and $74.83. ATM implied volatility averaged 31.3%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 5.3% (HV 20d: 36.6%). Max pain ranged from $74.00 to $79.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.09.

Notable Days

2011-12-16: Highest Volume — 627,697 contracts
2011-12-09: Largest IV drop — 22.7% change
2011-12-08: Highest IV Rank — 37.9%
2011-12-08: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.44	$71.01	$74.83	$73.20	$73.75
Max Pain	$77.24	$74.00	$79.00	$74.00	$79.00
ATM IV	31.3%	23.8%	39.6%	34.7%	23.8%
Expected Move	9.0%	7.7%	10.9%	9.9%	7.7%
HV 20d	36.6%	27.0%	40.0%	40.0%	27.0%
HV 60d	40.5%	36.3%	41.9%	41.7%	36.3%
IV Rank	25.0%	13.3%	37.9%	30.3%	13.3%
IV Percentile	62.7%	46.8%	81.3%	69.0%	46.8%
Term Structure	1.5%	-1.3%	3.5%	-0.2%	3.5%
VWIV	32.8%	28.2%	40.8%	36.2%	28.2%
Skew 25d	7.9%	6.5%	9.4%	9.4%	6.8%
Skew 10d	14.5%	11.0%	17.7%	16.7%	13.6%
Call IV 25d	27.9%	24.1%	33.9%	30.0%	24.1%
Put IV 25d	35.8%	30.9%	41.8%	39.4%	30.9%
Bid-Ask Spread %	4.56	2.41	11.54	3.51	4.02
Gamma HHI	0.11	0.08	0.18	0.10	0.18
Net GEX	-286.1M	-501.1M	-144.2M	-272.4M	-377.7M
Net DEX	3.20B	1.64B	6.53B	3.29B	3.19B
Net VEX	-26.1M	-31.4M	-22.4M	-30.5M	-23.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.09	0.43	3.35	2.68	2.57
Total Volume	410,425.286	187,757	627,697	427,687	359,990
Total OI	4,374,547.762	3,321,620	5,240,580	4,681,625	3,769,470

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
2011-12-01	$73.20	$74.00	34.7%	9.9%	40.0%	30.3%	36.2%	9.4%	-0.2%	-272.4M	3.29B	-30.5M	2.68	3.51	116,201	311,486	1,385,378	3,296,247
2011-12-02	$73.50	$74.00	34.7%	10.0%	39.0%	30.4%	35.0%	9.2%	-0.7%	-289.8M	3.24B	-31.4M	2.39	3.42	151,886	362,613	1,431,015	3,458,033
2011-12-05	$74.76	$74.00	33.7%	9.7%	39.5%	28.7%	37.4%	9.4%	-0.5%	-242.0M	2.03B	-30.1M	2.45	4.17	88,537	217,050	1,421,696	3,358,073
2011-12-06	$74.83	$74.00	33.5%	9.6%	39.5%	28.4%	32.6%	8.0%	-0.4%	-277.5M	2.10B	-29.0M	1.69	10.91	116,687	196,940	1,433,355	3,392,429
2011-12-07	$74.68	$74.00	34.9%	10.0%	39.1%	30.6%	35.5%	8.3%	-1.1%	-258.0M	1.94B	-29.9M	1.65	3.49	144,441	238,122	1,484,923	3,469,026
2011-12-08	$72.36	$74.00	39.6%	10.9%	36.7%	37.9%	40.8%	7.9%	-1.3%	-386.8M	4.85B	-29.2M	2.60	5.99	136,751	355,811	1,502,969	3,442,121
2011-12-09	$74.54	$74.00	30.6%	9.3%	38.1%	23.9%	33.9%	7.1%	-0.2%	-256.6M	1.64B	-27.7M	1.84	2.88	178,750	328,483	1,519,746	3,462,730
2011-12-12	$73.47	$79.00	33.8%	9.5%	37.3%	28.9%	34.7%	9.2%	1.7%	-312.9M	3.13B	-26.4M	1.49	2.46	129,029	192,874	1,504,795	3,438,441
2011-12-13	$71.94	$79.00	32.6%	9.5%	37.7%	27.0%	34.1%	9.0%	2.2%	-427.4M	5.09B	-25.5M	3.20	2.97	131,623	420,605	1,534,207	3,453,444
2011-12-14	$71.04	$79.00	33.0%	9.6%	37.6%	27.6%	35.0%	8.6%	2.2%	-501.1M	6.53B	-24.9M	2.29	2.78	172,895	395,778	1,547,814	3,539,484
2011-12-15	$71.70	$79.00	31.7%	9.1%	37.4%	25.6%	32.5%	7.8%	2.5%	-433.0M	5.38B	-24.5M	1.94	2.50	163,204	315,821	1,605,340	3,542,688
2011-12-16	$72.26	$79.00	31.5%	9.0%	37.2%	25.4%	32.3%	7.8%	2.3%	-361.2M	4.93B	-24.5M	2.27	11.54	191,698	435,999	1,655,766	3,584,814
2011-12-19	$71.01	$79.00	31.6%	9.1%	37.7%	25.5%	31.4%	6.5%	2.2%	-274.9M	4.10B	-22.4M	1.92	2.87	130,760	251,311	1,041,715	2,279,905
2011-12-20	$73.86	$78.00	29.3%	8.4%	39.2%	22.0%	31.5%	7.6%	2.4%	-181.1M	1.99B	-24.1M	1.53	5.52	162,142	247,856	1,093,575	2,394,894
2011-12-21	$74.16	$78.00	28.2%	8.1%	39.0%	20.1%	29.1%	6.9%	2.5%	-172.3M	1.70B	-23.7M	0.43	9.92	384,608	165,615	1,143,107	2,448,334
2011-12-22	$74.27	$79.00	28.7%	8.2%	36.7%	20.9%	29.9%	7.4%	2.5%	-144.2M	2.10B	-24.4M	1.70	3.06	125,185	213,316	1,073,682	2,445,594
2011-12-23	$74.55	$79.00	27.0%	7.7%	36.1%	18.4%	29.4%	7.0%	3.0%	-152.5M	1.91B	-24.0M	3.35	4.71	98,132	328,353	1,090,473	2,488,195
2011-12-27	$74.77	$79.00	27.4%	7.9%	32.7%	19.0%	28.2%	7.2%	2.7%	-176.8M	2.04B	-24.1M	1.65	3.48	73,939	121,946	1,099,894	2,566,921
2011-12-28	$73.41	$79.00	29.3%	8.4%	33.6%	21.8%	30.3%	7.6%	2.8%	-264.9M	3.37B	-24.2M	2.29	2.41	83,397	191,340	1,118,932	2,593,003
2011-12-29	$74.15	$79.00	27.7%	7.9%	27.1%	19.3%	29.9%	7.2%	3.2%	-245.6M	2.62B	-23.9M	2.07	3.19	61,195	126,562	1,138,477	2,614,798
2011-12-30	$73.75	$79.00	23.8%	7.7%	27.0%	13.3%	28.2%	6.8%	3.5%	-377.7M	3.19B	-23.5M	2.57	4.02	100,917	259,073	1,145,866	2,623,604