IWM Options History — January 2012

In January 2012, IWM traded between $74.56 and $79.72. ATM implied volatility averaged 23.9%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.1% (HV 20d: 18.8%). Max pain ranged from $76.00 to $79.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.52.

Notable Days

2012-01-25: Highest Volume — 547,986 contracts
2012-01-30: Largest IV spike — 26.5% change
2012-01-03: Highest IV Rank — 19.6%
2012-01-06: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.20	$74.56	$79.72	$74.97	$79.02
Max Pain	$77.55	$76.00	$79.00	$79.00	$79.00
ATM IV	23.9%	19.6%	27.8%	27.8%	25.7%
Expected Move	6.9%	5.9%	8.0%	7.7%	6.3%
HV 20d	18.8%	11.0%	27.6%	27.6%	11.2%
HV 60d	32.8%	28.2%	36.2%	36.2%	28.2%
IV Rank	13.5%	6.8%	19.6%	19.6%	16.3%
IV Percentile	40.4%	14.3%	57.1%	57.1%	51.2%
Term Structure	1.9%	0.7%	3.4%	3.0%	1.7%
VWIV	25.7%	21.7%	30.2%	30.2%	22.8%
Skew 25d	6.9%	4.8%	8.7%	6.9%	4.9%
Skew 10d	13.1%	8.5%	16.4%	13.5%	8.8%
Call IV 25d	21.1%	18.3%	24.1%	23.7%	19.8%
Put IV 25d	28.0%	23.9%	32.6%	30.6%	24.7%
Bid-Ask Spread %	3.05	2.05	12.30	2.72	2.34
Gamma HHI	0.07	0.06	0.08	0.07	0.07
Net GEX	-198.1M	-266.2M	-152.8M	-165.4M	-266.2M
Net DEX	1.10B	-416.9M	2.76B	1.92B	492.1M
Net VEX	-29.3M	-34.7M	-22.8M	-22.8M	-34.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.52	1.29	4.97	3.12	3.10
Total Volume	401,392.2	229,746	547,986	547,831	350,916
Total OI	3,821,973.8	3,094,264	4,646,439	3,094,264	3,998,597

Daily Data (20 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
2012-01-03	$74.97	$79.00	27.8%	7.7%	27.6%	19.6%	30.2%	6.9%	3.0%	-165.4M	1.92B	-22.8M	3.12	2.72	133,113	414,718	964,737	2,129,527
2012-01-04	$74.56	$79.00	27.2%	7.4%	27.0%	18.6%	27.2%	6.2%	3.2%	-200.2M	2.62B	-26.0M	2.17	2.58	72,560	157,186	1,046,433	2,334,847
2012-01-05	$74.98	$79.00	24.8%	7.0%	27.1%	14.9%	25.1%	4.8%	3.4%	-217.3M	2.37B	-25.0M	1.83	2.32	141,359	258,897	1,068,880	2,376,690
2012-01-06	$74.80	$76.00	23.2%	8.0%	27.1%	12.3%	28.0%	8.5%	0.8%	-211.8M	2.48B	-26.2M	3.60	2.78	89,730	323,342	1,119,431	2,431,783
2012-01-09	$75.17	$77.00	25.5%	8.0%	24.4%	16.0%	28.8%	8.6%	0.7%	-233.7M	2.76B	-26.3M	2.52	2.57	100,607	253,424	1,119,373	2,543,345
2012-01-10	$76.27	$77.00	24.9%	7.6%	22.6%	15.1%	28.5%	8.2%	0.9%	-193.1M	1.73B	-27.0M	2.92	2.69	124,473	363,335	1,170,567	2,679,956
2012-01-11	$76.57	$77.00	20.7%	7.3%	21.9%	8.5%	27.7%	8.2%	1.1%	-184.0M	1.40B	-28.0M	1.71	2.05	85,838	146,809	1,222,588	2,769,615
2012-01-12	$76.80	$77.00	25.4%	7.3%	20.1%	15.8%	28.2%	8.2%	1.3%	-170.0M	1.11B	-28.2M	2.15	2.30	143,900	309,921	1,244,482	2,814,769
2012-01-13	$76.39	$77.00	26.7%	7.6%	19.5%	17.8%	28.0%	8.4%	1.4%	-193.6M	1.55B	-29.6M	2.21	2.65	131,714	290,740	1,311,733	2,895,859
2012-01-17	$76.36	$77.00	27.5%	7.9%	19.4%	19.0%	28.1%	8.7%	1.1%	-193.6M	1.84B	-29.4M	1.67	2.66	87,927	147,204	1,308,526	2,928,753
2012-01-18	$77.72	$77.00	24.3%	7.0%	20.1%	14.2%	27.4%	8.2%	1.8%	-158.3M	626.3M	-29.2M	2.64	2.40	107,780	284,442	1,329,887	2,989,184
2012-01-19	$78.20	$77.00	23.8%	6.8%	18.4%	13.4%	25.2%	7.7%	1.8%	-163.5M	207.3M	-29.2M	2.03	12.30	145,113	294,131	1,356,593	3,083,286
2012-01-20	$78.25	$77.00	21.7%	6.2%	13.2%	10.1%	22.2%	6.6%	3.0%	-152.8M	445.7M	-29.9M	1.29	2.54	212,611	273,415	1,394,277	3,252,162
2012-01-23	$78.15	$77.00	21.5%	6.2%	13.3%	9.7%	23.1%	6.1%	2.5%	-187.8M	372.5M	-30.1M	4.97	2.34	89,608	445,451	946,389	2,189,303
2012-01-24	$78.60	$77.00	21.1%	6.1%	13.3%	9.2%	24.5%	6.4%	2.1%	-203.2M	275.9M	-31.9M	3.83	2.63	56,493	216,325	989,990	2,424,929
2012-01-25	$79.27	$77.00	21.2%	6.1%	13.5%	9.3%	22.3%	5.8%	1.9%	-187.8M	-258.7M	-31.7M	2.22	2.65	170,259	377,727	1,007,984	2,523,115
2012-01-26	$79.18	$78.00	21.1%	6.1%	13.6%	9.2%	22.2%	5.7%	1.8%	-226.6M	33.8M	-33.5M	2.54	2.27	123,086	312,263	1,078,775	2,666,591
2012-01-27	$79.72	$78.00	19.6%	5.9%	11.0%	6.8%	21.7%	5.3%	2.1%	-206.7M	-416.9M	-33.3M	1.29	3.39	180,216	232,208	1,107,741	2,742,078
2012-01-30	$79.10	$79.00	24.8%	6.2%	11.6%	14.9%	22.8%	5.1%	1.9%	-245.7M	390.9M	-34.2M	2.52	2.78	107,654	271,349	1,163,603	2,713,098
2012-01-31	$79.02	$79.00	25.7%	6.3%	11.2%	16.3%	22.8%	4.9%	1.7%	-266.2M	492.1M	-34.7M	3.10	2.34	85,522	265,394	1,219,502	2,779,095