IWM Options History — February 2012

In February 2012, IWM traded between $80.72 and $82.95. ATM implied volatility averaged 22.9%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.1% (HV 20d: 14.8%). Max pain ranged from $79.00 to $81.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.58.

Notable Days

  • 2012-02-03: Highest Volume — 1,078,215 contracts
  • 2012-02-09: Largest IV spike — 18.2% change
  • 2012-02-15: Highest IV Rank — 16.2%
  • 2012-02-15: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.14$80.72$82.95$80.72$81.05
Max Pain$80.00$79.00$81.00$79.00$80.00
ATM IV22.9%19.9%25.6%22.1%23.8%
Expected Move6.6%5.7%7.4%5.7%6.8%
HV 20d14.8%11.6%17.5%12.1%17.5%
HV 60d25.1%19.2%28.4%28.1%19.5%
IV Rank12.0%7.2%16.2%10.8%13.3%
IV Percentile36.3%15.1%51.6%31.0%42.9%
Term Structure0.9%0.0%2.1%2.0%0.2%
VWIV24.2%21.3%26.5%21.8%24.8%
Skew 25d6.9%4.4%8.4%4.8%7.2%
Skew 10d13.0%8.5%16.1%8.9%14.1%
Call IV 25d19.8%18.1%21.3%18.1%20.8%
Put IV 25d26.7%22.7%29.8%22.9%28.1%
Bid-Ask Spread %2.591.906.222.092.53
Gamma HHI0.070.060.080.060.08
Net GEX-317.1M-589.7M-114.1M-156.0M-589.7M
Net DEX-840.3M-3.63B3.01B-1.65B3.01B
Net VEX-39.5M-44.9M-33.3M-33.3M-43.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.581.554.113.932.12
Total Volume519,471.3323,8331,078,215408,505567,651
Total OI4,891,8944,054,0595,625,4204,054,0595,242,435

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$80.72$79.0022.1%5.7%12.1%10.8%21.8%4.8%2.0%-156.0M-1.65B-33.3M3.932.0982,830325,6751,234,5182,819,541
2012-02-02$81.18$79.0021.1%5.9%11.6%9.2%21.7%4.4%2.1%-193.4M-1.77B-33.9M3.172.43142,351451,0761,246,2372,906,856
2012-02-03$82.95$80.0020.3%6.3%13.1%7.9%24.9%6.4%0.8%-114.1M-3.63B-33.4M2.272.47329,945748,2701,307,8853,126,067
2012-02-06$82.68$80.0022.9%6.3%13.2%12.0%23.6%6.6%0.9%-249.5M-2.32B-35.5M2.591.9090,127233,7061,309,8563,292,696
2012-02-07$82.63$80.0022.9%6.3%13.4%11.9%22.6%6.7%0.8%-238.8M-2.47B-36.4M1.552.37148,092230,1361,354,0223,349,361
2012-02-08$82.81$80.0019.9%6.4%12.9%7.2%24.5%6.6%1.0%-251.2M-2.55B-37.9M4.112.2389,209366,6061,438,3913,438,872
2012-02-09$82.40$80.0023.5%6.7%13.3%12.9%25.1%6.7%0.9%-327.1M-1.58B-38.7M2.672.2496,244257,2961,425,8243,543,374
2012-02-10$81.27$80.0024.6%7.1%14.6%14.6%25.7%7.1%0.9%-394.7M207.8M-39.7M3.246.22122,224396,5851,442,0003,565,273
2012-02-13$82.32$80.0023.6%6.8%14.7%13.0%24.6%7.5%1.0%-338.4M-1.42B-38.4M3.062.1688,340270,0881,436,3533,615,836
2012-02-14$81.95$80.0023.7%6.8%14.9%13.1%24.9%7.6%1.0%-359.9M-874.2M-39.5M2.322.5398,264228,3631,472,9473,680,434
2012-02-15$81.27$80.0025.6%7.4%14.5%16.2%26.5%8.4%0.8%-389.8M234.6M-40.7M2.282.99187,699428,2661,494,5433,699,631
2012-02-16$82.80$80.0023.3%6.7%15.6%12.5%24.5%7.9%1.2%-293.3M-2.05B-40.5M2.682.04176,756473,7971,565,6433,862,754
2012-02-17$82.79$80.0022.9%6.6%15.6%11.9%24.2%7.4%1.0%-281.8M-2.13B-40.4M2.062.50188,065386,9071,603,7994,021,621
2012-02-21$82.23$81.0023.3%6.7%15.9%12.5%23.7%6.6%0.9%-355.1M505.2M-40.3M2.172.80146,367317,0821,276,4543,159,435
2012-02-22$81.58$81.0023.1%6.4%16.3%12.2%24.3%5.9%1.3%-420.5M1.43B-41.8M2.592.11142,770370,2611,356,1633,285,139
2012-02-23$82.80$80.0021.2%6.2%16.8%9.3%23.3%7.2%0.6%-332.6M-580.8M-42.0M2.312.27162,502374,7811,432,0733,403,209
2012-02-24$82.64$80.0022.6%6.5%16.8%11.4%26.1%7.4%0.2%-301.3M-30.3K-43.5M2.892.45232,603672,3111,505,5933,553,232
2012-02-27$82.50$80.0024.4%7.0%16.8%14.2%25.6%7.6%0.0%-369.6M329.3M-44.9M1.842.52145,385267,8901,549,1483,596,740
2012-02-28$82.28$80.0023.9%6.8%16.5%13.5%21.3%7.6%0.4%-385.3M498.5M-44.8M1.772.97127,187225,7191,594,9683,628,957
2012-02-29$81.05$80.0023.8%6.8%17.5%13.3%24.8%7.2%0.2%-589.7M3.01B-43.8M2.122.53181,939385,7121,600,6643,641,771