IWM Options History — March 2012

In March 2012, IWM traded between $78.74 and $84.40. ATM implied volatility averaged 20.6%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.4% (HV 20d: 17.2%). Max pain ranged from $80.00 to $83.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.86.

Notable Days

2012-03-06: Highest Volume — 1,111,253 contracts
2012-03-08: Largest IV drop — 13.4% change
2012-03-06: Highest IV Rank — 13.7%
2012-03-06: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.14	$78.74	$84.40	$81.47	$82.81
Max Pain	$81.18	$80.00	$83.00	$80.00	$82.00
ATM IV	20.6%	18.4%	24.0%	23.1%	19.5%
Expected Move	6.1%	5.5%	6.9%	6.6%	5.6%
HV 20d	17.2%	14.6%	18.6%	16.0%	16.8%
HV 60d	17.1%	15.3%	20.0%	19.5%	15.3%
IV Rank	8.4%	5.0%	13.7%	12.3%	6.7%
IV Percentile	20.7%	8.3%	44.4%	38.1%	13.5%
Term Structure	1.3%	0.1%	2.6%	0.3%	1.9%
VWIV	22.6%	20.4%	26.1%	24.8%	22.2%
Skew 25d	5.8%	4.5%	7.1%	7.1%	4.6%
Skew 10d	10.8%	8.5%	12.9%	12.5%	9.5%
Call IV 25d	18.6%	16.7%	21.3%	19.3%	17.6%
Put IV 25d	24.4%	21.5%	28.1%	26.4%	22.2%
Bid-Ask Spread %	3.50	2.12	10.69	3.17	2.36
Gamma HHI	0.08	0.06	0.10	0.08	0.07
Net GEX	-393.9M	-760.0M	-111.5M	-486.9M	-287.9M
Net DEX	1.17B	-2.15B	7.05B	1.63B	1.44B
Net VEX	-41.5M	-43.7M	-39.3M	-43.3M	-41.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.86	1.17	3.17	1.89	1.92
Total Volume	532,022.545	337,425	1,111,253	628,793	555,577
Total OI	5,210,040.955	4,144,331	6,077,888	5,319,694	4,951,952

Daily Data (22 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
2012-03-01	$81.47	$80.00	23.1%	6.6%	16.0%	12.3%	24.8%	7.1%	0.3%	-486.9M	1.63B	-43.3M	1.89	3.17	217,776	411,017	1,621,837	3,697,857
2012-03-02	$80.25	$80.00	23.3%	6.7%	16.8%	12.6%	25.2%	6.5%	0.4%	-693.9M	4.66B	-43.7M	1.82	2.56	241,601	438,823	1,672,588	3,828,251
2012-03-05	$80.34	$80.00	23.1%	6.6%	14.6%	12.2%	24.1%	6.5%	0.6%	-622.0M	3.60B	-42.3M	1.62	2.79	199,351	323,118	1,666,303	3,765,581
2012-03-06	$78.74	$80.00	24.0%	6.9%	16.0%	13.7%	25.2%	6.9%	0.3%	-760.0M	7.05B	-42.0M	2.45	2.58	321,767	789,486	1,695,152	3,812,111
2012-03-07	$79.48	$80.00	23.6%	6.8%	16.5%	13.0%	26.1%	6.9%	0.1%	-679.9M	5.26B	-43.3M	1.76	2.12	134,359	236,473	1,740,945	3,902,128
2012-03-08	$80.51	$80.00	20.4%	6.2%	17.3%	8.1%	25.0%	7.0%	0.2%	-537.4M	2.95B	-42.4M	3.17	5.43	165,397	523,962	1,747,389	3,933,011
2012-03-09	$81.60	$80.00	18.4%	6.1%	18.0%	5.0%	23.6%	5.5%	0.5%	-426.3M	312.3M	-41.9M	1.85	2.61	280,579	518,376	1,770,787	3,977,711
2012-03-12	$81.44	$81.00	20.1%	6.4%	17.4%	7.5%	23.0%	7.0%	1.4%	-518.1M	1.14B	-40.6M	2.12	2.62	130,660	276,708	1,721,122	3,946,401
2012-03-13	$83.06	$81.00	20.0%	6.0%	18.2%	7.4%	23.0%	6.5%	1.3%	-273.9M	-1.97B	-40.3M	1.46	4.31	187,401	272,774	1,776,849	4,031,735
2012-03-14	$82.38	$81.00	18.8%	6.3%	18.4%	5.6%	23.0%	6.0%	1.8%	-408.9M	-642.0M	-40.5M	3.01	3.75	121,052	364,607	1,800,554	4,082,214
2012-03-15	$83.07	$81.00	20.9%	6.0%	18.3%	8.9%	21.9%	5.9%	2.0%	-247.5M	-2.14B	-39.9M	1.17	2.89	155,281	182,144	1,808,759	4,161,670
2012-03-16	$83.00	$81.00	19.9%	5.7%	17.1%	7.3%	21.2%	6.1%	2.6%	-124.0M	-2.15B	-39.8M	1.49	2.59	233,010	346,860	1,852,890	4,224,998
2012-03-19	$83.70	$82.00	19.9%	5.7%	17.3%	7.3%	21.6%	5.9%	1.7%	-214.2M	-403.3M	-39.3M	1.79	2.60	241,235	432,780	1,211,887	2,932,444
2012-03-20	$82.95	$82.00	20.3%	5.8%	17.4%	7.9%	21.3%	5.4%	1.7%	-302.5M	790.9M	-41.6M	1.67	2.62	142,638	238,056	1,320,395	3,098,864
2012-03-21	$82.93	$82.00	19.8%	5.7%	17.2%	7.1%	20.5%	5.2%	1.7%	-364.3M	1.00B	-41.6M	1.67	10.69	160,204	267,926	1,334,762	3,189,092
2012-03-22	$82.13	$82.00	20.6%	5.9%	16.7%	8.4%	22.0%	5.7%	1.8%	-439.0M	2.03B	-42.2M	1.38	7.13	211,430	292,803	1,365,392	3,274,409
2012-03-23	$82.68	$82.00	19.4%	5.6%	16.9%	6.5%	20.4%	5.2%	1.7%	-295.1M	1.25B	-41.9M	1.52	3.08	150,674	229,733	1,323,785	3,322,919
2012-03-26	$84.40	$82.00	19.2%	5.5%	18.4%	6.1%	20.4%	4.8%	0.9%	-111.5M	-1.46B	-39.5M	1.36	2.98	166,100	225,119	1,319,851	3,301,000
2012-03-27	$83.81	$82.00	20.0%	5.7%	18.6%	7.5%	20.9%	4.6%	1.1%	-205.5M	-322.5M	-40.9M	1.97	2.47	117,127	230,753	1,370,111	3,347,363
2012-03-28	$83.32	$83.00	20.2%	5.8%	17.8%	7.7%	20.6%	4.6%	1.6%	-349.2M	773.1M	-40.9M	1.69	3.37	201,990	342,280	1,392,558	3,402,821
2012-03-29	$83.08	$82.00	19.5%	5.6%	17.8%	6.7%	21.0%	4.5%	1.8%	-317.4M	871.9M	-42.0M	2.24	2.36	131,486	294,003	1,468,718	3,453,735
2012-03-30	$82.81	$82.00	19.5%	5.6%	16.8%	6.7%	22.2%	4.6%	1.9%	-287.9M	1.44B	-41.9M	1.92	2.36	190,337	365,240	1,482,321	3,469,631