IWM Options History — April 2012

In April 2012, IWM traded between $78.35 and $83.83. ATM implied volatility averaged 22.6%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.3% (HV 20d: 18.3%). Max pain ranged from $82.00 to $83.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.91.

Notable Days

  • 2012-04-10: Highest Volume — 931,729 contracts
  • 2012-04-09: Largest IV spike — 28.8% change
  • 2012-04-10: Highest IV Rank — 20.9%
  • 2012-04-10: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.74$78.35$83.83$83.83$81.47
Max Pain$82.25$82.00$83.00$83.00$82.00
ATM IV22.6%18.9%28.6%21.6%23.7%
Expected Move6.3%5.3%7.4%5.3%6.2%
HV 20d18.3%15.5%19.9%17.3%19.9%
HV 60d17.0%15.5%18.0%15.5%17.7%
IV Rank11.5%5.7%20.9%10.0%13.2%
IV Percentile34.1%5.6%59.1%28.2%44.8%
Term Structure1.2%0.2%2.5%1.7%1.2%
VWIV22.7%19.5%26.1%19.5%22.2%
Skew 25d6.0%3.7%7.8%4.9%5.0%
Skew 10d11.4%6.3%14.6%10.2%9.8%
Call IV 25d19.3%16.6%21.6%16.6%18.6%
Put IV 25d25.3%21.4%28.9%21.5%23.6%
Bid-Ask Spread %2.861.9110.602.302.00
Gamma HHI0.090.060.220.070.07
Net GEX-452.6M-697.7M-123.8M-241.4M-252.5M
Net DEX3.94B-58.0M8.13B-58.0M1.85B
Net VEX-47.0M-50.1M-41.7M-41.7M-47.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.911.043.051.822.74
Total Volume529,358.95280,868931,729406,578506,887
Total OI5,082,774.94,313,6755,964,2184,313,6754,847,787

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$83.83$83.0021.6%5.3%17.3%10.0%19.5%4.9%1.7%-241.4M-58.0M-41.7M1.822.30144,187262,3911,361,1312,952,544
2012-04-03$83.27$83.0020.9%5.5%15.5%8.8%20.8%4.1%1.9%-316.5M739.5M-42.4M1.922.13206,828397,1241,420,9303,011,504
2012-04-04$81.94$83.0022.0%5.6%16.7%10.6%20.1%3.9%2.2%-475.4M2.87B-44.0M3.052.46151,366461,9201,499,2083,092,629
2012-04-05$81.58$83.0018.9%5.5%16.3%5.7%19.8%3.7%2.5%-452.9M3.50B-45.3M1.642.71153,878252,6811,541,4503,208,870
2012-04-09$80.24$82.0024.3%6.7%16.6%14.1%23.2%6.0%0.7%-602.0M5.27B-44.2M1.722.52342,669587,8371,523,7283,214,727
2012-04-10$78.35$82.0028.6%7.4%18.5%20.9%25.2%7.1%0.2%-697.7M8.13B-47.2M3.012.89232,580699,1491,676,6273,459,361
2012-04-11$79.46$82.0023.6%7.2%17.7%13.0%26.1%7.2%0.7%-638.9M6.52B-48.9M2.542.88149,712379,9131,739,1223,599,691
2012-04-12$80.60$82.0022.6%6.5%18.5%11.5%22.3%7.5%1.1%-479.9M3.60B-48.9M1.3810.60263,160363,3201,777,1733,655,864
2012-04-13$79.54$82.0023.6%6.8%18.6%13.1%23.5%7.3%1.0%-615.7M6.59B-50.1M2.323.43151,949351,7951,888,9293,749,240
2012-04-16$79.67$82.0024.3%7.0%18.7%14.2%24.4%7.8%0.7%-587.1M6.04B-49.0M1.152.39192,442222,1091,875,7863,671,162
2012-04-17$80.82$82.0023.2%6.6%19.2%12.3%24.5%7.2%0.9%-469.6M4.07B-49.2M1.862.27158,689294,8981,922,8113,737,956
2012-04-18$80.21$82.0023.8%6.8%19.2%13.3%23.9%6.5%0.9%-556.6M5.29B-48.1M1.582.13132,731209,3771,975,9873,762,008
2012-04-19$79.75$82.0023.3%6.7%19.2%12.6%24.6%7.0%1.0%-623.3M6.07B-48.1M1.942.29213,292413,3732,007,3823,786,663
2012-04-20$80.21$83.0022.3%6.4%19.2%11.0%23.2%6.6%1.3%-685.1M5.10B-47.8M1.472.49264,720389,8252,078,1853,886,033
2012-04-23$79.10$82.0023.5%6.7%19.4%12.8%23.3%6.2%0.9%-419.2M5.23B-46.8M1.042.37228,823237,2261,579,9062,948,414
2012-04-24$79.70$82.0022.4%6.4%17.9%11.2%23.5%6.0%0.9%-372.5M4.14B-47.6M1.733.20102,954177,9141,627,1973,015,224
2012-04-25$80.94$82.0021.1%6.0%18.9%9.1%22.2%6.0%1.2%-261.5M2.32B-47.7M1.402.20182,207255,9151,674,6763,054,609
2012-04-26$81.74$82.0019.6%5.6%19.3%6.8%21.3%5.3%1.4%-179.4M1.34B-48.0M1.741.91143,393249,3781,751,9663,120,876
2012-04-27$82.38$82.0019.3%5.7%19.5%6.3%21.3%5.4%1.7%-123.8M274.6M-48.2M2.252.09141,017317,5501,768,1943,189,948
2012-04-30$81.47$82.0023.7%6.2%19.9%13.2%22.2%5.0%1.2%-252.5M1.85B-47.6M2.742.00135,628371,2591,722,5003,125,287