IWM Options History — May 2012

In May 2012, IWM traded between $74.69 and $81.77. ATM implied volatility averaged 25.9%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 8.6% (HV 20d: 17.3%). Max pain ranged from $80.00 to $82.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.48.

Notable Days

2012-05-18: Highest Volume — 1,156,420 contracts
2012-05-09: Largest IV drop — 10.7% change
2012-05-17: Highest IV Rank — 21.8%
2012-05-17: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.88	$74.69	$81.77	$81.55	$76.11
Max Pain	$80.95	$80.00	$82.00	$82.00	$80.00
ATM IV	25.9%	21.6%	29.2%	21.6%	29.0%
Expected Move	7.3%	5.7%	8.4%	5.7%	8.3%
HV 20d	17.3%	14.7%	20.1%	19.3%	18.0%
HV 60d	17.6%	17.0%	18.3%	17.1%	17.8%
IV Rank	16.6%	10.0%	21.8%	10.0%	21.4%
IV Percentile	49.4%	22.2%	59.5%	22.2%	58.7%
Term Structure	0.6%	-0.9%	1.6%	1.6%	-0.9%
VWIV	26.5%	21.2%	31.1%	21.7%	31.1%
Skew 25d	7.5%	4.6%	9.3%	4.6%	8.8%
Skew 10d	13.2%	7.7%	16.1%	7.7%	14.8%
Call IV 25d	21.8%	18.4%	25.1%	18.5%	24.9%
Put IV 25d	29.3%	23.1%	33.8%	23.1%	33.6%
Bid-Ask Spread %	4.14	1.85	10.57	1.85	2.57
Gamma HHI	0.08	0.07	0.14	0.07	0.08
Net GEX	-628.2M	-924.1M	-332.5M	-340.0M	-721.2M
Net DEX	7.55B	2.16B	14.20B	2.31B	9.33B
Net VEX	-49.7M	-54.6M	-47.3M	-48.3M	-50.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.48	1.26	4.51	2.20	1.93
Total Volume	619,026.682	320,608	1,156,420	465,102	505,786
Total OI	5,764,042.636	5,074,322	6,655,709	5,074,322	5,968,695

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
2012-05-01	$81.55	$82.00	21.6%	5.7%	19.3%	10.0%	21.7%	4.6%	1.6%	-340.0M	2.31B	-48.3M	2.20	1.85	145,502	319,600	1,789,075	3,285,247
2012-05-02	$81.77	$82.00	23.1%	5.8%	19.2%	12.3%	21.2%	5.0%	1.4%	-332.5M	2.16B	-49.1M	2.17	2.28	108,344	235,406	1,820,783	3,384,472
2012-05-03	$80.62	$82.00	22.8%	6.2%	19.0%	11.7%	22.4%	5.0%	0.8%	-450.6M	3.97B	-48.9M	1.33	8.27	275,170	366,740	1,848,412	3,396,039
2012-05-04	$79.09	$82.00	23.7%	6.7%	20.1%	13.2%	23.3%	7.0%	0.5%	-706.9M	6.99B	-47.9M	3.07	10.57	201,961	619,193	1,934,848	3,512,231
2012-05-07	$79.30	$82.00	25.7%	6.6%	19.3%	16.2%	24.6%	6.7%	0.8%	-582.5M	5.77B	-47.3M	3.06	3.13	145,194	444,452	1,907,738	3,522,683
2012-05-08	$79.25	$82.00	26.4%	6.6%	17.3%	17.3%	23.7%	6.8%	0.7%	-624.6M	6.09B	-47.5M	3.15	4.43	173,650	547,048	1,967,593	3,594,619
2012-05-09	$78.80	$82.00	23.6%	6.8%	16.7%	13.0%	25.3%	6.9%	0.6%	-642.2M	6.85B	-48.2M	2.31	4.55	195,059	449,839	2,018,912	3,689,509
2012-05-10	$79.10	$81.00	23.1%	6.6%	15.8%	12.3%	23.8%	6.7%	1.1%	-647.1M	6.04B	-48.9M	1.40	3.98	217,079	304,798	2,073,639	3,802,257
2012-05-11	$78.90	$81.00	24.1%	6.9%	15.2%	13.8%	28.1%	7.4%	0.9%	-638.3M	6.57B	-49.5M	4.26	3.80	126,765	539,864	2,148,018	3,835,793
2012-05-14	$77.85	$81.00	26.2%	7.5%	15.8%	17.0%	26.9%	7.8%	0.4%	-819.5M	8.94B	-47.9M	2.43	3.46	142,779	347,106	2,122,449	3,965,903
2012-05-15	$77.71	$81.00	26.3%	7.5%	14.7%	17.1%	27.6%	7.8%	0.6%	-746.3M	8.75B	-47.9M	3.68	3.16	133,465	490,519	2,177,663	3,930,446
2012-05-16	$77.16	$81.00	26.7%	7.6%	14.7%	17.8%	28.0%	7.7%	1.1%	-771.4M	9.92B	-47.3M	4.51	3.76	175,757	792,340	2,204,157	4,001,615
2012-05-17	$75.40	$81.00	29.2%	8.4%	16.5%	21.8%	29.1%	8.0%	0.8%	-834.0M	13.02B	-48.1M	3.17	3.84	234,962	744,457	2,284,953	4,212,487
2012-05-18	$74.69	$81.00	28.7%	8.2%	16.3%	21.0%	29.4%	8.1%	1.4%	-924.1M	14.20B	-48.1M	3.15	4.97	278,963	877,457	2,342,387	4,313,322
2012-05-21	$76.45	$80.00	26.7%	7.6%	18.4%	17.8%	27.8%	8.1%	1.2%	-556.7M	8.17B	-49.3M	1.94	4.29	251,072	487,924	1,676,360	3,497,125
2012-05-22	$75.99	$80.00	26.2%	7.5%	18.1%	17.1%	27.6%	8.0%	1.5%	-573.8M	8.78B	-51.4M	2.20	4.32	224,074	492,838	1,803,868	3,637,937
2012-05-23	$76.48	$80.00	27.3%	7.5%	17.2%	18.7%	25.9%	7.5%	1.6%	-587.7M	8.16B	-53.9M	1.26	3.47	271,881	343,632	1,845,795	3,845,529
2012-05-24	$76.64	$80.00	26.5%	7.8%	16.7%	17.5%	28.7%	9.0%	-0.4%	-515.0M	7.21B	-54.6M	1.53	3.80	140,131	214,454	1,928,934	3,912,934
2012-05-25	$76.59	$80.00	27.1%	7.8%	16.2%	18.4%	30.3%	9.0%	-0.2%	-591.9M	7.78B	-53.8M	1.30	5.06	150,353	195,820	1,945,221	3,951,827
2012-05-29	$77.70	$80.00	26.5%	7.6%	17.1%	17.5%	27.3%	9.3%	-0.6%	-548.6M	6.11B	-52.3M	1.69	2.78	143,690	242,855	1,903,188	3,894,382
2012-05-30	$76.21	$80.00	29.1%	8.3%	18.1%	21.6%	30.0%	9.2%	-0.9%	-665.8M	8.96B	-51.9M	2.85	2.80	83,265	237,343	1,950,854	3,959,039
2012-05-31	$76.11	$80.00	29.0%	8.3%	18.0%	21.4%	31.1%	8.8%	-0.9%	-721.2M	9.33B	-50.8M	1.93	2.57	172,578	333,208	1,977,396	3,991,299