IWM Options History — June 2012

In June 2012, IWM traded between $73.65 and $79.56. ATM implied volatility averaged 24.3%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.9% (HV 20d: 23.3%). Max pain ranged from $77.00 to $80.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.02.

Notable Days

  • 2012-06-29: Highest Volume — 953,553 contracts
  • 2012-06-29: Largest IV drop — 26.8% change
  • 2012-06-01: Highest IV Rank — 26.5%
  • 2012-06-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.53$73.65$79.56$73.82$79.56
Max Pain$78.00$77.00$80.00$80.00$78.00
ATM IV24.3%16.6%32.3%32.3%16.6%
Expected Move7.3%5.3%9.3%9.3%5.3%
HV 20d23.3%19.3%25.4%20.1%23.5%
HV 60d19.7%18.5%21.3%18.7%21.3%
IV Rank14.0%2.2%26.5%26.5%2.2%
IV Percentile33.4%1.2%61.9%61.9%1.2%
Term Structure0.5%-1.8%2.7%-1.8%2.7%
VWIV26.7%21.1%32.1%32.1%21.1%
Skew 25d7.3%4.7%9.0%8.9%4.7%
Skew 10d13.4%8.8%16.6%15.8%9.0%
Call IV 25d21.9%16.9%28.0%28.0%16.9%
Put IV 25d29.3%21.5%36.9%36.9%21.5%
Bid-Ask Spread %4.392.757.662.753.51
Gamma HHI0.090.060.280.090.06
Net GEX-538.4M-898.2M-145.9M-791.3M-145.9M
Net DEX6.46B-74.1M12.83B12.60B-74.1M
Net VEX-49.6M-52.4M-47.2M-49.4M-47.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.021.333.022.861.73
Total Volume581,552.571310,666953,553753,031953,553
Total OI6,127,1145,158,8637,224,8036,125,3325,774,462

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$73.82$80.0032.3%9.3%20.1%26.5%32.1%8.9%-1.8%-791.3M12.60B-49.4M2.862.75195,098557,9332,032,4374,092,895
2012-06-04$73.65$79.0031.4%9.0%19.3%25.1%31.7%8.2%-1.6%-758.1M12.83B-47.2M1.655.14145,687239,7572,036,6644,074,819
2012-06-05$74.60$78.0030.1%8.6%20.1%23.1%30.2%8.7%-1.4%-709.2M10.76B-48.1M1.493.12272,796406,2492,090,7714,067,921
2012-06-06$76.44$78.0028.4%8.2%22.3%20.6%28.9%8.9%-1.5%-615.5M7.14B-51.1M1.333.67177,857236,1652,246,5054,163,331
2012-06-07$75.94$78.0022.6%8.2%22.3%11.5%30.0%9.0%-1.7%-650.5M7.93B-50.5M2.513.64169,912426,9352,297,3334,216,221
2012-06-08$76.97$78.0020.4%7.6%22.9%8.1%27.9%8.8%-1.2%-574.4M6.00B-50.3M1.485.52210,711311,0362,329,5444,279,335
2012-06-11$75.27$78.0025.8%8.0%24.1%16.5%28.4%8.1%0.2%-749.2M10.30B-48.2M2.775.34156,195432,9992,350,9614,237,731
2012-06-12$76.22$78.0021.2%7.6%24.3%9.2%28.8%8.5%0.7%-693.4M7.28B-49.6M3.024.26201,324608,7872,411,7634,341,714
2012-06-13$75.34$78.0025.4%8.3%24.6%15.8%30.2%9.0%0.2%-749.3M10.31B-52.4M1.844.62192,879355,2002,492,7724,616,876
2012-06-14$76.20$78.0027.3%7.8%24.9%18.8%29.4%8.6%0.3%-718.7M8.41B-52.2M2.193.74229,122500,9412,539,1854,647,882
2012-06-15$77.22$78.0025.5%7.3%23.8%15.9%27.0%8.4%0.7%-898.2M6.01B-50.8M1.675.24283,746474,6322,571,9234,652,880
2012-06-18$77.31$77.0023.5%6.8%23.5%12.9%25.4%6.9%1.2%-263.8M3.33B-49.3M2.424.48161,439391,0691,737,8863,420,977
2012-06-19$78.65$77.0021.1%6.0%22.9%9.1%22.7%6.7%1.9%-217.0M1.42B-48.1M1.873.98238,531446,5931,762,2723,582,093
2012-06-20$78.53$77.0020.5%5.9%22.7%8.2%23.5%6.1%1.9%-205.9M1.95B-49.9M2.494.09168,512419,7261,821,2893,666,529
2012-06-21$76.62$78.0022.7%6.5%24.5%11.7%23.5%6.5%1.6%-467.3M5.49B-50.4M1.766.73254,026448,3031,845,6273,793,595
2012-06-22$77.49$78.0021.9%6.3%24.8%10.4%22.9%5.8%2.1%-374.3M4.11B-49.8M1.687.66167,724281,8791,855,2953,828,700
2012-06-25$76.28$78.0023.2%6.7%25.4%12.4%23.3%4.8%1.6%-532.9M5.80B-48.1M1.415.06205,729290,9381,812,1813,782,257
2012-06-26$76.20$78.0023.8%6.8%24.9%13.3%24.8%5.6%1.5%-487.4M5.92B-50.4M2.102.88113,652238,5191,819,3503,896,646
2012-06-27$77.44$78.0023.0%6.6%24.6%12.1%24.9%6.1%1.7%-345.5M4.04B-49.9M2.233.4596,149214,5171,832,6933,880,227
2012-06-28$77.31$78.0022.7%6.5%24.6%11.6%24.2%5.8%1.8%-359.0M4.13B-49.6M1.813.22119,666216,1181,844,7273,921,125
2012-06-29$79.56$78.0016.6%5.3%23.5%2.2%21.1%4.7%2.7%-145.9M-74.1M-47.2M1.733.51349,214604,3391,851,9963,922,466