IWM Options History — July 2012

In July 2012, IWM traded between $76.68 and $81.53. ATM implied volatility averaged 22.8%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.9% (HV 20d: 19.9%). Max pain ranged from $78.00 to $80.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.06.

Notable Days

2012-07-24: Highest Volume — 738,492 contracts
2012-07-27: Largest IV spike — 140.8% change
2012-07-27: Highest IV Rank — 57.1%
2012-07-31: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.21	$76.68	$81.53	$80.48	$78.35
Max Pain	$79.52	$78.00	$80.00	$78.00	$79.00
ATM IV	22.8%	17.8%	52.5%	17.9%	30.2%
Expected Move	5.9%	5.0%	6.5%	5.4%	6.5%
HV 20d	19.9%	15.2%	23.6%	23.6%	15.2%
HV 60d	20.4%	20.0%	21.4%	21.4%	20.1%
IV Rank	10.0%	2.3%	57.1%	4.2%	21.6%
IV Percentile	20.6%	1.2%	96.8%	2.0%	59.5%
Term Structure	1.4%	0.0%	2.5%	2.1%	0.0%
VWIV	21.7%	19.1%	24.4%	19.6%	22.9%
Skew 25d	5.2%	2.9%	6.2%	4.4%	4.1%
Skew 10d	9.8%	7.1%	11.7%	7.6%	7.9%
Call IV 25d	18.2%	15.8%	20.4%	16.5%	20.4%
Put IV 25d	23.4%	19.0%	26.5%	20.8%	24.5%
Bid-Ask Spread %	3.92	2.28	11.73	3.87	2.28
Gamma HHI	0.06	0.05	0.14	0.06	0.06
Net GEX	-309.3M	-648.3M	8.0M	-84.7M	-458.5M
Net DEX	1.95B	-2.01B	6.95B	-516.5M	3.92B
Net VEX	-47.2M	-48.7M	-44.4M	-46.9M	-48.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	1.33	3.29	2.79	1.33
Total Volume	463,663.905	260,569	738,492	503,299	260,569
Total OI	5,542,658.381	4,805,157	6,199,813	5,190,605	5,282,874

Daily Data (21 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
2012-07-02	$80.48	$78.00	17.9%	5.4%	23.6%	4.2%	19.6%	4.4%	2.1%	-84.7M	-516.5M	-46.9M	2.79	3.87	132,947	370,352	1,621,436	3,569,169
2012-07-03	$81.53	$78.00	18.7%	5.0%	23.6%	3.6%	19.1%	4.3%	2.0%	8.0M	-2.01B	-47.6M	1.86	3.41	132,939	246,818	1,678,673	3,682,959
2012-07-05	$81.44	$78.00	19.5%	5.4%	22.4%	4.9%	19.4%	4.1%	2.0%	-5.8M	-1.78B	-47.5M	1.60	2.87	137,920	220,302	1,728,529	3,703,285
2012-07-06	$80.53	$80.00	17.8%	5.7%	22.7%	2.3%	23.3%	6.0%	1.5%	-87.1M	-340.6M	-47.1M	1.91	2.88	129,300	246,442	1,750,011	3,757,833
2012-07-09	$80.22	$80.00	20.9%	6.1%	22.5%	7.2%	22.2%	5.9%	1.2%	-113.2M	-211.7M	-46.6M	2.30	3.33	81,831	188,116	1,727,829	3,718,771
2012-07-10	$79.33	$80.00	22.7%	6.4%	21.2%	9.7%	21.8%	6.0%	1.0%	-244.0M	1.57B	-47.2M	2.14	3.84	180,640	385,733	1,748,650	3,780,266
2012-07-11	$79.00	$80.00	19.8%	6.2%	21.0%	5.0%	23.3%	5.7%	1.2%	-320.2M	2.23B	-47.6M	3.06	2.63	90,899	277,743	1,794,668	3,886,419
2012-07-12	$79.00	$80.00	21.7%	6.2%	20.4%	8.0%	22.7%	5.2%	1.2%	-426.9M	2.60B	-47.0M	2.42	3.50	176,662	426,759	1,799,236	4,012,858
2012-07-13	$79.85	$80.00	20.6%	5.9%	20.4%	6.4%	22.5%	5.6%	1.6%	-172.3M	745.3M	-48.1M	2.07	3.21	119,404	246,882	1,875,748	4,093,850
2012-07-16	$79.45	$80.00	21.9%	6.3%	20.1%	8.5%	24.4%	5.8%	1.2%	-290.3M	1.61B	-47.2M	3.29	3.54	94,358	310,859	1,850,856	4,135,848
2012-07-17	$79.76	$80.00	20.6%	5.9%	20.1%	6.4%	22.0%	5.7%	1.7%	-250.8M	1.03B	-47.3M	2.78	3.31	117,191	326,129	1,865,026	4,174,221
2012-07-18	$80.21	$80.00	20.4%	5.8%	19.3%	6.0%	21.4%	5.6%	1.7%	-195.3M	280.4M	-46.5M	1.80	3.09	151,378	273,151	1,884,084	4,217,082
2012-07-19	$80.28	$80.00	19.7%	5.6%	19.3%	4.8%	20.2%	5.0%	2.0%	-189.1M	221.3M	-44.4M	1.77	2.91	157,022	278,186	1,873,231	4,167,256
2012-07-20	$78.99	$80.00	19.1%	5.5%	18.0%	3.9%	20.0%	5.4%	2.5%	-648.3M	2.91B	-46.6M	2.24	11.73	224,027	502,689	1,904,009	4,295,804
2012-07-23	$77.61	$80.00	21.4%	6.2%	18.9%	7.7%	22.9%	6.2%	1.7%	-490.2M	5.25B	-47.2M	2.08	2.69	185,742	385,866	1,494,518	3,310,639
2012-07-24	$76.68	$80.00	22.6%	6.5%	18.5%	9.5%	23.1%	6.2%	1.5%	-611.8M	6.95B	-47.0M	1.59	4.07	285,390	453,102	1,542,373	3,453,053
2012-07-25	$76.78	$80.00	21.9%	6.3%	18.5%	8.4%	22.4%	6.1%	1.5%	-625.4M	6.71B	-48.7M	1.71	2.57	139,915	238,604	1,615,697	3,612,232
2012-07-26	$77.43	$79.00	21.8%	6.3%	17.8%	8.3%	21.7%	5.5%	0.9%	-592.6M	5.46B	-48.1M	1.48	2.63	229,980	339,305	1,615,101	3,608,470
2012-07-27	$77.52	$79.00	52.5%	5.3%	17.8%	57.1%	19.8%	2.9%	0.7%	-294.0M	1.42B	-46.5M	1.60	2.37	256,682	411,468	1,645,841	3,656,835
2012-07-30	$78.89	$79.00	26.6%	6.1%	15.7%	15.9%	21.3%	4.2%	0.4%	-402.7M	2.99B	-47.6M	1.41	11.63	134,224	189,416	1,628,675	3,631,911
2012-07-31	$78.35	$79.00	30.2%	6.5%	15.2%	21.6%	22.9%	4.1%	0.0%	-458.5M	3.92B	-48.7M	1.33	2.28	111,619	148,950	1,644,404	3,638,470