IWM Options History — August 2012

In August 2012, IWM traded between $76.85 and $81.66. ATM implied volatility averaged 19.1%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.8% (HV 20d: 15.4%). Max pain ranged from $79.00 to $80.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 2.04.

Notable Days

2012-08-02: Highest Volume — 590,284 contracts
2012-08-02: Largest IV drop — 39.6% change
2012-08-01: Highest IV Rank — 30.8%
2012-08-01: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$80.24	$76.85	$81.66	$77.10	$81.12
Max Pain	$79.87	$79.00	$80.00	$79.00	$80.00
ATM IV	19.1%	16.0%	36.0%	36.0%	20.3%
Expected Move	5.5%	4.7%	6.7%	6.7%	5.8%
HV 20d	15.4%	8.9%	17.8%	15.1%	8.9%
HV 60d	19.6%	17.3%	21.0%	20.3%	17.3%
IV Rank	5.1%	0.0%	30.8%	30.8%	8.1%
IV Percentile	9.9%	0.0%	69.4%	69.4%	16.7%
Term Structure	0.9%	-0.6%	1.9%	-0.6%	0.6%
VWIV	20.6%	17.8%	23.7%	23.3%	21.3%
Skew 25d	5.2%	3.2%	6.9%	3.3%	6.4%
Skew 10d	9.7%	5.7%	11.8%	6.2%	11.8%
Call IV 25d	16.9%	14.6%	21.6%	21.6%	17.6%
Put IV 25d	22.1%	19.8%	25.0%	24.9%	24.0%
Bid-Ask Spread %	3.85	2.14	14.12	4.59	8.35
Gamma HHI	0.07	0.06	0.14	0.07	0.06
Net GEX	-317.7M	-679.6M	138.2M	-609.4M	-376.6M
Net DEX	1.72B	-1.91B	7.02B	6.32B	1.96B
Net VEX	-48.1M	-50.9M	-45.1M	-48.4M	-50.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.04	1.13	3.58	1.50	1.90
Total Volume	386,559.435	193,795	590,284	516,376	320,763
Total OI	5,602,255.826	4,590,187	6,521,066	5,448,037	5,537,244

Daily Data (23 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
2012-08-01	$77.10	$79.00	36.0%	6.7%	15.1%	30.8%	23.3%	3.3%	-0.6%	-609.4M	6.32B	-48.4M	1.50	4.59	206,301	310,075	1,691,381	3,756,656
2012-08-02	$76.85	$79.00	21.7%	6.0%	15.1%	8.1%	21.1%	3.6%	1.3%	-679.6M	7.02B	-47.7M	1.98	2.22	198,041	392,243	1,773,421	3,840,078
2012-08-03	$78.79	$79.00	18.4%	5.3%	17.7%	2.9%	19.3%	3.2%	1.9%	-433.5M	3.15B	-48.3M	1.13	14.12	274,270	310,597	1,848,965	3,884,878
2012-08-06	$79.19	$80.00	21.0%	5.8%	17.8%	6.9%	20.7%	5.5%	0.5%	-371.9M	2.27B	-47.5M	1.16	2.39	158,487	184,334	1,889,976	3,865,801
2012-08-07	$79.91	$80.00	20.9%	5.9%	17.6%	6.8%	21.8%	5.4%	0.6%	-245.4M	793.0M	-47.4M	1.95	2.58	187,425	364,892	1,946,003	3,899,235
2012-08-08	$79.84	$80.00	17.2%	5.6%	17.6%	1.0%	21.4%	5.4%	0.8%	-314.1M	1.30B	-47.5M	2.16	3.84	76,311	165,185	1,968,535	4,023,580
2012-08-09	$80.24	$80.00	16.8%	5.5%	17.6%	0.4%	19.9%	5.1%	0.8%	-241.0M	350.7M	-46.4M	1.69	2.51	84,995	143,794	1,984,013	4,044,340
2012-08-10	$79.90	$80.00	16.0%	5.4%	17.3%	0.0%	20.1%	5.2%	1.0%	-330.8M	1.09B	-46.0M	2.18	3.05	110,684	241,269	1,999,376	4,106,885
2012-08-13	$79.79	$80.00	17.0%	5.5%	17.2%	1.9%	20.7%	5.6%	0.8%	-347.6M	1.38B	-45.1M	3.20	4.13	93,349	298,963	1,964,956	4,113,359
2012-08-14	$79.61	$80.00	17.3%	5.6%	17.2%	2.5%	20.9%	5.3%	0.9%	-388.0M	1.98B	-46.4M	1.85	3.06	172,534	320,028	1,973,679	4,219,776
2012-08-15	$80.36	$80.00	16.0%	5.5%	17.4%	0.1%	20.5%	4.9%	0.9%	-230.5M	272.4M	-46.0M	2.57	2.84	117,583	301,843	2,028,413	4,283,709
2012-08-16	$81.06	$80.00	18.9%	5.4%	17.7%	5.4%	20.1%	5.2%	0.9%	-52.1M	-1.02B	-46.6M	2.29	3.28	156,924	359,152	2,011,525	4,322,852
2012-08-17	$81.66	$80.00	16.9%	4.9%	16.7%	1.8%	19.4%	5.0%	1.0%	138.2M	-1.91B	-48.0M	1.72	3.05	189,173	325,959	2,042,399	4,478,667
2012-08-20	$81.56	$80.00	16.3%	4.7%	15.1%	0.6%	18.2%	5.2%	1.2%	-206.1M	478.8M	-46.4M	1.51	2.14	106,325	160,560	1,456,047	3,134,140
2012-08-21	$81.51	$80.00	16.5%	4.7%	14.2%	1.0%	17.8%	5.0%	1.3%	-217.2M	622.7M	-47.6M	1.46	2.65	199,084	289,670	1,508,451	3,246,360
2012-08-22	$81.14	$80.00	17.3%	5.0%	14.4%	2.5%	18.8%	4.8%	1.5%	-297.9M	1.39B	-49.1M	2.33	2.98	91,624	213,746	1,562,762	3,351,208
2012-08-23	$80.57	$80.00	17.5%	5.0%	14.6%	2.8%	18.0%	4.7%	1.6%	-423.8M	2.59B	-50.0M	1.94	2.63	148,702	287,955	1,576,371	3,416,213
2012-08-24	$80.80	$80.00	18.2%	5.1%	14.6%	4.2%	19.4%	4.9%	1.5%	-352.3M	2.31B	-50.7M	1.94	2.59	89,912	174,838	1,614,963	3,533,814
2012-08-27	$80.94	$80.00	19.3%	5.7%	13.5%	6.3%	21.4%	6.1%	0.9%	-319.2M	1.85B	-49.6M	3.58	3.37	45,594	163,071	1,592,647	3,522,385
2012-08-28	$81.36	$80.00	19.8%	5.7%	13.2%	7.1%	23.7%	6.3%	0.7%	-293.3M	1.38B	-49.9M	2.75	3.81	51,676	142,119	1,613,577	3,560,623
2012-08-29	$81.50	$80.00	20.4%	5.8%	11.3%	8.3%	23.2%	6.7%	0.6%	-285.3M	1.23B	-49.6M	1.84	3.23	110,648	203,466	1,633,216	3,631,548
2012-08-30	$80.62	$80.00	20.7%	5.9%	12.2%	8.8%	22.9%	6.9%	0.7%	-429.8M	2.74B	-50.9M	2.21	5.06	107,951	238,752	1,692,449	3,705,408
2012-08-31	$81.12	$80.00	20.3%	5.8%	8.9%	8.1%	21.3%	6.4%	0.6%	-376.6M	1.96B	-50.6M	1.90	8.35	110,466	210,297	1,738,841	3,798,403