IWM Options History — September 2012

In September 2012, IWM traded between $82.13 and $86.54. ATM implied volatility averaged 17.6%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 5.3% (HV 20d: 12.3%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 2.48.

Notable Days

  • 2012-09-14: Highest Volume — 729,935 contracts
  • 2012-09-10: Largest IV spike — 45.2% change
  • 2012-09-11: Highest IV Rank — 15.1%
  • 2012-09-05: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.41$82.13$86.54$82.32$83.44
Max Pain$82.95$80.00$85.00$80.00$85.00
ATM IV17.6%15.1%23.6%20.4%16.2%
Expected Move4.9%4.3%6.0%5.8%4.9%
HV 20d12.3%9.8%14.9%10.0%14.5%
HV 60d15.7%14.2%17.4%17.4%14.3%
IV Rank4.1%0.0%15.1%8.3%2.0%
IV Percentile9.0%0.0%46.0%17.9%3.6%
Term Structure1.2%-0.2%2.1%0.3%1.5%
VWIV18.8%15.3%26.1%23.3%18.2%
Skew 25d4.7%3.3%7.0%7.0%4.0%
Skew 10d8.9%6.1%11.9%11.5%8.1%
Call IV 25d15.4%13.8%17.7%16.9%15.1%
Put IV 25d20.1%17.1%24.3%23.9%19.0%
Bid-Ask Spread %4.062.548.495.293.19
Gamma HHI0.060.060.080.060.07
Net GEX-134.8M-564.4M162.6M-186.3M-464.1M
Net DEX-1.82B-6.66B4.18B-139.1M3.55B
Net VEX-45.6M-51.6M-42.4M-47.6M-51.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.481.214.972.252.04
Total Volume472,725.158213,596729,935391,806394,886
Total OI5,955,484.3164,893,0656,739,4325,521,5515,751,263

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-09-04$82.32$80.0020.4%5.8%10.0%8.3%23.3%7.0%0.3%-186.3M-139.1M-47.6M2.255.29120,714271,0921,716,5303,805,021
2012-09-05$82.13$80.0021.0%6.0%9.8%9.4%26.1%6.6%-0.2%-276.7M494.3M-49.0M3.934.8971,905282,3541,737,8913,895,615
2012-09-06$83.61$80.0018.0%5.1%11.3%3.8%19.0%5.9%0.6%6.9M-2.46B-45.2M2.143.51185,772396,6591,754,7943,989,329
2012-09-07$84.26$80.0015.5%4.8%11.5%0.0%17.3%4.7%0.6%59.9M-3.45B-44.1M2.174.98181,638393,4521,758,9764,098,616
2012-09-10$83.74$82.0022.5%5.2%11.6%13.1%20.6%5.7%1.4%-96.7M-2.02B-45.3M3.404.4694,402321,0681,778,6064,112,882
2012-09-11$83.96$82.0023.6%5.2%11.6%15.1%20.2%5.7%1.1%-94.9M-2.24B-45.3M3.814.1067,122255,4671,798,8754,229,653
2012-09-12$84.35$82.0018.6%5.4%11.4%5.8%20.6%5.8%0.8%-33.4M-3.31B-44.3M4.973.7171,339354,6651,806,6074,274,195
2012-09-13$85.64$82.0016.7%4.8%12.0%2.3%19.3%4.5%1.0%98.0M-5.09B-42.9M1.983.98230,105456,4251,820,4834,384,213
2012-09-14$86.54$83.0016.6%4.8%12.2%2.0%18.3%3.9%1.1%162.6M-6.66B-42.4M1.213.95330,978398,9571,882,0754,501,275
2012-09-17$85.96$84.0017.0%4.9%12.6%2.8%18.5%4.0%1.3%53.2M-5.20B-43.9M1.612.8081,850131,7461,901,3924,544,371
2012-09-18$85.79$84.0015.8%4.5%12.6%0.6%17.1%3.8%1.7%34.7M-5.00B-43.0M1.973.1594,969186,7831,903,8144,562,572
2012-09-19$85.55$84.0016.0%4.6%12.7%1.0%17.3%4.0%1.6%-8.4M-4.48B-43.3M1.953.3495,622186,4141,935,8664,640,619
2012-09-20$85.29$84.0016.1%4.6%12.6%1.2%16.8%3.7%2.0%-81.4M-3.73B-43.5M3.485.88118,193411,5731,946,0514,705,187
2012-09-21$85.49$84.0015.1%4.3%12.1%0.0%15.3%3.3%2.1%-129.2M-4.19B-43.4M1.428.49247,511352,0801,939,8934,799,539
2012-09-24$84.89$85.0015.5%4.4%12.6%0.6%15.9%4.2%1.7%-213.0M319.5M-44.0M1.212.54282,328340,6271,385,4383,507,627
2012-09-25$83.80$85.0017.1%4.9%13.7%3.7%17.8%4.2%1.3%-408.0M2.44B-48.1M2.343.01145,760340,6951,543,5823,685,458
2012-09-26$82.98$85.0017.6%5.0%14.2%4.5%18.3%4.3%1.5%-564.4M4.18B-49.6M2.932.78166,872489,5291,600,3043,798,088
2012-09-27$84.06$85.0016.1%4.6%14.9%1.7%16.8%3.8%1.5%-419.6M2.33B-50.8M2.243.07132,972297,2541,668,0093,989,493
2012-09-28$83.44$85.0016.2%4.9%14.5%2.0%18.2%4.0%1.5%-464.1M3.55B-51.6M2.043.19129,843265,0431,700,6084,050,655