IWM Options History — October 2012

In October 2012, IWM traded between $81.23 and $84.50. ATM implied volatility averaged 18.0%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.0% (HV 20d: 13.0%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.02.

Notable Days

2012-10-19: Highest Volume — 640,620 contracts
2012-10-08: Largest IV spike — 29.2% change
2012-10-31: Highest IV Rank — 14.0%
2012-10-24: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.72	$81.23	$84.50	$83.77	$81.63
Max Pain	$85.00	$85.00	$85.00	$85.00	$85.00
ATM IV	18.0%	14.1%	20.1%	18.1%	20.1%
Expected Move	5.1%	4.5%	5.8%	4.8%	5.5%
HV 20d	13.0%	11.0%	14.7%	14.5%	12.9%
HV 60d	13.7%	12.3%	14.2%	14.1%	12.3%
IV Rank	8.5%	0.0%	14.0%	5.6%	14.0%
IV Percentile	14.1%	0.0%	30.2%	11.1%	30.2%
Term Structure	1.1%	-0.2%	1.8%	1.3%	-0.2%
VWIV	18.8%	16.5%	22.1%	18.2%	20.4%
Skew 25d	4.6%	3.0%	5.7%	3.7%	4.0%
Skew 10d	9.1%	5.7%	11.4%	8.2%	7.5%
Call IV 25d	15.9%	14.3%	18.0%	15.4%	18.0%
Put IV 25d	20.4%	17.3%	22.8%	19.1%	22.1%
Bid-Ask Spread %	2.29	1.89	3.20	2.72	2.29
Gamma HHI	0.08	0.06	0.11	0.06	0.08
Net GEX	-484.9M	-673.8M	-351.9M	-378.8M	-559.6M
Net DEX	4.04B	1.28B	7.27B	2.51B	5.12B
Net VEX	-47.7M	-51.3M	-42.8M	-51.3M	-42.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.02	1.00	2.75	1.66	2.72
Total Volume	336,692.476	215,601	640,620	315,599	246,160
Total OI	5,220,563.905	4,646,531	5,692,132	4,918,880	4,979,731

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
2012-10-01	$83.77	$85.00	18.1%	4.8%	14.5%	5.6%	18.2%	3.7%	1.3%	-378.8M	2.51B	-51.3M	1.66	2.72	118,594	197,005	1,505,380	3,413,500
2012-10-02	$83.80	$85.00	18.4%	4.7%	13.6%	6.1%	17.9%	3.8%	1.4%	-383.8M	2.43B	-51.2M	2.75	2.68	65,820	180,968	1,561,687	3,473,391
2012-10-03	$83.60	$85.00	19.6%	4.5%	13.6%	9.9%	16.7%	3.3%	1.8%	-403.2M	2.76B	-51.0M	2.03	3.20	91,901	186,559	1,581,002	3,550,111
2012-10-04	$84.17	$85.00	16.7%	4.5%	12.3%	3.8%	16.5%	3.0%	1.5%	-351.9M	1.67B	-50.5M	2.06	2.17	107,439	221,847	1,605,259	3,572,548
2012-10-05	$84.50	$85.00	14.1%	4.8%	12.1%	0.0%	16.9%	3.7%	1.6%	-377.9M	1.28B	-47.6M	1.71	2.30	160,531	273,740	1,646,197	3,631,187
2012-10-08	$83.63	$85.00	18.2%	5.0%	12.4%	9.4%	19.1%	4.6%	1.4%	-449.0M	2.81B	-50.3M	2.36	2.42	64,220	151,381	1,674,545	3,668,488
2012-10-09	$82.64	$85.00	18.4%	5.3%	13.1%	10.1%	19.8%	4.9%	1.3%	-614.2M	5.00B	-49.7M	2.69	2.20	112,106	301,756	1,678,590	3,678,841
2012-10-10	$82.40	$85.00	16.7%	5.3%	12.9%	6.1%	18.6%	4.8%	1.4%	-584.5M	5.19B	-49.4M	1.98	1.99	136,763	270,103	1,699,850	3,718,812
2012-10-11	$82.80	$85.00	17.4%	5.0%	11.6%	7.7%	17.9%	4.5%	1.6%	-587.9M	4.51B	-48.7M	1.75	2.02	90,400	158,281	1,715,988	3,742,292
2012-10-12	$82.02	$85.00	18.3%	5.2%	11.0%	9.7%	18.9%	4.8%	1.2%	-619.0M	5.87B	-48.1M	2.29	1.90	114,238	261,910	1,728,790	3,734,517
2012-10-15	$82.56	$85.00	17.4%	5.0%	11.4%	7.6%	18.7%	4.8%	1.4%	-512.2M	4.38B	-47.4M	1.00	2.16	152,354	153,121	1,741,127	3,719,881
2012-10-16	$83.30	$85.00	17.7%	5.1%	12.0%	8.3%	18.7%	4.7%	1.3%	-425.6M	3.11B	-47.0M	1.74	2.05	87,242	151,549	1,791,609	3,746,646
2012-10-17	$84.08	$85.00	16.5%	4.7%	12.6%	5.5%	17.6%	4.3%	1.6%	-367.4M	1.47B	-46.2M	2.15	2.05	89,482	192,201	1,806,969	3,804,672
2012-10-18	$83.26	$85.00	17.1%	4.9%	13.0%	7.0%	17.4%	4.3%	1.5%	-479.4M	3.25B	-46.0M	1.81	2.36	138,046	250,337	1,812,100	3,770,906
2012-10-19	$81.57	$85.00	17.9%	5.1%	14.6%	8.9%	18.7%	5.4%	1.4%	-673.8M	7.27B	-45.6M	1.98	2.89	214,890	425,730	1,842,433	3,849,699
2012-10-22	$82.04	$85.00	17.7%	5.1%	14.7%	8.5%	19.9%	5.0%	1.2%	-435.8M	4.49B	-45.4M	2.22	2.02	73,618	163,767	1,529,651	3,116,880
2012-10-23	$81.39	$85.00	19.8%	5.7%	14.3%	13.1%	20.6%	5.7%	0.4%	-473.0M	5.55B	-45.7M	2.09	2.26	152,410	319,200	1,560,807	3,194,574
2012-10-24	$81.34	$85.00	20.1%	5.8%	14.0%	13.8%	22.1%	5.6%	0.2%	-479.5M	5.52B	-45.8M	1.61	1.97	94,876	152,881	1,597,456	3,256,894
2012-10-25	$81.37	$85.00	20.0%	5.7%	13.0%	13.8%	20.8%	5.6%	0.1%	-482.5M	4.93B	-46.2M	1.86	1.89	88,218	164,071	1,617,498	3,309,195
2012-10-26	$81.23	$85.00	18.4%	5.5%	12.8%	10.0%	20.2%	5.0%	0.4%	-544.4M	5.69B	-45.4M	1.91	2.47	169,986	324,841	1,645,641	3,356,498
2012-10-31	$81.63	$85.00	20.1%	5.5%	12.9%	14.0%	20.4%	4.0%	-0.2%	-559.6M	5.12B	-42.8M	2.72	2.29	66,242	179,918	1,633,027	3,346,704