IWM Options History — November 2012

In November 2012, IWM traded between $76.83 and $82.56. ATM implied volatility averaged 19.4%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.1% (HV 20d: 18.3%). Max pain ranged from $77.00 to $84.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.36.

Notable Days

  • 2012-11-16: Highest Volume — 1,173,129 contracts
  • 2012-11-07: Largest IV drop — 24.8% change
  • 2012-11-06: Highest IV Rank — 35.6%
  • 2012-11-14: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.99$76.83$82.56$82.56$82.08
Max Pain$81.20$77.00$84.00$84.00$83.00
ATM IV19.4%16.4%27.8%19.3%17.5%
Expected Move5.4%4.7%6.0%5.0%5.0%
HV 20d18.3%13.7%22.6%13.7%22.2%
HV 60d14.9%12.5%17.0%12.5%16.7%
IV Rank13.7%6.1%35.6%12.1%8.9%
IV Percentile25.5%4.8%80.6%21.4%14.7%
Term Structure-0.2%-1.2%0.4%0.4%0.0%
VWIV19.5%16.2%23.0%19.6%19.1%
Skew 25d4.7%3.8%6.1%3.8%5.1%
Skew 10d9.1%7.3%10.5%7.8%8.6%
Call IV 25d16.6%14.1%19.1%16.0%15.1%
Put IV 25d21.3%19.2%23.7%19.9%20.1%
Bid-Ask Spread %5.341.7414.881.746.15
Gamma HHI0.090.070.150.070.08
Net GEX-607.1M-932.7M-317.7M-389.1M-415.9M
Net DEX6.32B497.4M13.11B3.05B1.24B
Net VEX-40.8M-44.3M-37.6M-43.0M-41.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.361.483.912.643.91
Total Volume495,227.048274,4021,173,129506,163532,380
Total OI5,348,711.1434,675,7575,926,1275,012,6245,509,907

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$82.56$84.0019.3%5.0%13.7%12.1%19.6%3.8%0.4%-389.1M3.05B-43.0M2.641.74139,015367,1481,648,1883,364,436
2012-11-02$81.01$84.0021.1%5.5%15.1%16.1%19.9%3.8%-0.1%-809.8M6.04B-42.2M3.252.41137,210445,5651,685,9033,436,289
2012-11-05$81.69$82.0026.3%5.5%15.2%31.7%20.0%5.3%-0.4%-568.8M5.08B-43.4M1.762.43158,507278,5041,720,8233,599,247
2012-11-06$82.37$82.0027.8%5.6%15.5%35.6%20.9%5.2%-0.5%-492.1M3.71B-44.3M3.402.5488,778302,2851,805,9663,696,759
2012-11-07$80.04$82.0020.9%6.0%18.1%17.7%21.1%5.4%-0.4%-834.3M9.01B-42.7M3.342.34199,438666,7031,836,7713,794,912
2012-11-08$79.15$82.0019.6%6.0%18.0%14.4%21.1%5.2%-0.4%-826.6M10.51B-42.6M2.502.23114,242286,1151,892,0733,853,437
2012-11-09$79.45$82.0019.6%5.9%18.2%14.4%20.8%4.9%-0.3%-932.7M9.79B-42.5M1.742.74165,977289,5921,925,1203,821,224
2012-11-12$79.23$82.0020.2%5.8%18.0%15.9%20.3%4.6%-0.3%-760.9M9.39B-40.6M1.482.16110,763163,6391,879,6293,721,350
2012-11-13$78.74$82.0018.7%5.6%17.8%12.1%20.3%4.5%-0.2%-785.1M10.36B-39.6M2.492.6290,461225,2021,931,8193,749,363
2012-11-14$77.16$82.0019.4%6.0%18.7%14.0%21.2%4.4%-0.2%-841.8M12.57B-38.4M2.002.64199,543398,9431,946,0733,782,285
2012-11-15$76.83$0.0020.8%6.0%18.1%17.6%23.0%4.1%0.1%-842.7M13.11B-37.6M2.257.33262,316590,4562,046,9313,773,703
2012-11-16$77.54$77.0018.8%5.4%18.1%12.4%20.2%3.9%0.1%-548.5M11.60B-38.0M2.187.97369,479803,6502,115,2703,810,857
2012-11-19$79.17$81.0017.3%5.0%19.9%8.3%18.5%4.2%0.0%-502.5M5.38B-39.3M1.632.35123,619201,8651,546,5283,129,229
2012-11-20$78.94$81.0017.2%4.9%18.8%8.2%17.9%4.7%0.2%-489.0M4.89B-39.6M2.873.2980,177229,8611,577,9923,158,380
2012-11-21$79.68$81.0016.4%4.7%19.0%6.1%18.2%4.1%0.0%-487.6M4.63B-40.0M1.905.7199,945190,1621,602,2653,247,235
2012-11-23$80.47$81.0017.6%5.0%19.3%9.1%18.4%4.3%-0.0%-419.3M3.10B-40.7M1.9814.8896,455191,2981,633,9943,321,176
2012-11-26$80.83$79.0017.0%4.8%19.3%7.5%16.9%4.9%-0.0%-503.9M3.17B-40.1M1.6310.44112,459183,6521,631,5203,349,327
2012-11-27$80.67$79.0017.3%4.9%19.3%8.4%16.2%4.8%-0.1%-500.5M3.27B-39.6M1.999.43190,499378,8721,680,3323,404,321
2012-11-28$79.81$79.0018.0%5.2%19.7%10.3%17.8%6.1%-1.2%-479.3M2.39B-40.9M2.6311.19117,824310,0611,710,8993,581,976
2012-11-29$82.28$79.0017.0%4.9%22.6%7.5%18.0%4.8%-0.1%-317.7M497.4M-39.6M2.069.49165,703341,4051,770,3433,629,082
2012-11-30$82.08$83.0017.5%5.0%22.2%8.9%19.1%5.1%0.0%-415.9M1.24B-41.3M3.916.15108,339424,0411,801,4053,708,502