IWM Options History — December 2012

In December 2012, IWM traded between $81.98 and $84.74. ATM implied volatility averaged 18.4%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.1% (HV 20d: 16.4%). Max pain ranged from $80.00 to $86.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 3.20.

Notable Days

  • 2012-12-18: Highest Volume — 1,748,655 contracts
  • 2012-12-28: Largest IV spike — 14.1% change
  • 2012-12-28: Highest IV Rank — 23.7%
  • 2012-12-28: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.12$81.98$84.74$81.98$84.41
Max Pain$82.83$80.00$86.00$83.00$83.00
ATM IV18.4%15.9%23.2%17.9%20.0%
Expected Move5.3%4.5%6.7%5.1%5.7%
HV 20d16.4%11.0%21.1%21.1%14.8%
HV 60d16.2%15.9%17.1%16.7%17.1%
IV Rank11.4%4.7%23.7%9.9%15.3%
IV Percentile24.1%2.0%70.6%17.1%40.9%
Term Structure-0.0%-1.3%0.9%0.1%-0.1%
VWIV19.5%16.8%22.7%19.8%21.5%
Skew 25d5.2%3.4%6.8%5.4%5.8%
Skew 10d9.7%6.0%14.1%8.0%11.5%
Call IV 25d16.4%15.2%20.3%15.4%17.3%
Put IV 25d21.6%18.5%27.1%20.8%23.1%
Bid-Ask Spread %24.453.9995.8417.0017.37
Gamma HHI0.100.080.130.090.11
Net GEX-483.2M-805.6M96.2M-502.7M-76.5M
Net DEX1.40B-4.77B5.40B1.87B1.14B
Net VEX-37.1M-41.2M-28.6M-40.0M-33.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.236.464.542.16
Total Volume480,220.5262,3881,748,655318,427823,801
Total OI5,766,121.25,039,7116,300,6155,497,5935,335,657

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$81.98$83.0017.9%5.1%21.1%9.9%19.8%5.4%0.1%-502.7M1.87B-40.0M4.5417.0057,428260,9991,768,8923,728,701
2012-12-04$82.08$83.0018.3%5.3%20.9%11.0%20.3%5.5%0.0%-542.5M1.93B-40.0M6.4621.1060,147388,2461,769,3963,781,638
2012-12-05$82.00$83.0018.2%5.2%20.7%10.8%19.8%4.9%-0.1%-659.4M2.36B-41.0M2.5424.8485,253216,4221,789,4913,956,693
2012-12-06$82.15$0.0018.4%5.3%17.7%11.3%18.9%5.8%0.6%-623.3M2.26B-41.2M2.0295.84110,557223,8601,811,2844,009,097
2012-12-07$82.18$80.0018.2%5.2%17.1%10.8%18.6%4.3%-0.3%-679.4M2.00B-40.4M3.0527.3078,196238,2931,843,4834,087,031
2012-12-10$82.66$80.0017.6%5.1%17.2%9.3%18.5%4.3%0.1%-566.5M1.00B-38.7M2.0747.22119,837248,6091,819,4744,095,502
2012-12-11$83.59$81.0017.1%4.9%17.4%8.0%16.8%4.8%-0.1%-366.4M-769.9M-37.6M2.3614.07124,440293,6651,861,1754,103,450
2012-12-12$82.88$81.0018.0%5.2%17.5%10.3%19.0%4.9%-0.3%-565.0M898.3M-38.6M3.2812.0189,069292,3821,889,5384,170,590
2012-12-13$82.32$0.0018.8%5.4%15.8%12.3%18.8%4.5%-0.7%-745.5M2.45B-39.7M3.0332.6296,963294,1451,917,4404,274,027
2012-12-14$82.58$84.0017.9%5.2%15.5%10.1%19.3%5.2%-0.3%-805.6M1.96B-39.3M3.5937.3566,192237,3921,940,0394,360,576
2012-12-17$83.59$81.0016.7%4.8%15.7%6.9%18.8%4.8%0.9%-484.0M-883.2M-35.2M1.174.79166,089194,8611,900,2334,304,363
2012-12-18$84.74$81.0015.9%4.5%14.9%4.7%16.9%3.4%0.6%96.2M-4.77B-28.6M0.234.271,418,597330,0581,942,0684,314,103
2012-12-19$84.14$83.0018.0%5.2%15.2%10.3%19.9%4.9%0.3%-327.7M975.1M-34.4M4.153.9999,251411,9841,478,6044,388,249
2012-12-20$84.44$83.0018.2%5.2%15.0%10.7%18.7%5.1%0.1%-140.5M83.2M-35.0M1.6510.59130,013214,3691,475,0234,412,354
2012-12-21$84.21$83.0017.9%5.2%14.9%10.0%20.8%5.5%-1.3%-384.0M1.29B-36.0M5.168.62123,829638,4251,529,6734,477,530
2012-12-24$83.78$86.0018.6%5.3%15.1%11.8%19.9%5.9%0.1%-388.2M2.19B-35.8M4.0710.1651,764210,6241,356,0383,683,673
2012-12-26$83.40$86.0019.6%5.6%15.2%14.4%20.7%5.6%0.2%-560.8M2.97B-34.4M6.4512.1139,369253,8011,370,4683,798,817
2012-12-27$83.11$86.0020.3%5.8%14.6%16.3%21.2%6.3%0.2%-567.1M3.59B-36.1M2.9515.54121,546358,3861,383,6193,860,471
2012-12-28$82.08$84.0023.2%6.7%11.0%23.7%22.7%6.8%-0.3%-774.2M5.40B-37.3M3.1072.18106,330329,2181,398,4513,935,513
2012-12-31$84.41$83.0020.0%5.7%14.8%15.3%21.5%5.8%-0.1%-76.5M1.14B-33.6M2.1617.37260,986562,8151,387,5193,948,138