IWM Options History — January 2013

In January 2013, IWM traded between $86.66 and $90.14. ATM implied volatility averaged 14.8%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 1.3% (HV 20d: 16.1%). Max pain ranged from $83.00 to $90.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.92.

Notable Days

2013-01-24: Highest Volume — 771,602 contracts
2013-01-18: Largest IV drop — 15.1% change
2013-01-30: Highest IV Rank — 7.3%
2013-01-02: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.21	$86.66	$90.14	$86.87	$89.73
Max Pain	$86.60	$83.00	$90.00	$83.00	$90.00
ATM IV	14.8%	12.6%	16.3%	16.3%	15.2%
Expected Move	4.2%	3.6%	4.7%	4.7%	4.3%
HV 20d	16.1%	8.8%	17.8%	17.7%	8.8%
HV 60d	17.3%	16.5%	18.1%	18.1%	16.5%
IV Rank	3.4%	0.0%	7.3%	5.7%	6.5%
IV Percentile	2.2%	0.0%	7.5%	4.8%	6.0%
Term Structure	1.1%	0.4%	2.5%	0.7%	0.9%
VWIV	15.8%	14.0%	18.4%	17.8%	18.4%
Skew 25d	3.8%	3.2%	4.7%	4.7%	4.5%
Skew 10d	7.7%	6.3%	9.1%	9.1%	8.2%
Call IV 25d	13.2%	11.3%	14.5%	14.5%	13.7%
Put IV 25d	17.0%	14.9%	19.2%	19.2%	18.1%
Bid-Ask Spread %	10.09	1.91	30.94	10.37	12.57
Gamma HHI	0.07	0.07	0.08	0.07	0.07
Net GEX	-230.4M	-814.9M	37.0M	37.0M	-608.8M
Net DEX	-823.0M	-1.87B	2.00B	-1.87B	183.3M
Net VEX	-38.9M	-46.7M	-29.5M	-29.5M	-46.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.92	1.40	4.69	2.30	3.04
Total Volume	495,165.714	268,565	771,602	686,707	573,327
Total OI	5,116,180.81	4,119,627	5,916,652	4,119,627	5,842,135

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
2013-01-02	$86.87	$83.00	16.3%	4.7%	17.7%	5.7%	17.8%	4.7%	0.7%	37.0M	-1.87B	-29.5M	2.30	10.37	207,894	478,813	1,041,969	3,077,658
2013-01-03	$86.66	$84.00	15.7%	4.5%	17.8%	4.3%	15.7%	4.0%	0.7%	-60.4M	-1.29B	-31.6M	4.69	8.97	122,352	574,340	1,115,255	3,274,088
2013-01-04	$87.01	$84.00	15.1%	4.3%	17.7%	2.8%	15.6%	3.6%	1.2%	-3.4M	-1.73B	-32.0M	2.10	12.91	124,840	262,648	1,158,371	3,337,529
2013-01-07	$86.91	$85.00	15.1%	4.3%	17.8%	2.6%	14.8%	3.8%	1.0%	-74.3M	-884.4M	-33.4M	3.02	7.39	66,797	201,768	1,130,266	3,312,638
2013-01-08	$86.96	$85.00	14.9%	4.3%	17.8%	2.1%	16.4%	3.2%	1.1%	-102.7M	-832.4M	-33.4M	3.95	10.09	65,193	257,577	1,151,517	3,378,605
2013-01-09	$87.33	$86.00	14.3%	4.1%	17.7%	0.7%	16.0%	3.3%	1.5%	-71.8M	-1.09B	-34.4M	1.97	6.34	126,356	248,871	1,179,997	3,504,606
2013-01-10	$87.47	$0.00	15.5%	4.4%	17.5%	3.8%	14.0%	3.9%	0.4%	-50.3M	-1.32B	-35.2M	3.58	17.17	161,963	579,483	1,235,212	3,639,135
2013-01-11	$87.31	$87.00	15.3%	4.3%	17.1%	3.3%	15.9%	3.2%	0.8%	-160.8M	-439.1M	-39.8M	3.80	15.59	89,478	340,166	1,317,732	3,925,073
2013-01-14	$87.32	$86.00	15.8%	4.5%	16.7%	4.4%	16.7%	4.2%	2.3%	-213.8M	-31.3M	-39.9M	2.95	14.41	70,653	208,195	1,302,289	4,021,211
2013-01-15	$87.72	$86.00	14.9%	4.3%	16.7%	2.2%	16.4%	4.2%	2.5%	-181.2M	-472.2M	-39.8M	2.52	2.27	107,282	270,641	1,323,045	4,125,631
2013-01-16	$87.47	$86.00	15.3%	4.4%	16.5%	3.2%	15.5%	4.2%	2.4%	-294.5M	252.8M	-41.2M	1.40	2.93	141,487	198,170	1,371,553	4,244,059
2013-01-17	$88.35	$86.00	14.8%	4.2%	16.2%	1.9%	15.8%	4.0%	0.7%	-128.3M	-1.37B	-40.7M	1.75	1.91	150,106	262,446	1,430,763	4,317,270
2013-01-18	$88.62	$87.00	12.6%	3.6%	15.9%	0.0%	14.0%	3.5%	0.8%	-113.4M	-1.87B	-40.3M	2.01	4.19	233,156	469,665	1,482,286	4,434,366
2013-01-22	$89.38	$86.00	13.1%	3.8%	16.0%	1.2%	14.8%	3.7%	1.8%	-222.4M	-1.38B	-38.3M	3.13	30.94	154,984	484,930	1,227,753	3,440,191
2013-01-23	$89.05	$87.00	13.5%	3.9%	16.0%	2.2%	14.2%	3.7%	1.5%	-350.6M	-489.7M	-41.4M	4.56	10.80	87,617	399,599	1,301,995	3,630,139
2013-01-24	$89.42	$88.00	14.1%	4.0%	15.8%	3.7%	15.5%	3.4%	0.8%	-365.7M	-830.1M	-41.8M	2.33	4.57	231,386	540,216	1,326,422	3,777,734
2013-01-25	$89.84	$89.00	13.9%	3.9%	15.5%	3.2%	15.3%	3.4%	0.7%	-295.5M	-1.23B	-43.7M	2.92	14.06	139,797	408,391	1,412,657	3,980,544
2013-01-28	$90.03	$89.00	14.8%	4.3%	15.3%	5.5%	16.9%	4.1%	0.8%	-407.8M	-1.07B	-44.3M	1.56	6.33	152,895	237,797	1,426,631	4,048,870
2013-01-29	$90.14	$89.00	14.8%	4.2%	14.0%	5.4%	15.4%	4.0%	0.7%	-355.3M	-1.53B	-42.7M	3.43	7.02	92,987	318,891	1,454,222	4,027,465
2013-01-30	$88.82	$89.00	15.5%	4.4%	12.8%	7.3%	16.0%	3.8%	0.6%	-814.9M	2.00B	-46.7M	4.29	11.16	104,971	450,352	1,478,798	4,232,117
2013-01-31	$89.73	$90.00	15.2%	4.3%	8.8%	6.5%	18.4%	4.5%	0.9%	-608.8M	183.3M	-46.6M	3.04	12.57	141,931	431,396	1,515,027	4,327,108