IWM Options History — February 2013

In February 2013, IWM traded between $89.08 and $92.67. ATM implied volatility averaged 15.1%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.5% (HV 20d: 11.7%). Max pain ranged from $89.00 to $94.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 3.88.

Notable Days

2013-02-21: Highest Volume — 838,635 contracts
2013-02-20: Largest IV spike — 23.6% change
2013-02-25: Highest IV Rank — 15.0%
2013-02-25: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.60	$89.08	$92.67	$90.34	$90.33
Max Pain	$90.83	$89.00	$94.00	$89.00	$91.00
ATM IV	15.1%	12.6%	18.6%	14.6%	17.0%
Expected Move	4.3%	3.6%	5.3%	4.2%	4.9%
HV 20d	11.7%	8.9%	16.2%	8.9%	15.2%
HV 60d	14.8%	13.7%	16.6%	16.4%	14.1%
IV Rank	6.4%	0.0%	15.0%	5.1%	11.2%
IV Percentile	10.8%	0.0%	42.1%	2.8%	25.8%
Term Structure	0.3%	-0.7%	1.0%	1.0%	-0.3%
VWIV	16.1%	12.1%	19.1%	16.2%	18.6%
Skew 25d	4.6%	3.6%	6.6%	3.6%	5.6%
Skew 10d	9.5%	7.4%	12.7%	7.4%	10.7%
Call IV 25d	13.1%	11.4%	15.5%	12.9%	14.5%
Put IV 25d	17.8%	15.5%	22.1%	16.5%	20.1%
Bid-Ask Spread %	9.73	2.23	46.38	12.28	5.44
Gamma HHI	0.08	0.07	0.11	0.07	0.08
Net GEX	-688.6M	-1.37B	-278.7M	-344.7M	-1.14B
Net DEX	721.4M	-2.91B	7.18B	-1.46B	4.17B
Net VEX	-47.3M	-53.0M	-40.8M	-46.5M	-53.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.88	1.78	12.25	1.99	4.04
Total Volume	557,787.579	268,022	838,635	552,596	549,747
Total OI	6,477,825.579	5,971,244	7,221,626	6,113,611	6,910,601

Daily Data (19 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
2013-02-01	$90.34	$89.00	14.6%	4.2%	8.9%	5.1%	16.2%	3.6%	1.0%	-344.7M	-1.46B	-46.5M	1.99	12.28	185,073	367,523	1,574,599	4,539,012
2013-02-04	$89.41	$90.00	16.1%	4.6%	9.9%	8.9%	17.1%	3.8%	0.5%	-682.5M	1.33B	-47.8M	4.62	6.27	54,878	253,474	1,562,039	4,409,205
2013-02-05	$90.11	$89.00	15.1%	4.3%	10.1%	6.2%	15.5%	3.8%	0.5%	-508.7M	-344.0M	-46.4M	4.43	5.78	72,779	322,311	1,574,189	4,454,594
2013-02-06	$90.44	$90.00	14.9%	4.3%	10.1%	5.8%	16.0%	3.7%	0.6%	-465.5M	-896.9M	-45.1M	1.79	5.53	96,084	171,938	1,606,400	4,524,952
2013-02-07	$90.15	$0.00	14.9%	4.3%	10.2%	5.9%	14.9%	4.1%	0.2%	-587.3M	-396.8M	-45.9M	7.68	8.59	73,385	563,655	1,625,425	4,570,108
2013-02-08	$90.73	$91.00	13.9%	4.0%	10.3%	3.2%	14.7%	3.8%	0.2%	-331.4M	-1.90B	-43.9M	1.78	7.44	181,884	323,373	1,630,301	4,739,686
2013-02-11	$90.72	$90.00	14.0%	4.0%	10.3%	3.4%	16.5%	4.3%	0.6%	-360.8M	-1.58B	-43.0M	12.25	3.11	52,841	647,306	1,659,212	4,657,989
2013-02-12	$91.10	$90.00	14.0%	4.0%	10.3%	3.7%	14.9%	4.5%	0.7%	-348.5M	-1.88B	-44.2M	2.47	3.95	137,949	340,466	1,646,459	5,006,525
2013-02-13	$91.48	$90.00	14.2%	4.1%	10.3%	4.2%	15.5%	4.4%	0.7%	-395.3M	-2.33B	-44.5M	5.63	3.50	77,905	438,759	1,670,041	5,265,147
2013-02-14	$91.64	$90.00	13.0%	3.7%	10.1%	0.9%	14.6%	4.0%	0.9%	-334.4M	-2.59B	-44.3M	2.24	2.23	146,825	329,386	1,652,083	5,366,827
2013-02-15	$91.74	$90.00	13.0%	3.7%	9.7%	1.1%	14.4%	4.0%	0.9%	-278.7M	-2.61B	-45.0M	1.94	11.79	276,635	535,598	1,693,192	5,528,434
2013-02-19	$92.67	$94.00	12.6%	3.6%	10.1%	0.0%	12.1%	4.3%	0.3%	-300.1M	-2.91B	-40.8M	2.37	46.38	133,966	318,073	1,423,364	4,637,256
2013-02-20	$90.76	$93.00	15.5%	4.5%	12.7%	7.4%	15.5%	4.9%	-0.4%	-929.4M	2.44B	-49.6M	4.86	15.15	131,198	637,444	1,488,305	4,751,523
2013-02-21	$90.08	$93.00	16.1%	4.6%	13.0%	8.9%	16.4%	5.2%	-0.4%	-1.25B	4.90B	-52.1M	2.53	10.13	237,643	600,992	1,521,987	4,946,046
2013-02-22	$91.01	$92.00	15.3%	4.4%	13.4%	7.0%	17.4%	5.0%	0.2%	-1.16B	2.07B	-51.4M	3.98	19.82	100,116	398,534	1,583,679	4,973,646
2013-02-25	$89.08	$91.00	18.6%	5.3%	15.4%	15.0%	19.1%	6.6%	-0.7%	-1.24B	7.08B	-52.6M	3.43	5.47	154,493	529,667	1,520,764	4,958,225
2013-02-26	$89.25	$91.00	17.8%	5.1%	15.4%	13.1%	17.8%	6.3%	-0.2%	-1.37B	7.18B	-52.5M	2.87	5.68	170,267	488,331	1,577,340	5,040,202
2013-02-27	$90.45	$91.00	16.7%	4.8%	16.2%	10.3%	18.5%	5.9%	-0.1%	-1.05B	3.44B	-50.5M	2.88	6.24	128,328	369,138	1,624,937	5,164,392
2013-02-28	$90.33	$91.00	17.0%	4.9%	15.2%	11.2%	18.6%	5.6%	-0.3%	-1.14B	4.17B	-53.0M	4.04	5.44	109,115	440,632	1,663,016	5,247,585