IWM Options History — March 2013

In March 2013, IWM traded between $90.92 and $94.76. ATM implied volatility averaged 14.0%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.8% (HV 20d: 13.2%). Max pain ranged from $90.00 to $94.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.58.

Notable Days

2013-03-19: Highest Volume — 898,995 contracts
2013-03-18: Largest IV spike — 15.9% change
2013-03-01: Highest IV Rank — 9.1%
2013-03-01: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.60	$90.92	$94.76	$90.92	$94.31
Max Pain	$92.37	$90.00	$94.00	$91.00	$93.00
ATM IV	14.0%	12.2%	16.2%	16.2%	14.6%
Expected Move	4.0%	3.5%	4.6%	4.6%	4.2%
HV 20d	13.2%	7.9%	15.2%	15.0%	7.9%
HV 60d	13.9%	12.2%	14.4%	14.1%	12.2%
IV Rank	3.9%	0.0%	9.1%	9.1%	5.8%
IV Percentile	6.4%	0.0%	18.7%	18.7%	10.3%
Term Structure	0.5%	-0.4%	1.3%	0.2%	-0.4%
VWIV	15.0%	12.5%	19.0%	19.0%	14.5%
Skew 25d	4.5%	3.4%	5.9%	5.9%	4.8%
Skew 10d	8.8%	5.9%	10.9%	10.9%	10.2%
Call IV 25d	12.3%	11.2%	13.7%	13.7%	12.5%
Put IV 25d	16.8%	15.0%	19.6%	19.6%	17.3%
Bid-Ask Spread %	9.28	3.67	27.00	12.40	11.29
Gamma HHI	0.08	0.06	0.10	0.08	0.07
Net GEX	-306.4M	-889.8M	248.9M	-853.4M	-355.6M
Net DEX	-2.09B	-7.39B	2.26B	2.26B	129.8M
Net VEX	-43.6M	-51.3M	-38.1M	-51.3M	-48.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.58	1.12	5.31	2.47	1.58
Total Volume	501,662.45	258,574	898,995	583,003	360,058
Total OI	6,390,245.2	4,805,316	7,397,527	7,134,189	5,803,848

Daily Data (20 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
2013-03-01	$90.92	$91.00	16.2%	4.6%	15.0%	9.1%	19.0%	5.9%	0.2%	-853.4M	2.26B	-51.3M	2.47	12.40	167,943	415,060	1,707,922	5,426,267
2013-03-04	$91.17	$90.00	15.6%	4.5%	14.8%	7.5%	15.5%	5.8%	0.3%	-889.8M	1.49B	-48.2M	3.13	5.53	62,618	195,956	1,660,305	5,326,513
2013-03-05	$92.08	$90.00	14.6%	4.2%	14.6%	5.1%	15.2%	5.0%	0.6%	-527.8M	-1.30B	-45.6M	5.19	27.00	130,578	677,822	1,685,977	5,408,589
2013-03-06	$92.30	$91.00	14.3%	4.1%	14.4%	4.4%	14.0%	4.8%	0.4%	-339.2M	-2.31B	-43.2M	2.68	8.53	92,216	247,025	1,696,812	5,462,417
2013-03-07	$92.38	$92.00	14.2%	4.1%	14.4%	4.2%	15.6%	4.7%	0.6%	-73.4M	-4.03B	-42.0M	2.89	5.16	112,200	323,985	1,717,309	5,362,336
2013-03-08	$93.60	$92.00	12.7%	3.6%	14.9%	0.4%	13.5%	4.1%	0.5%	248.9M	-5.92B	-40.0M	1.66	19.45	271,796	450,995	1,760,858	5,494,337
2013-03-11	$93.55	$92.00	13.1%	3.8%	14.8%	1.4%	14.6%	3.6%	0.5%	-2.1M	-5.25B	-39.7M	2.27	3.67	128,413	291,661	1,714,730	5,456,250
2013-03-12	$93.56	$92.00	13.4%	3.8%	14.8%	2.1%	13.5%	3.7%	0.6%	-170.5M	-4.35B	-42.1M	2.61	8.54	84,044	219,010	1,771,922	5,563,497
2013-03-13	$93.94	$92.00	12.8%	3.7%	14.8%	0.5%	12.9%	3.8%	0.5%	18.4M	-5.77B	-38.7M	2.94	6.86	96,057	282,160	1,762,455	5,595,588
2013-03-14	$94.76	$0.00	12.2%	3.5%	15.0%	0.0%	12.5%	3.8%	0.0%	96.8M	-7.39B	-38.1M	1.12	15.10	258,260	288,032	1,770,100	5,477,351
2013-03-15	$94.64	$94.00	12.3%	3.5%	15.1%	0.1%	13.0%	4.2%	-0.2%	51.1M	-7.13B	-38.7M	1.35	9.79	314,594	424,556	1,844,045	5,553,482
2013-03-18	$94.32	$93.00	14.2%	4.0%	15.2%	5.0%	16.7%	4.4%	1.3%	-283.5M	-579.9M	-41.6M	5.31	10.80	76,319	404,917	1,133,173	3,672,143
2013-03-19	$93.81	$93.00	14.8%	4.2%	15.0%	6.3%	17.9%	5.3%	1.0%	-516.1M	939.5M	-44.4M	2.60	4.10	249,787	649,208	1,154,486	3,831,682
2013-03-20	$94.38	$93.00	13.9%	4.0%	12.8%	4.0%	15.8%	4.7%	1.3%	-445.8M	-120.0M	-46.0M	2.37	4.29	102,252	242,478	1,264,151	4,073,605
2013-03-21	$94.70	$93.00	12.9%	3.7%	12.3%	1.6%	14.1%	3.4%	0.6%	-427.1M	-1.18B	-41.6M	2.32	4.29	124,460	288,444	1,296,089	4,090,939
2013-03-22	$94.33	$93.00	14.6%	4.2%	12.1%	5.9%	15.6%	4.7%	0.4%	-543.0M	-447.5M	-46.5M	1.42	4.41	185,290	263,616	1,353,117	4,176,091
2013-03-25	$94.70	$94.00	13.4%	3.9%	8.4%	2.8%	14.5%	3.4%	1.0%	-259.4M	-1.12B	-41.3M	2.22	8.83	221,702	491,666	1,262,504	4,140,143
2013-03-26	$94.31	$94.00	14.6%	4.2%	8.8%	6.0%	16.1%	5.0%	0.7%	-413.7M	184.8M	-48.1M	3.11	9.33	91,341	284,189	1,340,863	4,293,449
2013-03-27	$94.31	$93.00	14.6%	4.2%	7.9%	5.9%	15.1%	4.7%	0.9%	-442.7M	163.8M	-47.2M	2.45	6.15	133,908	328,633	1,360,082	4,339,477
2013-03-28	$94.31	$93.00	14.6%	4.2%	7.9%	5.8%	14.5%	4.8%	-0.4%	-355.6M	129.8M	-48.8M	1.58	11.29	139,381	220,677	1,397,039	4,406,809