IWM Options History — April 2013

In April 2013, IWM traded between $89.47 and $94.21. ATM implied volatility averaged 17.0%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.6% (HV 20d: 16.4%). Max pain ranged from $88.00 to $95.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.01.

Notable Days

2013-04-15: Highest Volume — 1,688,348 contracts
2013-04-15: Largest IV spike — 33.1% change
2013-04-18: Highest IV Rank — 22.2%
2013-04-18: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.23	$89.47	$94.21	$93.07	$94.21
Max Pain	$92.50	$88.00	$95.50	$95.50	$93.50
ATM IV	17.0%	14.3%	21.2%	16.0%	16.7%
Expected Move	4.9%	4.1%	6.1%	4.6%	4.8%
HV 20d	16.4%	8.6%	23.1%	9.4%	22.8%
HV 60d	14.1%	11.2%	16.7%	11.2%	16.4%
IV Rank	11.9%	5.2%	22.2%	9.2%	11.2%
IV Percentile	36.7%	9.5%	75.0%	23.0%	35.3%
Term Structure	-0.0%	-0.6%	0.7%	0.2%	0.4%
VWIV	17.9%	15.2%	21.8%	17.6%	18.0%
Skew 25d	5.2%	3.3%	6.7%	5.1%	5.4%
Skew 10d	9.9%	6.0%	12.4%	10.0%	10.4%
Call IV 25d	14.7%	12.7%	17.8%	13.8%	14.2%
Put IV 25d	19.9%	16.4%	24.2%	18.9%	19.7%
Bid-Ask Spread %	10.93	2.92	42.07	7.43	5.78
Gamma HHI	0.09	0.07	0.19	0.08	0.07
Net GEX	-952.6M	-1.53B	-496.6M	-640.8M	-496.6M
Net DEX	5.22B	385.7M	13.01B	2.80B	957.3M
Net VEX	-52.0M	-57.7M	-44.9M	-49.2M	-50.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.01	1.53	5.37	2.71	3.49
Total Volume	696,872.636	360,289	1,688,348	573,793	413,220
Total OI	5,708,174.955	4,825,902	6,596,306	4,825,902	5,658,918

Daily Data (22 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
2013-04-01	$93.07	$95.50	16.0%	4.6%	9.4%	9.2%	17.6%	5.1%	0.2%	-640.8M	2.80B	-49.2M	2.71	7.43	154,646	419,147	1,366,224	3,459,678
2013-04-02	$92.68	$95.00	15.7%	4.5%	9.5%	8.6%	15.3%	5.3%	-0.2%	-793.2M	3.68B	-50.2M	1.53	8.66	184,750	281,802	1,439,445	3,646,175
2013-04-03	$92.18	$94.50	15.4%	4.4%	9.1%	7.8%	15.2%	3.3%	0.1%	-1.32B	5.57B	-44.9M	2.10	17.60	341,784	717,430	1,443,520	3,703,556
2013-04-04	$91.89	$93.50	16.3%	4.7%	9.2%	10.1%	17.2%	5.4%	0.1%	-1.01B	6.05B	-52.1M	4.11	6.16	140,364	576,842	1,501,354	3,859,685
2013-04-05	$91.73	$92.50	16.9%	4.8%	9.2%	11.6%	15.6%	4.9%	-0.5%	-1.13B	6.74B	-51.5M	3.32	17.63	188,876	627,845	1,494,784	4,016,255
2013-04-08	$92.63	$92.50	15.6%	4.5%	8.6%	8.3%	16.4%	4.9%	-0.1%	-854.5M	3.93B	-49.4M	3.46	10.33	80,839	279,450	1,401,630	4,025,329
2013-04-09	$92.24	$92.50	16.0%	4.6%	8.7%	9.3%	16.1%	4.6%	0.2%	-964.2M	4.79B	-48.8M	2.01	10.73	173,384	348,340	1,412,679	4,095,172
2013-04-10	$93.95	$92.50	14.3%	4.1%	11.0%	5.2%	15.7%	3.8%	0.4%	-509.9M	806.0M	-48.3M	2.24	5.44	243,356	544,767	1,477,848	4,205,275
2013-04-11	$94.15	$0.00	14.7%	4.2%	10.9%	6.1%	15.5%	4.0%	0.1%	-511.8M	385.7M	-50.1M	1.93	35.63	192,398	371,451	1,592,221	4,416,154
2013-04-12	$93.50	$92.00	14.9%	4.2%	10.7%	6.7%	15.5%	3.8%	0.7%	-871.4M	2.30B	-52.6M	3.25	42.07	117,375	382,026	1,590,762	4,510,914
2013-04-15	$89.47	$94.00	19.9%	5.7%	18.8%	19.0%	20.0%	4.9%	-0.6%	-1.39B	12.72B	-54.3M	4.06	11.57	333,394	1,354,954	1,537,703	4,454,248
2013-04-16	$91.59	$94.00	17.2%	4.9%	21.0%	12.4%	20.7%	5.2%	0.3%	-1.37B	7.67B	-55.6M	3.74	2.92	220,190	823,044	1,631,204	4,720,583
2013-04-17	$90.06	$94.00	19.7%	5.6%	21.6%	18.4%	21.0%	6.1%	-0.4%	-1.53B	11.96B	-57.7M	5.37	3.14	201,004	1,080,313	1,674,629	4,921,677
2013-04-18	$89.47	$94.00	21.2%	6.1%	21.5%	22.2%	21.8%	6.4%	-0.1%	-1.51B	13.01B	-56.4M	2.34	4.06	225,368	526,898	1,680,237	4,860,916
2013-04-19	$90.34	$94.00	19.3%	5.5%	21.8%	17.6%	21.0%	6.7%	0.1%	-1.19B	10.34B	-54.8M	2.75	10.24	218,510	600,651	1,732,253	4,808,490
2013-04-22	$90.89	$88.00	18.6%	5.3%	22.0%	15.7%	19.4%	6.2%	-0.4%	-895.4M	6.72B	-54.2M	2.48	5.52	142,593	354,012	1,330,535	3,876,890
2013-04-23	$92.35	$89.00	17.7%	5.1%	22.8%	13.6%	18.4%	5.9%	-0.2%	-717.5M	3.80B	-53.1M	2.76	6.82	141,836	392,026	1,389,226	3,990,515
2013-04-24	$92.70	$89.00	16.7%	4.8%	22.9%	11.0%	20.4%	5.7%	0.3%	-685.9M	3.17B	-53.2M	2.88	5.18	104,574	301,610	1,427,878	4,132,601
2013-04-25	$93.40	$89.00	17.7%	5.1%	23.0%	13.5%	17.1%	5.7%	-0.6%	-555.5M	1.87B	-52.8M	3.59	7.43	139,500	500,221	1,445,068	4,182,233
2013-04-26	$92.88	$90.00	17.3%	5.0%	23.1%	12.6%	17.1%	5.8%	-0.3%	-1.40B	3.53B	-53.7M	2.52	8.13	147,888	372,931	1,479,449	4,369,568
2013-04-29	$93.58	$93.50	17.0%	4.9%	22.8%	11.8%	19.7%	5.6%	-0.1%	-606.9M	2.10B	-51.7M	3.52	7.99	81,755	287,834	1,460,070	4,156,298
2013-04-30	$94.21	$93.50	16.7%	4.8%	22.8%	11.2%	18.0%	5.4%	0.4%	-496.6M	957.3M	-50.4M	3.49	5.78	91,930	321,290	1,468,450	4,190,468