IWM Options History — May 2013

In May 2013, IWM traded between $91.76 and $99.23. ATM implied volatility averaged 17.1%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.7% (HV 20d: 18.8%). Max pain ranged from $93.00 to $98.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 3.01.

Notable Days

2013-05-09: Highest Volume — 842,430 contracts
2013-05-17: Largest IV drop — 11.4% change
2013-05-31: Highest IV Rank — 17.9%
2013-05-31: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$97.14	$91.76	$99.23	$91.76	$97.75
Max Pain	$95.74	$93.00	$98.00	$94.00	$96.00
ATM IV	17.1%	15.3%	19.5%	18.9%	19.5%
Expected Move	4.9%	4.4%	5.6%	5.4%	5.6%
HV 20d	18.8%	11.6%	25.9%	24.7%	11.7%
HV 60d	17.2%	16.4%	17.9%	17.2%	16.8%
IV Rank	12.1%	7.7%	17.9%	16.5%	17.9%
IV Percentile	42.6%	19.4%	71.4%	61.1%	71.4%
Term Structure	0.2%	-0.4%	0.7%	-0.3%	0.2%
VWIV	18.2%	16.0%	21.0%	19.2%	21.0%
Skew 25d	4.7%	3.9%	5.5%	5.5%	5.5%
Skew 10d	8.9%	7.1%	10.7%	10.1%	10.7%
Call IV 25d	15.1%	13.8%	17.2%	16.5%	17.2%
Put IV 25d	19.8%	17.7%	22.7%	22.0%	22.7%
Bid-Ask Spread %	7.16	2.63	22.91	14.92	4.91
Gamma HHI	0.07	0.04	0.18	0.08	0.06
Net GEX	-397.0M	-1.03B	143.3M	-1.03B	-700.3M
Net DEX	-1.06B	-5.29B	6.34B	6.34B	1.17B
Net VEX	-51.0M	-54.2M	-47.2M	-54.0M	-54.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.01	1.74	6.22	3.39	3.06
Total Volume	568,570.273	335,426	842,430	821,909	493,456
Total OI	6,040,943.136	5,115,863	7,065,525	5,785,227	5,867,128

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
2013-05-01	$91.76	$94.00	18.9%	5.4%	24.7%	16.5%	19.2%	5.5%	-0.3%	-1.03B	6.34B	-54.0M	3.39	14.92	187,113	634,796	1,505,727	4,279,500
2013-05-02	$93.28	$94.00	17.3%	5.0%	25.4%	12.7%	18.8%	5.3%	0.1%	-735.6M	3.14B	-52.9M	3.18	8.91	131,894	419,013	1,547,697	4,409,619
2013-05-03	$94.73	$94.00	16.9%	4.8%	25.9%	11.5%	17.9%	4.9%	0.2%	-360.1M	-85.5M	-51.5M	2.63	16.80	226,080	595,667	1,587,849	4,558,320
2013-05-06	$95.40	$93.00	16.0%	4.6%	25.8%	9.4%	19.2%	4.8%	0.5%	-371.3M	-575.1M	-49.6M	3.40	14.16	104,736	355,807	1,531,597	4,415,793
2013-05-07	$96.08	$93.00	16.1%	4.6%	25.8%	9.7%	16.8%	4.9%	0.2%	-181.0M	-1.93B	-48.9M	3.65	4.97	108,923	397,637	1,553,641	4,436,337
2013-05-08	$96.46	$94.00	16.1%	4.6%	25.1%	9.5%	16.5%	4.7%	0.7%	-165.3M	-2.21B	-49.0M	2.11	7.34	161,293	340,076	1,572,494	4,592,723
2013-05-09	$96.17	$95.50	17.1%	4.9%	25.1%	12.1%	17.9%	4.8%	0.2%	-333.2M	-1.12B	-51.9M	6.22	5.78	116,689	725,741	1,604,436	4,711,354
2013-05-10	$96.89	$96.00	16.3%	4.7%	25.0%	10.1%	16.7%	4.5%	-0.1%	-139.3M	-2.04B	-51.6M	2.04	5.20	238,661	486,283	1,627,306	5,004,987
2013-05-13	$96.85	$97.00	17.1%	4.9%	18.3%	12.2%	17.1%	4.4%	-0.4%	-372.0M	-1.51B	-52.1M	2.32	5.25	105,953	245,313	1,662,636	4,998,208
2013-05-14	$97.97	$97.00	17.1%	4.9%	17.1%	12.0%	18.5%	4.5%	-0.2%	-76.7M	-3.97B	-49.8M	1.87	5.91	201,133	376,319	1,686,451	5,083,023
2013-05-15	$98.26	$97.00	17.0%	4.9%	15.3%	11.9%	19.3%	4.3%	0.2%	-28.5M	-4.11B	-50.4M	2.65	5.58	151,979	402,564	1,708,544	5,193,139
2013-05-16	$98.03	$0.00	17.3%	5.0%	15.0%	12.6%	17.4%	4.6%	-0.3%	-138.6M	-3.37B	-50.3M	2.62	6.87	159,123	417,688	1,705,609	5,185,880
2013-05-17	$98.98	$98.00	15.3%	4.4%	15.0%	7.7%	16.0%	3.9%	0.0%	143.3M	-5.29B	-48.1M	1.74	22.91	226,198	393,791	1,744,119	5,321,406
2013-05-20	$99.19	$97.00	15.9%	4.5%	15.0%	9.0%	16.7%	4.1%	0.7%	-332.9M	-2.61B	-47.2M	2.64	2.85	105,975	279,941	1,319,021	3,796,842
2013-05-21	$99.23	$97.00	16.5%	4.7%	14.4%	10.7%	17.7%	4.4%	0.5%	-374.9M	-2.28B	-48.9M	2.51	2.99	109,940	275,999	1,364,995	3,864,640
2013-05-22	$97.90	$98.00	17.3%	4.9%	15.7%	12.5%	18.8%	4.3%	0.5%	-655.2M	339.5M	-52.8M	2.96	3.87	197,942	586,081	1,417,318	3,954,780
2013-05-23	$97.96	$98.00	17.3%	4.9%	15.6%	12.5%	19.5%	4.5%	0.4%	-667.2M	327.6M	-52.7M	4.25	3.61	125,133	532,413	1,485,252	4,045,329
2013-05-24	$98.03	$98.00	17.3%	4.9%	15.3%	12.5%	18.0%	4.6%	0.5%	-746.0M	-5.7M	-52.3M	3.85	3.24	127,373	490,656	1,514,927	4,181,968
2013-05-28	$98.98	$94.00	18.0%	5.2%	15.4%	14.2%	18.6%	4.6%	-0.0%	-429.0M	-1.71B	-50.0M	3.32	4.27	120,185	399,285	1,474,959	3,983,864
2013-05-29	$98.30	$95.00	18.5%	5.3%	15.7%	15.4%	20.4%	4.7%	-0.1%	-549.1M	-361.4M	-52.2M	3.37	4.56	95,653	322,618	1,521,261	4,118,624
2013-05-30	$98.87	$95.00	17.8%	5.1%	11.6%	13.9%	19.2%	4.9%	-0.1%	-492.6M	-1.36B	-51.3M	2.41	2.63	98,277	237,149	1,541,252	4,220,194
2013-05-31	$97.75	$96.00	19.5%	5.6%	11.7%	17.9%	21.0%	5.5%	0.2%	-700.3M	1.17B	-54.2M	3.06	4.91	121,604	371,852	1,578,690	4,288,438