IWM Options History — June 2013

In June 2013, IWM traded between $94.78 and $99.54. ATM implied volatility averaged 19.4%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.8% (HV 20d: 15.7%). Max pain ranged from $95.00 to $98.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.87.

Notable Days

  • 2013-06-20: Highest Volume — 1,282,733 contracts
  • 2013-06-20: Largest IV spike — 12.9% change
  • 2013-06-12: Highest IV Rank — 23.8%
  • 2013-06-12: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.34$94.78$99.54$98.73$97.60
Max Pain$97.21$95.00$98.00$98.00$95.00
ATM IV19.4%17.8%21.8%19.4%17.9%
Expected Move5.6%5.1%6.3%5.6%5.1%
HV 20d15.7%11.1%19.7%11.1%19.3%
HV 60d18.1%16.9%19.4%16.9%19.4%
IV Rank17.9%13.8%23.8%17.7%14.0%
IV Percentile72.7%54.8%90.5%71.0%57.1%
Term Structure-0.0%-1.0%1.0%-0.6%0.3%
VWIV20.2%17.2%22.9%20.1%17.2%
Skew 25d5.9%4.7%6.9%6.4%4.7%
Skew 10d10.6%8.6%12.1%11.1%8.6%
Call IV 25d16.9%15.6%18.9%16.4%16.3%
Put IV 25d22.9%21.0%25.6%22.9%21.1%
Bid-Ask Spread %7.783.1923.116.5823.11
Gamma HHI0.070.050.160.050.09
Net GEX-784.6M-1.50B-428.9M-516.0M-652.6M
Net DEX2.41B-2.34B8.34B-644.5M1.60B
Net VEX-52.0M-54.9M-47.1M-51.0M-47.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.871.404.872.681.40
Total Volume646,032.8305,8761,282,733618,399633,890
Total OI6,097,619.055,087,0947,097,4165,649,6665,448,974

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$98.73$98.0019.4%5.6%11.1%17.7%20.1%6.4%-0.6%-516.0M-644.5M-51.0M2.686.58167,992450,4071,535,1974,114,469
2013-06-04$97.75$98.0020.1%5.7%11.7%19.4%19.9%6.2%-0.7%-629.0M1.16B-54.0M3.455.15134,348463,8031,593,5784,264,263
2013-06-05$96.56$98.0020.4%5.8%12.4%20.2%20.2%5.5%-0.9%-847.4M3.91B-54.3M2.577.08227,484583,7121,629,0324,314,171
2013-06-06$97.57$98.0019.7%5.6%12.9%18.5%19.5%5.5%-0.7%-666.0M1.47B-54.1M2.359.79186,396438,7121,672,2374,445,588
2013-06-07$97.95$98.0018.2%5.2%12.8%14.9%19.5%5.3%0.3%-601.9M226.7M-52.9M2.5312.09197,064497,9771,713,0294,589,352
2013-06-10$98.79$98.0018.0%5.2%12.9%14.3%19.5%5.4%-0.2%-451.1M-1.33B-50.6M4.146.4059,491246,3851,659,1324,472,208
2013-06-11$97.74$98.0020.0%5.7%13.6%19.4%20.1%6.0%-0.7%-672.9M1.26B-53.3M3.356.5599,871334,4191,676,1224,549,804
2013-06-12$96.59$98.0021.8%6.3%13.6%23.8%21.7%6.5%-1.0%-875.3M4.15B-54.9M2.816.28173,230487,3541,701,3214,624,404
2013-06-13$98.49$0.0019.6%5.6%15.3%18.2%20.7%6.3%0.3%-536.8M-392.1M-53.1M2.458.55168,432413,3881,730,9674,726,783
2013-06-14$97.57$97.5019.8%5.7%15.7%18.7%20.3%5.9%-0.7%-912.1M1.89B-53.5M4.8711.42134,704655,4061,765,5564,791,077
2013-06-17$98.50$98.0019.2%5.5%15.7%17.4%20.8%6.1%0.5%-680.1M113.0M-51.4M2.663.20109,644291,5431,711,5354,913,687
2013-06-18$99.54$98.0017.8%5.1%16.1%13.8%20.3%6.2%1.0%-428.9M-2.34B-49.2M2.573.19145,582374,5931,730,3244,898,616
2013-06-19$98.10$98.0018.1%5.2%16.9%14.5%18.3%5.3%0.6%-862.8M1.43B-51.0M2.4011.85165,751398,0871,763,9965,053,605
2013-06-20$95.62$98.0020.4%5.8%18.6%20.3%21.8%6.7%1.0%-1.23B8.25B-52.6M4.346.07240,2571,042,4761,796,3345,013,998
2013-06-21$95.76$98.0020.5%5.9%18.6%20.4%21.9%6.9%0.4%-1.50B8.34B-53.4M2.398.48323,118771,3801,827,8555,269,561
2013-06-24$94.78$95.5021.2%6.1%18.9%22.3%22.9%6.6%-0.1%-1.03B7.44B-51.9M3.114.84203,745634,2641,279,6613,807,433
2013-06-25$95.69$95.0020.0%5.8%18.9%19.3%20.8%6.0%-0.2%-991.2M5.45B-51.5M2.524.42139,528351,3741,326,5243,891,864
2013-06-26$95.98$95.0019.1%5.5%18.8%16.9%19.9%5.9%0.5%-993.0M4.93B-51.2M2.894.81144,744418,3791,366,9433,920,854
2013-06-27$97.57$95.0017.8%5.1%19.7%13.8%18.4%5.5%0.4%-614.1M1.32B-50.0M1.855.69144,576267,1501,396,1793,966,148
2013-06-28$97.60$95.0017.9%5.1%19.3%14.0%17.2%4.7%0.3%-652.6M1.60B-47.1M1.4023.11264,593369,2971,414,6694,034,305